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Stress test design
Canabarro, Eduardo Antonio Duarte - In: Journal of risk management in financial institutions 7 (2014) 1, pp. 52-61
Persistent link: https://www.econbiz.de/10010259565
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Quantifying and stress testing operational risk with peer banks' data
Abdymomunov, Azamat; Curti, Filippo - In: Journal of financial services research 57 (2020) 3, pp. 287-313
Persistent link: https://www.econbiz.de/10012228510
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Correlations in operational risk stress testing : use and abuse
Mitic, Peter - In: The journal of operational risk 17 (2022) 2, pp. 1-39
Persistent link: https://www.econbiz.de/10014546262
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Risk management in financial services
Organisation for Economic Co-operation and Development - 1992
Persistent link: https://www.econbiz.de/10014271246
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Models for risk aggregation and sensitivity analysis : an application to bank economic capital
Inanoglu, Hulusi; Jacobs, Michael - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 118-189
implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that …
Persistent link: https://www.econbiz.de/10011556126
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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
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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
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Integrated risk measurement system in commercial bank
Zhevaga, Alexander; Morgunov, Alexei - In: Risk assessment and financial regulation in emerging …, (pp. 225-250). 2021
Integrated risk management means the comprehensive and effective management all significant risks (affecting the bank's activities) and their interrelation, including building a corporate culture of risk management and integrating risk management into strategic planning. The significant risks...
Persistent link: https://www.econbiz.de/10012591724
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Basel IV : The Next Generation of Risk Weighted Assets
Neisen, Martin (ed.); Röth, Stefan (ed.) - 2018 - 2nd edition
supervisory assessment methodology -- 2.4 Definition of Default -- 2.5 Risk estimates -- 2.6 ECB's targeted review of internal …
Persistent link: https://www.econbiz.de/10011896237
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Stress testing tool in banking risk management : an evidence from Serbia
Džodžo, Miodrag - In: Economic analysis : EA 49 (2016) 3/4, pp. 20-24
Persistent link: https://www.econbiz.de/10012063105