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Incentives for effective risk management
Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001
Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the presence of supervision by bank regulators. The model...
Persistent link: https://www.econbiz.de/10011318589
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From BASEL III to BASEL IV and beyond : expected shortfall and expectile risk measures
Zaevski, Tsvetelin S.; Nedeltchev, Dragomir C. - In: International review of financial analysis 87 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014460567
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Handbuch Bankenaufsicht und interne Risikosteuerungsmodelle : Quantifizierung und Analyse von Risiken mit bankinternen Modellen, bankaufsichtliche Anforderungen
Eller, Roland (ed.); Gruber, Walter (ed.); Reif, Markus (ed.) - 1999 - 1. Auflage
Persistent link: https://www.econbiz.de/10001379221
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Messung von Eventrisiken : Modellierung, Parametrisierung, Simulation
Kehl, Annabelle - 2010 - 1., Aufl.
Persistent link: https://www.econbiz.de/10013432109
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Compliance with Basel 2.5 : banks' approaches to implementing stressed VaR
Prorokowski, Lukasz; Prorokowski, Hubert - In: Journal of financial regulation and compliance : an … 22 (2014) 4, pp. 339-348
Persistent link: https://www.econbiz.de/10011491023
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Stress testing the resilience of financial networks
Amini, Hamed; Cont, Rama; Minca, Andreea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10009562144