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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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Counterparty risk and counterparty choice in the credit default swap market
Du, Wenxin; Gadgil, Salil; Gordy, Michael B.; Vega, Clara - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3808-3826
Persistent link: https://www.econbiz.de/10014552008
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Credit ratings and credit risk : is one measure enough?
Hilscher, Jens; Wilson, Mungo - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3414-3437
Persistent link: https://www.econbiz.de/10011760509
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A view inside corporate risk management
Bodnar, Gordon M.; Giambona, Erasmo; Graham, John R.; … - In: Management science : journal of the Institute for … 65 (2019) 11, pp. 5001-5026
Persistent link: https://www.econbiz.de/10012125860
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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
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Operational risk management : optimal inspection policy
Kim, Youngsoo; Xu, Yuqian - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 4087-4104
Persistent link: https://www.econbiz.de/10014552528
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Strategic selection of risk models and bank capital regulation
Colliard, Jean-Edouard - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2591-2606
Persistent link: https://www.econbiz.de/10012039818
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A toolkit for robust risk assessment using F-divergences
Kruse, Thomas; Schneider, Judith Christiane; Schweizer, … - In: Management science : journal of the Institute for … 67 (2021) 10, pp. 6529-6552
Persistent link: https://www.econbiz.de/10012666706
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768