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An application of extreme value theory in estimating liquidity risk
Muela, Sonia Benito; Martín, Carmen López; Sanz, … - In: European research on management and business economics 23 (2017) 3, pp. 157-164
Persistent link: https://www.econbiz.de/10011893406
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Has the Basel II Accord encouraged risk management dur the 2008-09 financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009
Persistent link: https://www.econbiz.de/10003851225
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International framework for liquidity risk measurement, standards and monitoring : consultative document
2009 - Dec. 2009
Persistent link: https://www.econbiz.de/10008653493
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Analysis and comments on the consultative document : international framework for liquidity risk measurement, standards and monitoring
Préfontaine, Jacques; Desrochers, Jean; Godbout, Lise - In: International business and economics research journal 9 (2010) 11, pp. 107-113
Persistent link: https://www.econbiz.de/10009308435
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The information content of Basel III liquidity risk measures
Hong, Han; Huang, Jing-Zhi; Wu, Deming - In: Journal of financial stability 15 (2014), pp. 91-111
Persistent link: https://www.econbiz.de/10011306476
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A leverage ratio rule for capital adequacy
Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10010354388
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...
Persistent link: https://www.econbiz.de/10010224793
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Measuring systemic risk-adjusted liquidity (SRL) : a model approach
Jobst, Andreas A. - In: Journal of banking & finance 45 (2014), pp. 270-287
Persistent link: https://www.econbiz.de/10010467904
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Risikosteuerung in Krisenzeiten : warum die Risikomessung in Banken nicht funktioniert hat
Hölscher, Reinhold; Kremers, Markus - 2009
Persistent link: https://www.econbiz.de/10010475024