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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

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

Modern financial engineering : counterparty, credit, portfolio and systemic risks

Orlando, Giuseppe; Bufalo, Michele; Penikas, Henry; … - 2022

"The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance. Initially the focus is on the modeling of credit risk parameters mainly at the level of individual...

Persistent link: https://www.econbiz.de/10012805602

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

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

Determinants of the probability of default : the case of the internationally listed shipping corporations

Lozinskaia, Agata; Merikas, Andreas G.; Merika, Anna; … - In: Maritime policy and management : MPM 44 (2017) 7/8, pp. 837-858

Persistent link: https://www.econbiz.de/10011854748

Macroprudential policy efficiency in Russia : assessment for the uncollateralized consumer loans

Kozlovtceva, Irina; Penikas, Henry; Petreneva, Ekaterina; … - In: Emerging markets review 52 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013419070