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Modeling liquidity risk, with implications for traditional market risk measurement and management

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Stress testing banks

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Risk measurement, risk management and capital adequacy in financial conglomerates

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What do we know about loss given default?

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The new Basel capital accord and questions for research

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Firm heterogeneity and credit risk diversification

Hanson, Samuel G. (contributor); … - 2005

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Risk measurement, risk management, and capital adequacy in financial conglomerates

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Stress testing bank profitability

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Global business cycles and credit risk

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - In: The risks of financial institutions : [...papers and …, (pp. 419-473). 2006

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Global business cycles and credit risk

Pesaran, M. Hashem (contributor); … - 2005

The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...

Persistent link: https://www.econbiz.de/10003201686