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Money multiplier under Basel capital ratio regulation : implications for counter-COVID-19 stimulus

Penikas, Henry - In: Journal of sustainable finance & investment 13 (2023) 1, pp. 431-449

Persistent link: https://www.econbiz.de/10013543409

IRB asset and default correlation : rationale for the macroprudential mark-ups to the IRB risk-weights

Penikas, Henry - In: Risk management : an international journal 25 (2023) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10013490813

Application of Copula models for modeling one-dimensional time series

Onishchenko, Vadim; Penikas, Henry - In: Financial econometrics and empirical market microstructure, (pp. 225-239). 2015

Persistent link: https://www.econbiz.de/10011326630

Modern financial engineering : counterparty, credit, portfolio and systemic risks

Orlando, Giuseppe; Bufalo, Michele; Penikas, Henry; … - 2022

"The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance. Initially the focus is on the modeling of credit risk parameters mainly at the level of individual...

Persistent link: https://www.econbiz.de/10012805602