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Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models
Issaka, Aziz - In: Annals of financial economics 15 (2020) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012642967
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Bank lending and interest-rate derivatives
Zhao, Fang; Moser, James T. - In: International journal of financial research 8 (2017) 4, pp. 23-37
Persistent link: https://www.econbiz.de/10011781357
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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Analytischer Hintergrund und Methodologie europäischer Bankratings
Theodore, Samuel S. - In: Bankrisikomanagement : Mindestanforderungen, …, (pp. 127-162). 2008
Persistent link: https://www.econbiz.de/10003710689
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Ansätze zur praxisorientierten Identifikation und Bewertung operationeller Risiken : OP-Risk-Management in Banken und Versicherungen
Hofmann, Norbert; Malakowski, Bernd - In: Risiko-Manager (2007) 21, pp. 12-17
Persistent link: https://www.econbiz.de/10003555002
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10009310942
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An analysis of the determinants of bank ratings : comparison across ratings agencies
Bissoondoyal-Bheenick, Ernawtee; Sirimon Treepongkaruna - In: Australian journal of management 36 (2011) 3, pp. 405-424
Persistent link: https://www.econbiz.de/10009410599
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Überblick über die Methoden der Marktrisikomessung
Gendrisch, Thorsten - In: Handbuch Solvabilität : aufsichtliche …, (pp. 285-309). 2014
Persistent link: https://www.econbiz.de/10010355252
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Essays on model risk : the role of volatility for the accuracy of financial risk models
Rohde, Johannes - 2015
Credit risk, market risk, backtesting, volatility break. - Kreditrisiko, Marktrisiko, Backtesting, Volatilitätsbruch …
Persistent link: https://www.econbiz.de/10011453199
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Validierung von Risikomodellen und Parametern
Gruber, Walter; Hofmann, Christoph - In: Handbuch ICAAP, (pp. 135-158). 2015
Persistent link: https://www.econbiz.de/10010505138