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Bedeutung und Messung des Loss-Given-Defaults im Rahmen der ökonomischen und aufsichtsrechtlichen Kreditrisikomodellierung
Asmus, Corinna - 2007 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003538202
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A study on the EBA stress test results : influence of bank, portfolio and country-level characteristics
Hernández, Javier; Población García, Javier; … - 2022
The purpose of this paper is to investigate the main drivers of the change in the credit risk provisions at a portfolio level for the banks that have been subject of the 2018 EBA stress tests. Therefore, we perform a holistic review of the drivers of the three-year projections of credit losses....
Persistent link: https://www.econbiz.de/10012822183
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Endogenous/exogenous segmentation in the A-IRB framework and the pro-cyclicality of capital : an application to mortgage portfolios
Canals-Cerdá, José J. - 2017
Persistent link: https://www.econbiz.de/10011689295
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How to find plausible, severe, and useful stress scenarios
Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus - 2009
Persistent link: https://www.econbiz.de/10003810905
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Supervisory framework for measuring and controlling large exposures : [final] standard
2014 - April 2014
Persistent link: https://www.econbiz.de/10010345556
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Aufsichtsrechtliche Anerkennung von internen Modellen zur Messung von Kreditrisiken
Lücke, Tobias - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009316525
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Stress-testing German credit portfolios
Mager, Ferdinand; Schmieder, Christian - In: The journal of risk model validation 3 (2009/10) 4, pp. 27-45
Persistent link: https://www.econbiz.de/10009262133
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Macro stress-testing on the loan portfolio of Japanese banks
Otani, Akira; Shiratsuka, Shigenori; Tsurui, Ryoko; … - 2009
Persistent link: https://www.econbiz.de/10003817968
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Kreditrisikomanagement : Kernbereiche, Aufsicht und Entwicklungstendenzen
Oehler, Andreas (ed.) - 2002 - 2., überarb. und erheblich erw. Aufl.
Persistent link: https://www.econbiz.de/10001697590
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Stress-Szenarien im Rahmen der Risikotragfähigkeitsrechnung
Reitz, Stefan - In: Handbuch ökonomisches Kapitel, (pp. 319-346). 2008
Persistent link: https://www.econbiz.de/10003752340