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Measurement of extreme market risk : insights from a comprehensive literature review
Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24
evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a …
Persistent link: https://www.econbiz.de/10013183970
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Measuring organizational downside risk
Miller, Kent D. - 1994
Persistent link: https://www.econbiz.de/10000891710
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Interest rate interventions with different stock market risk measures
Lindén, Mikael; Suonperä, Antti - 1990
Persistent link: https://www.econbiz.de/10000806904
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Credit risk measurement : new approaches to value at risk and other paradigms
Saunders, Anthony - 1999
Persistent link: https://www.econbiz.de/10000682884
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Risikomessung mit Shortfall-Maßen : das Programm MAMBA - Metzler Asset Management Benchmark Analyser
Korn, Olaf; Schröder, Michael; Szczesny, Andrea; … - 1996
Persistent link: https://www.econbiz.de/10000663809
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Computation and asymptotic properties of estimated coherent risk measures
Miller, D. J.; Kim, M. - In: Computational finance and its applications III : …, (pp. 175-184). 2008
Persistent link: https://www.econbiz.de/10003713310
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Abbildung, Messung und Steuerung von Zinsrisiken
Fröhlich, Joachim; Steinwachs, Patrick - In: Zinsrisikomanagement : neue Vorgaben der Bankenaufsicht …, (pp. 79-170). 2008
Persistent link: https://www.econbiz.de/10003719005
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Managing operational risk : methodology and prospects
Temnov, Grigory - In: Mathematical control theory and finance, (pp. 397-417). 2008
Persistent link: https://www.econbiz.de/10003755898
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Das IRB-Modell des Kreditrisikos im Vergleich zum Modell einer logarithmisch normalverteilten Verlustfunktion
Vetter, Michael (contributor); Cremers, Heinz (contributor) - 2008
capital requirements for banks. The New Accord called "International Convergence of Capital Measurement and Capital Standard …" provides in its first pillar for a finer measurement of credit risk. Banks that have received supervisory approval to use the …
Persistent link: https://www.econbiz.de/10003763761
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Evaluating portfolio performance : LPM-based risk measures and the mean-equivalence approach
Mishra, Banikanta; Rahman, Mahmud - 2008
Persistent link: https://www.econbiz.de/10003764510