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Measuring and controlling interest rate and credit risk

Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - 2003 - 2. ed.

Persistent link: https://www.econbiz.de/10001764463

Financial Statements-Based Bank Risk Aggregation

Li, Jianping; Wei, Lu; Zhu, Xiaoqian - 2022 - 1st ed. 2022.

Chapter 1. Basic concepts of bank risk aggregation -- Chapter 2. Research review of bank risk aggregation -- Chapter 3. Financial statements based bank risk aggregation framework -- Chapter 4. Bank risk aggregation based on income statement -- Chapter 5. A “factor-integral” approach to solve...

Persistent link: https://www.econbiz.de/10013163599

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

Yield curve risk measures

Fabozzi, Frank J.; Mann, Steven V. - 2008

Persistent link: https://www.econbiz.de/10003765477

Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003765534

Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures

Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003583006

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

Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: Journal of financial engineering 2 (2015) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10010528392

Risk management and dynamic portfolio selection with stable paretian distributions

Ortobelli, Sergio; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-211

Persistent link: https://www.econbiz.de/10009271854

Index-exciting CAViaR : a new empirical time-varying risk model

Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10009514126

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