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Empirical estimation of default and asset correlation of large corporates and banks in India

Bandyopadhyay, Arindam; Ganguly, Sonali - In: Journal of Risk Finance 14 (2013) January, pp. 87-99

and implicit asset correlations for banks and corporates in India and compare it with global scenario. This paper deduces …Purpose – Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk … their banks to calculate IRB risk weighted assets. Originality/value – These correlation estimates will help the regulators …

Persistent link: https://www.econbiz.de/10010610638

Credit risk capital estimation under IRB approach for banks in India

Bajaj, Richa Verma - In: Journal of quantitative economics 16 (2018) 2, pp. 475-500

Persistent link: https://www.econbiz.de/10012418500

Operational risk management : analysis of challenges faced by banks in India

Jadwani, Barkha; Parkhi, Shilpa - In: International journal of integrated supply management : … 14 (2021) 2, pp. 183-196

Persistent link: https://www.econbiz.de/10012598959

Risk management of stock portfolios with jumps at exogenous default events

Herbertsson, Alexander - 2023

Persistent link: https://www.econbiz.de/10014431441

Application of vine copulas to credit portfolio risk modeling

Geidosch, Marco; Fischer, Matthias - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-15

In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas for a subportfolio of the Euro Stoxx 50 and the...

Persistent link: https://www.econbiz.de/10011544001