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Approving the ISDWIR method of risk measurement in making risk management decision
Strelnik, Mikhail - In: Revista de métodos cuantitativos para la economía y … 17 (2014), pp. 42-59
This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … is also compared with other risk measurement methods. …
Persistent link: https://www.econbiz.de/10010385650
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Operational risk modelling and analysis : theory and practice
Cruz, Marcelo (contributor); Cruz, Marcelo G. (ed.) - 2004
Persistent link: https://www.econbiz.de/10002403501
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Gesamtrisiko-Messung von Banken und Unternehmen
Spellmann, Frank - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001658271
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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Risikotriade : Zins-, Kredit- und operationelle Risiken
Wiedemann, Arnd - 2008 - 2., überarb. Aufl.
Persistent link: https://www.econbiz.de/10003794070
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Measuring macroprudential risk
Tymoigne, Éric - 2011
risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been … Crises ; Macroprudential Risk ; Debt-Deflation Process ; Ponzi Finance …
Persistent link: https://www.econbiz.de/10008906569
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Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
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Risk measures and capital requirements : a critique of the Solvency II approach
Floreani, Alberto - In: The Geneva papers on risk and insurance - issues and … 38 (2013) 2, pp. 189-212
Persistent link: https://www.econbiz.de/10009752627
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Model risk in backtesting risk measures
Evers, Corinna; Rohde, Johannes - 2014
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … adequacy of Value at Risk measures. One main finding indicates that backtests of all classes show heavy size distortions. These …
Persistent link: https://www.econbiz.de/10010344866
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Banking performance and risks measurement using CAMELs framework
Babu, A. Sarath; Mehrotra, Ruchi - In: Finance India : the quarterly journal of Indian … 29 (2015) 4, pp. 1237-1244
Persistent link: https://www.econbiz.de/10011455302