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Broll, Udo; Sobiech, Anna; Wahl, Jack E. - In: Contemporary economics 6 (2012) 4, pp. 50-53

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...

Persistent link: https://www.econbiz.de/10009768157

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

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

Market risk, value-at-risk and exponential weighting

Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91

Persistent link: https://www.econbiz.de/10013369763

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng F.; Wu, Dengsheng; … - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 161-189

Persistent link: https://www.econbiz.de/10011327637

The Risk Map : a new tool for validating risk models

Colletaz, Gilbert; Hurlin, Christophe; Pérignon, Christophe - In: Journal of banking & finance 37 (2013) 10, pp. 3843-3854

Persistent link: https://www.econbiz.de/10010127439

Bankrisiko, Zinsmargen und flexibles Futures-Hedging

Broll, Udo; Jaenicke, Johannes - In: Swiss journal of economics and statistics 136 (2000) 2, pp. 147-160

Persistent link: https://www.econbiz.de/10001498531

Bankrisiko und Risikosteuerung mit Derivaten

Broll, Udo; Welzel, Peter - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 32 (2003) 9, pp. 506-510

Persistent link: https://www.econbiz.de/10001784069

Value at risk and bank equity

Broll, Udo; Wahl, Jack E. - In: Jahrbücher für Nationalökonomie und Statistik 223 (2003) 2, pp. 129-135

Persistent link: https://www.econbiz.de/10001740775

Einsatz von Zinsfutures beim Risikomanagement der Banken

Broll, Udo; Guinnane, Timothy - In: OR-Spektrum : quantitative approaches in management 21 (1999) 1/2, pp. 71-80

Persistent link: https://www.econbiz.de/10001411495