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Volatility risk measures and banks' leverage
Anselmi, Giulio - 2024
Persistent link: https://www.econbiz.de/10015046722
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Theorie der risikoabhängigen Eigenkapitalregulierung von Banken
Wahrenburg, Mark - 2009
Persistent link: https://www.econbiz.de/10003888287
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Quantifizierung von Kreditportfoliorisiken : eine Untersuchung zu Modellalternativen und Anwendungsfeldern
Bröker, Frank - 2000
Persistent link: https://www.econbiz.de/10001506939
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A contingent-claim approach to the joint decision of the flat-rate deposit insurance and risk-based capital regulation
Ting, Pi-hui; Wu, Chin-shun; Wu, Soushan - In: Advances in Pacific Basin financial markets 5 (1999), pp. 73-92
Persistent link: https://www.econbiz.de/10001493499
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Options positions : risk measurement and capital requirements
Estrella, Arturo (contributor) - 1994
Persistent link: https://www.econbiz.de/10000905447
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Eigenmittelunterlegung von Zinsrisiken bei Kreditinstituten
Schmidt, Andreas - 1998
Persistent link: https://www.econbiz.de/10000989389
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Modeling Risk Weighted Assets and the Risk Sensitivity of Related Capital Requirements
Eberlein, Ernst - 2013
approach. Capital measures using RWAVaR are observed to be sensitive to volatility, the volatility of volatility, the skewness … of return distributions and the volatility spread across maturities. Movements in bid ask spreads also strongly influence …
Persistent link: https://www.econbiz.de/10013085017
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Minimizing banking risk in a Lévy process setting
Gideon, F.; Mukuddem-Petersen, Janine; Petersen, Mark A. - In: Inventi impact: microfinance & banking (2012) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10009622971
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Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10008702343
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The stochastic-volatility American put option of banks' credit line commitments : valuation and policy implications
Chateau, Jean-Pierre D.; Dufresne, D. - In: International review of financial analysis 11 (2002) 2, pp. 159-181
Persistent link: https://www.econbiz.de/10001715955