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Modeling risk-weighted assets and the risk sensitivity of related capital requirements

Eberlein, Ernst; Madan, Dilip B.; Schoutens, Wim - In: Journal of risk 16 (2013) 2, pp. 3-23

Persistent link: https://www.econbiz.de/10010237932

A new framework for the evaluation of market and credit risk

Kokic, Philip; Breckling, Jens; Eberlein, Ernst - In: Datamining und computational finance : Ergebnisse des …, (pp. 51-67). 2000

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Bid and ask prices as non-linear continuous time G-expectations based on distortions

Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Mathematics and financial economics 8 (2014) 3, pp. 265-289

Persistent link: https://www.econbiz.de/10010365556

Modeling Risk Weighted Assets and the Risk Sensitivity of Related Capital Requirements

Eberlein, Ernst - 2013

The use of internal Bank models for meeting capital requirements has been approved for some time. Regulators then face issues of model approval necessitating some public domain analysis of model performance. This paper presents a new approach to risk model evaluation using forward looking risk...

Persistent link: https://www.econbiz.de/10013085017