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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default

Wang, Zheqi; Crook, Jonathan N.; Andreeva, Galina - In: European journal of operational research : EJOR 287 (2020) 2, pp. 725-738

Persistent link: https://www.econbiz.de/10012293945

The impact of intellectual capital efficiency on Bank risks: empirical evidence from the Saudi banking industry

Alrashidi, Abdulelah; Alarfaj, Omar - In: International journal of economics and financial issues … 10 (2020) 4, pp. 206-214

Persistent link: https://www.econbiz.de/10012304125

Banking reform

Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011554963

Financial liability stress tests : an approach based on the use of a rating migration matrix

Kleszcz, Klaudia; Nehrebecka, Natalia - In: Central European economic journal 7 (2020) 54, pp. 13-32

The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix. The analysis is conducted on a sample of listed companies in Poland in the years 1998-2016, and the forecasts are made for the years 2016-2018. Particular attention is paid to...

Persistent link: https://www.econbiz.de/10012303645

Validation of default probability models : a stress testing approach

Tsukahara, Fábio Yasuhiro; Kimura, Herbert; Sobreiro, … - In: International review of financial analysis 47 (2016), pp. 70-85

Persistent link: https://www.econbiz.de/10011624054

Risk-taking behavior during financial crisis of European banking industry

Jabra, Wiem Ben; Mighri, Zouheir; Mansouri, Fayçal - In: The empirical economics letters : a monthly … 15 (2016) 10, pp. 1017-1028

Persistent link: https://www.econbiz.de/10011717136

Coping with inconsistencies in bank risk weighted assets

Araten, Michel - In: Journal of risk management in financial institutions 6 (2012/13) 3, pp. 219-228

Persistent link: https://www.econbiz.de/10010197078

Survey of credit risk models in relation to capital adequacy framework for financial institutions

Nacaskul, Poomjai - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 68-84

Persistent link: https://www.econbiz.de/10011673803

Forecasting corporate defaults in the German stock market

Mertens, Richard Lennart; Poddig, Thorsten; Fieberg, … - In: Journal of risk 20 (2017/2018) 6, pp. 29-54

Persistent link: https://www.econbiz.de/10011962407

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