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Risk management of non-maturing liabilities
Kalkbrener, Michael; Willing, Jan - In: Journal of banking & finance 28 (2004) 7, pp. 1547-1568
Persistent link: https://www.econbiz.de/10005883857
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AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
Kalkbrener, Michael - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 425-438
Persistent link: https://www.econbiz.de/10008214289
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Basel II: The maturity effect on credit risk capital - The authors argue that the Basel II maturity factor should be set considerably lower.
Kalkbrener, Michael; Overbeck, Ludger - In: Risk : managing risk in the world's financial markets 15 (2002) 7, pp. 59-64
Persistent link: https://www.econbiz.de/10007036012
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Latin hypercube sampling with dependence and applications in finance
Packham, Natalie; Schmidt, Wolfgang M - In: The journal of computational finance 13 (2010) 3, pp. 81-81
Persistent link: https://www.econbiz.de/10008403082