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Risk model backtesting

Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162

Persistent link: https://www.econbiz.de/10011483358

Risikomanagement bei Banken und Versicherungen Schritt für Schritt : Arbeitsbuch

Blatter, Anja; Bradbury, Sean; Bruhn, Pascal; Ernst, Dietmar - 2023

Persistent link: https://www.econbiz.de/10013443754

Credit and market risks measurement in carbon financing for Chinese banks

Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557

Persistent link: https://www.econbiz.de/10011976726

The VaR implementation handbook

Gregoriou, Greg N. (contributor) - 2009

Persistent link: https://www.econbiz.de/10003801768

Value-at-Risk-basiertes Risikomanagement in Banken : Portefeuilleentscheidungen, Risikokapitalallokation und Risikolimitierung unter Berücksichtigung des Bankenaufsichtsrechts

Eisele, Burkhard - 2004 - 1. Aufl.

Persistent link: https://www.econbiz.de/10002470912

Systemic Risk and Heavy Tails : The Case of Banks’ Loan Portfolio

Agarwal, Sumit - 2011

We estimate a Pareto distribution for loan losses, as an alternative to the commonly used Vasicek distribution, using simulated data. A key assumption in the construction of Vasicek distribution is that firm-level risk is idiosyncratic. It also assumes that firm exposure to systemic risk is...

Persistent link: https://www.econbiz.de/10013128402