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External risk measures and Basel accords

Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417

Persistent link: https://www.econbiz.de/10009787381

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

Quantifizierung von Kreditportfoliorisiken : eine Untersuchung zu Modellalternativen und Anwendungsfeldern

Bröker, Frank - 2000

Persistent link: https://www.econbiz.de/10001506939

Value-at-risk capital requirement regulation, risk taking and asset allocation : a mean–variance analysis

Kaplanski, Guy; Levy, Haim - In: The European journal of finance 21 (2015) 1/3, pp. 215-241

Persistent link: https://www.econbiz.de/10010519956

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

Geographic diversification in banking

Fang, Yiwei; Lelyveld, Iman van - In: Journal of financial stability 15 (2014), pp. 172-181

Persistent link: https://www.econbiz.de/10011306462

The importance of accurate risk modelling techniques for corporate ownders and managers : an application of distribution fitting to illiquid securities

O'Connell, Darren; O'Grady, Barry - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 8-20

Persistent link: https://www.econbiz.de/10011337224

Concentration risk model for Greek bank's credit portfolio

Lefcaditis, Constantinos; Tsamis, Anastasios; … - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 71-93

Persistent link: https://www.econbiz.de/10010252215

An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing

Huang, Haohan; Wang, Eugene; Huang, Huaxiong; Wang, Yong - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011442455

Capital for concentrated credit portfolios

Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322

Persistent link: https://www.econbiz.de/10011531169

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