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Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets
Schulmerich, Marcus - 2015
triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock … can be downloaded at extras.springer.com. In this book modern portfolio theory meets behavioral finance, resulting in new …
Persistent link: https://www.econbiz.de/10012402226
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Applied asset and risk management : a guide to modern portfolio management and behavior-driven markets
Schulmerich, Marcus; Leporcher, Yves-Michel; Eu, Ching-Hwa - 2015 - Aufl. 2015
Persistent link: https://www.econbiz.de/10010429724
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Credit Risk und Value-at-Risk Alternativen : Herausforderungen für das Risk-Management
Oehler, Andreas (ed.) - 1998
Persistent link: https://www.econbiz.de/10000664860
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Modelling and calibration errors in measures of portfolio credit risk
Tarashev, Nikola A.; Zhu, Haibin - 2007
This paper develops an empirical procedure for analyzing the impact of model misspecification and calibration errors on measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure reveals that violations of key assumptions of the...
Persistent link: https://www.econbiz.de/10003512271
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Systemic risk contributions : a credit portfolio approach
Düllmann, Klaus; Puzanova, Natalia - 2011
We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...
Persistent link: https://www.econbiz.de/10009011220
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Systemic risk contributions : a credit portfolio approach
Puzanova, Natalia; Düllmann, Klaus - In: Journal of banking & finance 37 (2013) 4, pp. 1243-1257
Persistent link: https://www.econbiz.de/10009719795
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Value at risk bounds for portfolios of non-normal returns
Luciano, Elisa; Marena, M. - In: New trends in banking management : with 42 tables, (pp. 207-222). 2002
Persistent link: https://www.econbiz.de/10001703811
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Handbuch Bankenaufsicht und interne Risikosteuerungsmodelle : Quantifizierung und Analyse von Risiken mit bankinternen Modellen, bankaufsichtliche Anforderungen
Eller, Roland (ed.); Gruber, Walter (ed.); Reif, Markus (ed.) - 1999 - 1. Auflage
Persistent link: https://www.econbiz.de/10001379221
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Systemic Risk Contributions : A Credit Portfolio Approach
Tente, Natalia - 2011
We put forward a framework for measuring systemic risk and attributing it to individual banks. Systemic risk is measured as the expected loss to depositors and investors when a low-probability systemic event occurs. The risk contributions are calculated based on derivatives of the systemic risk...
Persistent link: https://www.econbiz.de/10013118586
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Systemic Risk Contributions : A Credit Portfolio Approach
Duellmann, Klaus - 2016
We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. We measure systemic risk...
Persistent link: https://www.econbiz.de/10012989230