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Praktische Aspekte der Abbildung von Finanzprodukten im Rahmen des Liquiditätsrisikos

Sauerbier, Peter; Thomae, Holger; Wehn, Carsten - In: Handbuch Liquiditätsrisiko : Identifikation, Messung …, (pp. 77-120). 2008

Persistent link: https://www.econbiz.de/10003644765

Aspekte ökonomischer Kapitalsteuerungsmodelle zur Gewinnung angemessener Risikomesszahlen

Wehn, Carsten - In: Handbuch ökonomisches Kapitel, (pp. 215-243). 2008

Persistent link: https://www.econbiz.de/10003751760

The supervisors portfolio : the market price risk of German banks from 2001 to 2003 ; analysis and models for risk aggregation

Memmel, Christoph (contributor); Wehn, Carsten (contributor) - 2005

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio’s components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...

Persistent link: https://www.econbiz.de/10002844479

Supervisor's portfolio : the market price risk of German banks from 2001 to 2004 ; analysis and models for risk aggregation

Memmel, Christoph; Wehn, Carsten - In: Journal of banking regulation 7 (2006) 3/4, pp. 310-325

Persistent link: https://www.econbiz.de/10003370070

The Supervisor's Portfolio : The Market Price Risk of German Banks from 2001 to 2003 - Analysis and Models for Risk Aggregation

Memmel, Christoph - 2016

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...

Persistent link: https://www.econbiz.de/10012989328