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Liquidity risk, credit risk, market risk and bank capital
Varotto, Simone - In: International journal of managerial finance : IJMF 7 (2011) 2, pp. 134-152
Persistent link: https://www.econbiz.de/10009125100
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Liquidity risk, credit risk, market risk and bank capital
Varotto, Simone - 2011
Persistent link: https://www.econbiz.de/10009375599
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Tests on the accuracy of Basel II
Varotto, Simone - In: Credit risk : models, derivatives, and management, (pp. 289-313). 2008
Persistent link: https://www.econbiz.de/10003718515
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Value at risk and precommitment : approaches to market risk regulation
Daripa, Arupratan - In: Economic policy review 4 (1998) 3, pp. 137-143
Persistent link: https://www.econbiz.de/10001338726
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Ex-ante versus ex-post regulation of bank capital
Daripa, Arupratan; Varotto, Simone - In: Banking and capital markets : new international perspectives, (pp. 29-58). 2009
Persistent link: https://www.econbiz.de/10008696124
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Ratings-based credit risk modelling : an empirical analysis
Nickell, Pamela; Perraudin, William R. M.; Varotto, Simone - In: International review of financial analysis 16 (2007) 5, pp. 434-451
Persistent link: https://www.econbiz.de/10003612970
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Ex ante versus ex post regulation of bank capital
Daripa, Arupratan (contributor); Varotto, Simone (contributor) - 2005
Persistent link: https://www.econbiz.de/10003266289
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Liquidity Risk, Credit Risk, Market Risk and Bank Capital
Varotto, Simone - 2011
With a sample of twelve US bond indices spanning different maturities, credit ratings and industry sectors, we investigate the impact of new bank capital regulation for trading portfolios introduced by Basel III. Specifically, we estimate the new capital requirements for (a) liquidity risk and...
Persistent link: https://www.econbiz.de/10013131118