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Ruin theory revisited : stochastic models for operational risk

Embrechts, Paul; Kaufmann, Roger; Samorodnitsky, Gennady - In: Risk management for central bank foreign reserves, (pp. 243-261). 2004

Persistent link: https://www.econbiz.de/10002111520

International prudential regulation, regulatory risk and the cost of bank capital

Ngo, Phong T. H. (contributor) - 2006

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Capital regulation and risk sharing

Gale, Douglas - In: International journal of central banking : IJCB 6 (2010) 4, pp. 187-204

Persistent link: https://www.econbiz.de/10008907944

Bank capital adequacy for average market financial risk

Azar, Samih Antoine - In: The empirical economics letters : a monthly … 14 (2015) 6, pp. 631-635

Persistent link: https://www.econbiz.de/10011419189

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...

Persistent link: https://www.econbiz.de/10011299075

Risk measures and capital requirements : a critique of the Solvency II approach

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Measuring dynamic market risk charge for market risks

Rahim, Norhana Abd.; Tafri, Fauziah Hanim - In: International journal of economics, finance and … 1 (2013) 3, pp. 175-180

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The impact of model risk on capital reserves : a quantitative analysis

Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - In: Journal of risk 17 (2014/2015) 5, pp. 69-97

Persistent link: https://www.econbiz.de/10011438894

Control without limits : why the "fundamental review of trading books" is a good step forward and how it could go further

Godart, Cyril - In: Journal of risk management in financial institutions 8 (2015) 3, pp. 297-307

Persistent link: https://www.econbiz.de/10011443591

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