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IRB asset and default correlation : rationale for the macroprudential mark-ups to the IRB risk-weights
Penikas, Henry - In: Risk management : an international journal 25 (2023) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10013490813
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Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria
Penikas, Henry - In: Risk management : an international journal 25 (2023) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10014372840
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Stress-testing and credit risk revisited : a shipping sector application
Merika, Anna; Negkakis, Ioannis; Penikas, Henry - In: International journal of banking, accounting and … 12 (2021) 4, pp. 347-367
Persistent link: https://www.econbiz.de/10012694425
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IRB PD model accuracy validation in the presence of default correlation : a twin confidence interval approach
Borzykh, Dmitriy; Penikas, Henry - In: Risk management : an international journal 23 (2021) 4, pp. 282-300
Persistent link: https://www.econbiz.de/10012792821
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How do investors prefer for banks to transition to basel internal models : mandatorily or voluntarily?
Penikas, Henry; Skarednova, Anastasia; Surkov, Mikhail - In: The Quarterly Journal of Finance : QJF 13 (2023) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10014442254