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Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults

Djeundje, Viani Biatat; Crook, Jonathan N. - In: Journal of the Operational Research Society 74 (2023) 7, pp. 1763-1774

Persistent link: https://www.econbiz.de/10014336309

Does risk culture affect banks' volatility? : the case of the G-SIBs

Coluccia, Daniela; Fontana, Stefano; Graziano, Elvira Anna - In: Corporate ownership & control : international … 15 (2017/2018) 1, pp. 33-43

Persistent link: https://www.econbiz.de/10011892948

Product mix and earnings volatility at commercial banks : evidence from a degree of leverage model

DeYoung, Robert; Roland, Karin P. - 1999

Persistent link: https://www.econbiz.de/10001448657

Product mix and earnings volatility at commercial banks : evidence from a degree of total leverage model

DeYoung, Robert; Roland, Karin P. - In: Journal of financial intermediation 10 (2001) 1, pp. 54-84

Persistent link: https://www.econbiz.de/10001567413

Agent-based risk management : a regulatory approach to financial markets

Theobald, Thomas - 2012

This paper provides market risk calculation for an equity-based trading portfolio. Instead of relying on the purely stochastic internal model method, which banks currently apply in line with the Basel regulatory requirements, we propose to include also alternative price mechanisms from the...

Persistent link: https://www.econbiz.de/10009616510