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Aktuelle Entwicklungen im Bankcontrolling: Rating, Gesamtbanksteuerung und Basel II
Neupel, Joachim (ed.) - 2005
Persistent link: https://www.econbiz.de/10013284690
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Risikomanagement : aktuelle Entwicklungen und Auswirkungen auf Banken und Unternehmen
Suyter, Alexander (ed.) - 2004
Persistent link: https://www.econbiz.de/10001962015
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Risikomanagement bei Banken : interne Modelle, Bankenaufsicht und Auswirkungen neuer Eigenkapitalanforderungen
Peterl, Florian - 2003
Persistent link: https://www.econbiz.de/10013432829
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The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Engelmann, Bernd - 2011
Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow … Rating Approach - Experience from Banking Practice -- Estimating Probabilities of Default for Low Default Portfolios … -- Possibilities of Estimating Exposures -- EAD Estimates for Facilities with Explicit Limits -- Validation of Banks' Internal Rating …
Persistent link: https://www.econbiz.de/10014015277
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The Basel II risk parameters : estimation, validation, stress testing ; with applications to loan risk management
Engelmann, Bernd (ed.); Rauhmeier, Robert (contributor) - 2011 - 2. ed.
Persistent link: https://www.econbiz.de/10008654848
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The Basel II risk parameters : estimation, validation, and stress testing : with 58 tables
Engelmann, Bernd (ed.); Rauhmeier, Robert (ed.) - 2006
Persistent link: https://www.econbiz.de/10003288108
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The Basel II Risk Parameters : Estimation, Validation, and Stress Testing
Engelmann, Bernd (contributor);  … - 2006
EAD (exposure at default) is an important problem in banking practice. This book covers designing and validating rating …
Persistent link: https://www.econbiz.de/10013520547
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Operational risk capital
Conlon, Thomas; Huan, Xing; Ongena, Steven - 2020
In a setting where private information goes public for the first time, we study the real effects of the Basel II Accord requiring banks to calculate operational risk capital, and disclose qualitative and quantitative information. Using a difference-in-differences setup featuring partial US...
Persistent link: https://www.econbiz.de/10012418359
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The importance of qualitative risk assessment in banking supervision before and during the crisis
Kick, Thomas; Pfingsten, Andreas - 2011
’s ordinal grading by a purely quantitative CAMEL covariate vector, which is standard in many bank rating models, and we also … the importance of bank-individual on-site risk assessments. -- Bank rating ; banking supervision ; generalized ordered …
Persistent link: https://www.econbiz.de/10009160856
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Financial liability stress tests : an approach based on the use of a rating migration matrix
Kleszcz, Klaudia; Nehrebecka, Natalia - In: Central European economic journal 7 (2020) 54, pp. 13-32
The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix … the years 2016-2018. Particular attention is paid to how the variable on which rating migration matrices are developed is … defined. Stress tests are carried out on variables derived from rating migration matrices and economic indicators. The study …
Persistent link: https://www.econbiz.de/10012303645