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Zinsänderungs- und Bilanzstrukturrisiken : neue Konzepte zur Abbildung von Volumen- und Zinseffekten
Rüder, Annika - 2019
Die hohe Relevanz von Bilanzstrukturrisiken im Niedrig- bzw. Negativzinsumfeld führt zu der zentralen Frage nach etwaigen Abhängigkeiten der präferierten Anlage- und Kreditlaufzeiten vom aktuellen Marktzins. Aus dieser Abhängigkeit wiederum resultiert die Frage nach der Angemessenheit der...
Persistent link: https://www.econbiz.de/10012401664
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Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
Glau, Kathrin (ed.); Grbac, Zorana (ed.);  … - Conference Innovations in Derivatives Markets - Fixed … - 2016
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit...
Persistent link: https://www.econbiz.de/10011588323
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Commercial Banking Risk Management : Regulation in the Wake of the Financial Crisis
Tian, Weidong (ed.) - 2017
chapter is written by an authority who is actively engaged with large commercial banks, consulting firms, auditing firms …
Persistent link: https://www.econbiz.de/10012397374
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The Validation of Risk Models : A Handbook for Practitioners
Scandizzo, Sergio - 2016
The practice of quantitative risk management has reached unprecedented levels of refinement. The pricing, the assessment of risk as well as the computation of the capital requirements for highly complex transactions are performed through equally complex mathematical models, running on advanced...
Persistent link: https://www.econbiz.de/10012398025
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Risiken von Unternehmensanleihen und ihre Quantifizierung : Antworten auf Fragestellungen aus der Beratungspraxis bei Kreditinstituten
Ramming, Markus - 2015
Unternehmensanleihen und Risikomanagement -- Kreditrisiko -- Credit Spread-Risiken -- Liquiditäts- und Länderrisiken. … Inhalt Unternehmensanleihen und Risikomanagement Kreditrisiko Credit Spread-Risiken Liquiditäts- und Länderrisiken Die …
Persistent link: https://www.econbiz.de/10014018261
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Financing the Underfinanced : Online Lending in China
Wang, Jiazhuo G. - 2015
Introduction to Online Lending -- Statistic Analyses of Online Lending Industry -- Business Model Analysis of Online Lending Platforms in China -- Business Model Analysis of Online Lending Platforms outside China -- Risks in Online Lending Industry -- A Comprehensive Rating System of Online...
Persistent link: https://www.econbiz.de/10014019484
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The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Engelmann, Bernd - 2011
-- Possibilities of Estimating Exposures -- EAD Estimates for Facilities with Explicit Limits -- Validation of Banks' Internal Rating …
Persistent link: https://www.econbiz.de/10014015277
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Ökonomische Auswirkungen von Schätzfehlern bei der bankinternen Bestimmung von Kreditausfallwahrscheinlichkeiten
Wrede, Irmhild - 2010
Grundlagen -- Auswirkungen der Verwendung verrauschter PD-Schätzungen auf die Höhe des regulatorischen Kapitals gemäß Basel II -- Winner's Curse als mögliche Folge verrauschter PD-Schätzungen -- Auswirkungen einer Verrauschung der PD-Schätzungen auf die Ergebnisse der quantitativen...
Persistent link: https://www.econbiz.de/10014424929
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Integrated Market and Credit Portfolio Models : Risk Measurement and Computational Aspects
Grundke, Peter (contributor) - 2008
Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk …Due to their business activities, banks are exposed to many different risk types. Aggregating various risk exposures to …
Persistent link: https://www.econbiz.de/10013521007
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Optimal Risk-Return Trade-Offs of Commercial Banks : and the Suitability of Profitability Measures for Loan Portfolios
Kühn, Jochen (contributor) - 2006
-offs are optimal for banks. The authors demonstrate that even the reward-to-VaR ratio, which is developed for valuating loan …-return trade-offs are optimal for banks. This volume intends to fill this gap. The approach of this work is to endogenously derive … optimal risk-return trade-offs of commercial banks and to compare them with those of reward-to-risk ratios. The risk …
Persistent link: https://www.econbiz.de/10013520561