Narrow search
Showing 1 - 10 of 13,949
Cover Image
Mortgages : estimating default correlation and forecasting default risk
Neumann, Tobias - 2018
Persistent link: https://www.econbiz.de/10011914364
Cover Image
Essays on systemic risk and financial stability
Kund, Arndt-Gerrit - 2021
Persistent link: https://www.econbiz.de/10012818075
Cover Image
What do bankrupcty prediction models tell us about banking regulation? : evidence from statistical and learning approaches
Durand, Pierre; LeQuang, Gaëtan - 2021
Persistent link: https://www.econbiz.de/10012437102
Cover Image
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi; Dionne, Georges - 2022
Persistent link: https://www.econbiz.de/10013273453
Cover Image
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi; Dionne, Georges - 2022
Persistent link: https://www.econbiz.de/10013279729
Cover Image
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi; Dionne, Georges - 2023
Persistent link: https://www.econbiz.de/10014232280
Cover Image
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi; Dionne, Georges - 2023
Persistent link: https://www.econbiz.de/10014234014
Cover Image
Predicting & Regulating the Systemic Risks of Financial Institutions
Greilsamer, Nicolas - 2016
“Too-Big-to-Fail” is a legitimate trepidation from a macro-prudential perspective of bank regulation. In addition to … crisis that led to instances of heightened systemic risk. Furthermore, I evaluate the current themes in regulation, in order …
Persistent link: https://www.econbiz.de/10013008919
Cover Image
Expected shortfall or median shortfall
Kou, Steven; Peng, Xianhua - In: Journal of financial engineering 1 (2014) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10010508103
Cover Image
A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2008
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...
Persistent link: https://www.econbiz.de/10003893363