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A general framework for constructing bank risk data sets

Zhu, Xiaoqian; Lu, Wei; Wu, Dengsheng; Li, Jianping - In: Journal of risk 21 (2018/2019) 1, pp. 37-59

Persistent link: https://www.econbiz.de/10011980291

The information value of past losses in operational risk

Curti, Filippo; Migueis, Marco - In: The journal of operational risk 18 (2023) 2, pp. 1-36

Persistent link: https://www.econbiz.de/10014490088

Credit risk forecasting modelling and projections under IFRS 9

Montesi, Giuseppe; Papiro, Giovanni; Ugolini, Laura - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 79-101

Persistent link: https://www.econbiz.de/10012041846

Operational risk measurement : a loss distribution approach with segmented dependence

Zhu, Xiaoqian; Wang, Yinghui; Li, Jianping - In: The journal of operational risk 14 (2019) 1, pp. 25-44

Persistent link: https://www.econbiz.de/10012052383

Is operational risk regulation forward looking and sensitive to current risks?

Migueis, Marco - In: The journal of operational risk 13 (2018) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10011976052

Financial statements based bank risk aggregation

Li, Jianping; Wei, Lu; Lee, Cheng F.; Zhu, Xiaoqian; … - In: Review of quantitative finance and accounting 50 (2018) 3, pp. 673-694

Persistent link: https://www.econbiz.de/10011979270

Bank risk aggregation with forward-looking textual risk disclosures

Wei, Lu; Li, Guowen; Li, Jianping; Zhu, Xiaoqian - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012203124

Should the advanced measurement approach for operational risk be discarded? : evidence from the Chinese banking industry

Zhu, Xiaoqian; Li, Jianping; Wu, Dengsheng - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950007-1-1950007-15

Persistent link: https://www.econbiz.de/10012156150

Quantifying and stress testing operational risk with peer banks' data

Abdymomunov, Azamat; Curti, Filippo - In: Journal of financial services research 57 (2020) 3, pp. 287-313

Persistent link: https://www.econbiz.de/10012228510

Bank stress testing : a stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...

Persistent link: https://www.econbiz.de/10011890804