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Modelling deposit insurance scheme losses in a Basel 2 framework

De Lisa, Riccardo; Zedda, Stefano; Vallascas, Francesco; … - In: Journal of financial services research : JFSR 40 (2011) 3, pp. 123-141

Persistent link: https://www.econbiz.de/10009532396

Do banks’ internal Basel risk estimates reflect risk?

Barakova, Irina; Palvia, Ajay - In: Journal of financial stability 13 (2014), pp. 167-179

Persistent link: https://www.econbiz.de/10011288864

Incentives for effective risk management

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001

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 uses a principal-agent setting between a bank's owner and its risk … standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …

Persistent link: https://www.econbiz.de/10011318589

Integrating stress scenarios into risk quantification models

Abdymomunov, Azamat; Blei, Sharon; Ergashev, Bakhodir - In: Journal of financial services research : JFSR 47 (2015) 1, pp. 57-79

Persistent link: https://www.econbiz.de/10011325835

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng F.; Wu, Dengsheng; … - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 161-189

Persistent link: https://www.econbiz.de/10011327637

Margining in derivatives markets and the stability of the banking sector

Gibson, Rajna; Murawski, Carsten - In: Journal of banking & finance 37 (2013) 4, pp. 1119-1132

Persistent link: https://www.econbiz.de/10009716242

Conditional copula simulation for systemic risk stress testing

Brechmann, Eike C.; Hendrich, Katharina; Czado, Claudia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 722-732

Persistent link: https://www.econbiz.de/10010227893

IRC and CRM : modelling framework for the "Basel 2.5" risk measures

Wilkens, Sascha; Brunac, Jean-Baptiste; Chorniy, Vladimir - In: European financial management : the journal of the … 19 (2013) 4, pp. 801-829

Persistent link: https://www.econbiz.de/10010237356

External risk measures and Basel accords

Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417

Persistent link: https://www.econbiz.de/10009787381

Special issue: Stress testing

Hopper, Greg (contributor) - 2014

Persistent link: https://www.econbiz.de/10010259553