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Credit risk capital estimation under IRB approach for banks in India
Bajaj, Richa Verma - In: Journal of quantitative economics 16 (2018) 2, pp. 475-500
Persistent link: https://www.econbiz.de/10012418500
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Asset correlation estimation for inhomogeneous exposure pools
Wunderer, Christoph - In: The journal of credit risk : published quarterly by … 15 (2019) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012121559
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Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014431441
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Application of vine copulas to credit portfolio risk modeling
Geidosch, Marco; Fischer, Matthias - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-15
In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas for a subportfolio of the Euro Stoxx 50 and the...
Persistent link: https://www.econbiz.de/10011544001
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A study on operational risk and credit portfolio risk estimation using data analytics
Chen, Rongda; Wang, Ze; Yang, Liu; Ng, C. T.; Cheng, T. … - In: Decision sciences 53 (2022) 1, pp. 84-123
Persistent link: https://www.econbiz.de/10013164973
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Modeling dependent risk factors with CreditRisk+
Zhang, Xiaohang; Choe, SuBang; Zhu, Ji; Bewick, Jill - In: The journal of credit risk : published quarterly by … 14 (2018) 2, pp. 29-43
Persistent link: https://www.econbiz.de/10011917573
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Asymmetric asset correlation in credit portfolios
Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013478636
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Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014518798
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Book-to-market equity, operating risk, and asset correlations : implications for Basel capital requirement
Lee, Shih-cheng; Lin, Chien-ting - In: Journal of international financial markets, … 22 (2012) 4, pp. 973-989
Persistent link: https://www.econbiz.de/10009582493
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Transition probability matrix methodology for incremental risk charge
Yavin, Tzahi; Wang, Eugene; Zhang, Hu; Clayton, Michael A. - In: Journal of financial engineering 1 (2014) 1, pp. 1-47
Persistent link: https://www.econbiz.de/10010508091