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Stress testing German banks against a global credit crunch

Düllmann, Klaus; Kick, Thomas - In: Financial markets and portfolio management 28 (2014) 4, pp. 337-361

Persistent link: https://www.econbiz.de/10010467427

Adverse risk interaction : an integrated approach

Božović, Miloš; Ivanović, Jelena - In: Economic modelling 65 (2017), pp. 67-74

Persistent link: https://www.econbiz.de/10011813551

Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation

Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 10 (2016) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10011587660

Asset correlation and bank capital regulation : a macroprudential perspective

Suh, Sangwon - In: International review of economics & finance : IREF 62 (2019), pp. 355-378

Persistent link: https://www.econbiz.de/10012205613

The pricing of deposit insurance in the presence of systematic risk

Lee, Shih-Cheng; Lin, Chien-ting; Tsai, Ming-shann - In: Journal of banking & finance 51 (2015), pp. 1-11

Persistent link: https://www.econbiz.de/10011317822

Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation

Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47

Persistent link: https://www.econbiz.de/10011326309

Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations

Lee, Yong Woong; Poon, Ser-Huang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 118-139

Persistent link: https://www.econbiz.de/10011404418

Evaluation of minimum capital requirements for bank loans to SMEs

Düllmann, Klaus; Koziol, Philipp - 2013

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to the size dependence of regulatory capital requirements....

Persistent link: https://www.econbiz.de/10009751062

Book-to-market equity, operating risk, and asset correlations : implications for Basel capital requirement

Lee, Shih-cheng; Lin, Chien-ting - In: Journal of international financial markets, … 22 (2012) 4, pp. 973-989

Persistent link: https://www.econbiz.de/10009582493