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Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective
Allen, David E.; Powell, Robert - In: The VaR implementation handbook, (pp. 403-414). 2009
Persistent link: https://www.econbiz.de/10003827094
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Rating methodologies for banks
Packer, Frank; Tarashev, Nikola A. - In: BIS quarterly review : international banking and … (2011), pp. 39-52
Persistent link: https://www.econbiz.de/10009158122
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The information in systemic risk rankings
Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2015
components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … ranking from the principal components is less volatile than most individual risk rankings and leads to less turnover among the … risk ranking by relating it to credit default swap premia. …
Persistent link: https://www.econbiz.de/10010532581
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Capital shortfall : a new approach to ranking and regulating systemic risks
Acharya, Viral V.; Engle, Robert F.; Richardson, Matthew - In: The American economic review 102 (2012) 3, pp. 59-64
Persistent link: https://www.econbiz.de/10009705301
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The IPS-NTU ASEAN 9 + 1 economic competitiveness ranking indices
Tan, Khee-Giap - In: ASEAN economic bulletin 21 (2004) 2, pp. 234-238
Persistent link: https://www.econbiz.de/10002222067
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Analyzing Tail Risk Using Crisis Utility Rankings
Wakeman, Kendrick - 2011
strategies. Specifically, using the HFR dataset, we found the strategies with the highest Crisis Utility Ranking were Short Bias …
Persistent link: https://www.econbiz.de/10013132498
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Rating Methodologies for Banks
Packer, Frank - 2013
The three major rating agencies are reassessing banks' credit risk in the light of the recent crisis. So far, this has resulted in material downgrades, especially of European and US institutions, and increased agreement about banks' overall level of creditworthiness and their greater dependence...
Persistent link: https://www.econbiz.de/10013092807
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Global Systemic Risk Ranking of Chinese Financial Institutions
Derbali, Abdelkader - 2017
The purpose of this paper is to analyze the systemic risk of the Chinese financial institutions following the financial crisis of 2007. We estimate the systemic risk of a sample composed by 70 Chinese financial institutions through the period beginning on 02 January 2008 to 30 June 2015. We...
Persistent link: https://www.econbiz.de/10012942485
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Systemic-systematic risk in financial system : a dynamic ranking based on expectiles
Garcia-Jorcano, Laura; Sanchis-Marco, Lidia - In: International review of economics & finance : IREF 75 (2021), pp. 330-365
Persistent link: https://www.econbiz.de/10012692497
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Best classification algorithms in peer-to-peer lending
Teply, Petr; Polena, Michal - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012659052