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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
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The impact of different default triggers on CMBS risk evaluation
Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91
Persistent link: https://www.econbiz.de/10011700690
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Does market risk predict credit risk? : an analysis of firm risk sensitivity, evidence from South Korea
Lim, Hyoungjoo; Mali, Dafydd - In: Asia-Pacific journal of accounting & economics : APJAE 25 (2018) 1/2, pp. 235-252
Persistent link: https://www.econbiz.de/10011986366
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Dependence between extreme risk factor movements of euro area sovereign bonds
Kahlert, Dennis - In: Three essays on capital and liquidity, (pp. 108-141). 2018
Persistent link: https://www.econbiz.de/10012116903
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Tail risk in a retail payments system
Sabetti, Leonard; Jacho-Chávez, David T.; Petrunia, Robert - In: Jahrbücher für Nationalökonomie und Statistik 238 (2018) 3/4, pp. 353-369
Persistent link: https://www.econbiz.de/10011954478
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Risikotriade : Zins-, Kredit- und operationelle Risiken
Wiedemann, Arnd - 2008 - 2., überarb. Aufl.
Persistent link: https://www.econbiz.de/10003794070
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Calculating trading book capital : is risk separation appropriate?
Raupach, Peter - 2015
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 and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …
Persistent link: https://www.econbiz.de/10011299075
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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
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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
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Global quantitative risk
In: The journal of investing 22 (2013) 4, pp. 103-147
Persistent link: https://www.econbiz.de/10010357083