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Broll, Udo; Sobiech, Anna; Wahl, Jack E. - In: Contemporary economics 6 (2012) 4, pp. 50-53

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification … achieve a confidence level for solvency, we demonstrate that diversification reduces the amount of equity. Notably, the VaR …

Persistent link: https://www.econbiz.de/10009768157

An investigation of hypothetical variance-covariance matrix stress-testing

Rayer, Quintin - In: Journal of risk management in financial institutions 9 (2016) 3, pp. 264-288

Persistent link: https://www.econbiz.de/10011661846

Computational methods in financial engineering : essays in honour of Manfred Gilli

Kontoghiorghes, Erricos John (ed.); Gilli, Manfred (honouree) - 2008

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Derivatives, risk management & value

Bellalah, Mondher - 2009

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Stress testing for financial institutions : applications, regulations and techniques

Rösch, Daniel (ed.) - 2008

Persistent link: https://www.econbiz.de/10008738705

Market liquidity risk : implications for asset pricing, risk management, and financial regulation

Van der Merwe, Andria - 2015 - 1. ed.

Musings on liquidity -- Financial crises and liquidity traffic jams -- Market structures and institutional arrangements of trading -- Asset pricing and liquidity models -- Stories of liquidity and credit -- Financial regulation and liquidity risk management