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Regulatory capital for marketand credit risk interaction:is current regulation always conservative?

Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...

Persistent link: https://www.econbiz.de/10005866203

Portfolio selection with transaction costs under expected shortfall contraints

Breuer, Thomas; Jandačka, Martin - In: Computational Management Science : CMS 5 (2008) 4, pp. 305-316

Persistent link: https://www.econbiz.de/10003758293

Regulatory capital for market and credit risk interaction: is current regulation always conservative?

Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus; … - 2008

Unter der ersten Säule von Basel II wird das regulatorische Eigenkapital für Markt- und Kreditrisiko separat berechnet … Eigenkapitals, das für Markt- und Kreditrisiko zu hinterlegen ist. Diese Berechnung von Einzelkomponenten des regulatorischen … Kapitals folgt in groben Zügen der Aufteilung in Bank- und Handelsbuch. In der traditionellen Denkweise ist Kreditrisiko …

Persistent link: https://www.econbiz.de/10010295951

How to find plausible, severe, and useful stress scenarios

Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus - 2009

Persistent link: https://www.econbiz.de/10003810905

Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?

Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - In: Journal of banking & finance 34 (2010) 4, pp. 703-712

Persistent link: https://www.econbiz.de/10003966039

A systematic approach to multi-period stress testing of portfolio credit risk

Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - 2010

Persistent link: https://www.econbiz.de/10003996114

A systematic approach to multi-period stress testing of portfolio credit risk

Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - In: Journal of banking & finance 36 (2012) 2, pp. 332-340

Persistent link: https://www.econbiz.de/10009511320

Regulatory capital for market and credit risk interaction : is current regulation always conservative?

Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus; … - 2008

In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat both categories independently in the calculation of risk capital. In practice positions in a portfolio depend simultaneously on both market and credit risk factors. In this case,...

Persistent link: https://www.econbiz.de/10003721591

Wird das Portfoliorisiko nach den derzeitigen Eigenkapitalvorschriften unterbewertet?

Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - In: Finanzmarktstabilitätsbericht 15 (2008), pp. 122-129

Persistent link: https://www.econbiz.de/10003727488

Regulatory Capital for Market and Credit Risk Interaction : Is Current Regulation Always Conservative?

Breuer, Thomas - 2016

Persistent link: https://www.econbiz.de/10012989266