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Backtesting for risk-based regulatory capital

Kerkhof, Franciscus Lambertus Johannes; Melenberg, Bertrand - In: Journal of banking & finance 28 (2004) 8, pp. 1845-1865

Persistent link: https://www.econbiz.de/10002118324

Model risk and capital reserves

Kerkhof, Franciscus Lambertus Johannes; Melenberg, Bertrand - In: Journal of banking & finance 34 (2010) 1, pp. 267-279

Persistent link: https://www.econbiz.de/10003906302

Model risk and regulatory capital

Kerkhof, Jeroen (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001661005

Model risk analysis for risk management and option pricing

Kerkhof, Franciscus Lambertus Johannes - 2003

Persistent link: https://www.econbiz.de/10001861658

Backtesting for risk-based regulatory capital

Kerkhof, Jeroen (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001733005

Testing expected shortfall models for derivative positions

Kerkhof, Jeroen (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001773733

Fast drift-approximated pricing in the BGM model

Pietersz, Raoul; Pelsser, Antoon André Jean; … - In: The journal of computational finance 8 (2004) 1, pp. 93-124

Persistent link: https://www.econbiz.de/10002390575

Risk managing Bermudan swaptions in the Libor BGM model

Pietersz, Raoul (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001902799

Risk-management Bermudan swaptions in a LIBOR model

Pietersz, Raoul; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 11 (2003) 3, pp. 51-62

Persistent link: https://www.econbiz.de/10002007139

Theory and Validation of Replicating Portfolios in Insurance Risk Management

Beutner, Eric - 2016

The Solvency II framework challenges insurers to evaluate and manage their embedded balance sheet risks appropriately. However, insurances hold balance sheet items, for which closed-form solutions and market prices are not available. Pure Monte Carlo valuation requires nested simulations, which...

Persistent link: https://www.econbiz.de/10013005359