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A value-at-risk approach to banks' capital buffers : an application to the new Basel accord
Peura, Samu - In: Essays on corporate hedging, (pp. 98-118). 2003
Persistent link: https://www.econbiz.de/10001755895
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A value-at-risk approach to banks' capital buffers : an application to the new Basel accord
Jokivuolle, Esa; Peura, Samu - 2001
Persistent link: https://www.econbiz.de/10001601790
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Replacing ratings
Becker, Bo; Opp, Marcus M. - 2013
Persistent link: https://www.econbiz.de/10009785422
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Skewness of returns, capital adequacy, and mortgage lending
Dimou, Paraskevi; Lawrence, Colin; Milne, Alistair - In: Journal of financial services research : JFSR 28 (2005) 1/2/3, pp. 135-161
Persistent link: https://www.econbiz.de/10003227605
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A theory of risk capital
Erel, Isil; Myers, Stewart C.; Read, James A. - In: Journal of financial economics 118 (2015) 3, pp. 620-635
Persistent link: https://www.econbiz.de/10011480544
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Evaluation of empirical attributes for credit risk forecasting from numerical data
Dimitras, Augustinos; Papadakis, Stelios; Garefalakis, … - In: Investment management and financial innovations 14 (2017) 1, pp. 9-18
Persistent link: https://www.econbiz.de/10011815727
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The empirical relation between credit quality, recovery, and correlation
Rösch, Daniel; Scheule, Harald - 2009
Persistent link: https://www.econbiz.de/10003975032
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The impact of downward rating momentum
Güttler, André; Raupach, Peter - In: Journal of financial services research : JFSR 37 (2010) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10003955519
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Evaluating credit risk exposure in agriculture
Zech, Lyubov - 2003
Persistent link: https://www.econbiz.de/10003379226
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The impact of downward rating momentum on credit portfolio risk
Güttler, André (contributor); Raupach, Peter (contributor) - 2008
Rating downgrades are known to make subsequent downgrades more likely. We analyze the impact of this 'downward momentum' on credit portfolio risk. Using S&P ratings from 1996 to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitive to previous...
Persistent link: https://www.econbiz.de/10003721597