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Liquidity risk and credit risk : a relationship based on the interaction between liquid asset ratio, non-performing loans ratio and systemic liquidity risk
Malandrakis, Ioannis K. - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 375-400
Persistent link: https://www.econbiz.de/10010476907
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Analysis of bankruptcy threat for risk management purposes : a model approach
Wieczorek-Kosmala, Monika; Błach, Joanna; Trzęsiok, Joanna - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-17
risk map. The purpose of our study is to advocate two additional dimensions that incorporate liquidity and/or debt capacity … companies face the limited ability to self-resist risk outcomes, due to high debt capacity and high liquidity constraints. We … supports the conclusion that the level of liquidity and debt capacity constraints and thus the ability to retain risk outcomes …
Persistent link: https://www.econbiz.de/10011963925
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Model risk : identification, measurement and management
Scheule, Harald (ed.) - 2010
Persistent link: https://www.econbiz.de/10003937889
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Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
Huang, Haohan; Wang, Eugene; Huang, Huaxiong; Wang, Yong - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011442455
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The two defaults scenario for stressing credit portfolio loss distributions
Tasche, Dirk - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-18
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...
Persistent link: https://www.econbiz.de/10011544020
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A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
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Fair risk allocation in illiquid markets
Csóka, Péter - 2015
performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …
Persistent link: https://www.econbiz.de/10010481803
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Managing investment risks of institutional private equity investors : the challenge of illiquidity
Kaserer, Christoph; Wagner, Niklas F.; Achleitner, … - 2003 - Version: December 2003
investments are typically observed at low frequency and are determined by transactions under low liquidity. This contribution …
Persistent link: https://www.econbiz.de/10009231549
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Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10010389432