Showing 1 - 10 of 30
Persistent link: https://www.econbiz.de/10003759999
Persistent link: https://www.econbiz.de/10003889276
Persistent link: https://www.econbiz.de/10003477132
Persistent link: https://www.econbiz.de/10008667291
Persistent link: https://www.econbiz.de/10009410470
Persistent link: https://www.econbiz.de/10009410472
Persistent link: https://www.econbiz.de/10009410478
We apply a novel Quantile Monte Carlo (QMC) model to measure extreme risk of various European industrial sectors both prior to and during the Global Financial Crisis (GFC). The QMC model involves an application of Monte Carlo Simulation and Quantile Regression techniques to the Merton structural...
Persistent link: https://www.econbiz.de/10009410481
Persistent link: https://www.econbiz.de/10010354388
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