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Sustainable profitability in volatile cyclical markets
Sarraf, Hanna - In: Journal of risk management in financial institutions 13 (2019/2020) 2, pp. 182-189
Persistent link: https://www.econbiz.de/10012250026
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Loan loss provisioning rules, procyclicality, and financial volatility
Agénor, Pierre-Richard; Zilberman, Roy - 2013
Persistent link: https://www.econbiz.de/10009765503
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Loan loss provisioning rules, procyclicality, and financial volatility
Agénor, Pierre-Richard; Zilberman, Roy - In: Journal of banking & finance 61 (2015), pp. 301-315
Persistent link: https://www.econbiz.de/10011545413
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Momentum strategy and credit risk
Lu, Su-lien; Lee, Kuo-jung; Yu, Chia-chang - In: Applied financial economics 24 (2014) 10/12, pp. 753-762
Persistent link: https://www.econbiz.de/10010402585
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524
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Three essays on financial markets and institutions
Souto, Marcos Rietti - 2005
Persistent link: https://www.econbiz.de/10003904272
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael (contributor);  … - 2007
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...
Persistent link: https://www.econbiz.de/10003477096
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael; Schmieder, Christian - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 229-244
Persistent link: https://www.econbiz.de/10009517641
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Applied quantitative finance : theory and computational tools
Härdle, Wolfgang; Stahl, Gerhard - 2002
Persistent link: https://www.econbiz.de/10001676122
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Modelling Dynamic Portfolio Risk Using Risk Drivers of Elliptical Processes
Schmidt, Rafael - 2016
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...
Persistent link: https://www.econbiz.de/10012989295