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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution

Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753

Persistent link: https://www.econbiz.de/10012289204

Does the value-at-risk legal framework lead to inaccurate and procyclical risk estimations? : empirical evidence from the eu countries

Vasileiou, Evangelos; Theodoros, Syriopoulos; … - In: The journal of prediction markets 16 (2022) 1, pp. 95-121

Persistent link: https://www.econbiz.de/10014289727

Risikotriade : Zins-, Kredit- und operationelle Risiken

Wiedemann, Arnd - 2008 - 2., überarb. Aufl.

Persistent link: https://www.econbiz.de/10003794070

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

Floreani, Alberto - In: The Geneva papers on risk and insurance - issues and … 38 (2013) 2, pp. 189-212

Persistent link: https://www.econbiz.de/10009752627

Identifying contagion risk in the international banking system : an extreme value theory approach

Chan-Lau, Jorge A.; Mitra, Srobona; Ong, Li Lian - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 390-406

Persistent link: https://www.econbiz.de/10009689473

Global quantitative risk

In: The journal of investing 22 (2013) 4, pp. 103-147

Persistent link: https://www.econbiz.de/10010357083

Optimal reinsurance in the presence of counterparty default risk

Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697

Persistent link: https://www.econbiz.de/10010227904

Allocating systemic risk in a regulatory perspective

Gouriéroux, Christian; Monfort, Alain - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20

Persistent link: https://www.econbiz.de/10010233265

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173

Persistent link: https://www.econbiz.de/10010235455

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