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Measuring credit risk in a large banking system : econometric modeling and empirics
Lucas, André; Schwaab, Bernd; Zhang, Xin - 2013
Persistent link: https://www.econbiz.de/10010191403
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Value at risk für Kreditinstitute : Erfassung des aggregierten Marktrisikopotentials
Meyer, Christoph - 1999
Persistent link: https://www.econbiz.de/10000682592
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Backtesting of value at risk methodology : analysis of banking shares in India
Patra, Biswajit; Padhi, Puja - In: Margin: the journal of applied economic research 9 (2015) 3, pp. 254-277
Persistent link: https://www.econbiz.de/10011400407
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What kind of systemic risks do we face in the European banking sector? : the approach of CoVaR measure
Karkowska, Renata - In: Folia oeconomica Stetinensia : FOS 14 (2014) 2, pp. 114-139
Persistent link: https://www.econbiz.de/10011419194
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2013
We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market as well as balance sheet information,...
Persistent link: https://www.econbiz.de/10010201170
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Systemic risk and asymmetric responses in the financial industry
López-Espinosa, Germán; Moreno, Antonio; Rubia, Antonio; … - In: Journal of banking & finance 58 (2015), pp. 471-485
Persistent link: https://www.econbiz.de/10011544046
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Risk model backtesting
Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10011483358
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Société générale corporate and investment banking : how we monitor market risk
Beurotte, Pascal; Bory, Georges - In: Journal of securities operations & custody 7 (2014) 1, pp. 21-26
Persistent link: https://www.econbiz.de/10011486340
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Comparison of market risk models with respect to suggested changes of Basel accord
Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274
Persistent link: https://www.econbiz.de/10010474360