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Modeling loss given default regressions
Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
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Cross-country linkages as determinants of procyclicality of loan loss provisions
Olszak, Małgorzata; Pipień, Mateusz - In: The European journal of finance 22 (2016) 10/12, pp. 965-984
Persistent link: https://www.econbiz.de/10011715284
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Bank capital structure and financial innovation : antagonists or two sides of the same coin?
Sasso, Lorenzo - In: Journal of financial regulation 2 (2016) 2, pp. 225-263
Persistent link: https://www.econbiz.de/10011731784
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The role of the loss function in value-at-risk comparisons
Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
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Operational losses for the capital charge of health insurers : lessons from Spain
Barros, Rafael Hernández; Martínez Torre-Enciso, … - In: The Geneva papers on risk and insurance - issues and … 37 (2012) 4, pp. 763-779
Persistent link: https://www.econbiz.de/10009675286
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Robust estimation of value-at-risk through distribution-free and parametric approaches using the joint severity and frequency model : applications in financial, actuarial, and natu...
Guharay, Sabyasachi; Chang, KC; Xu, Jie - In: Risks : open access journal 5 (2017) 3, pp. 1-29
Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and … loss frequency. In practice, this assumption does not always hold true. Through mathematical analyses, we show that the … loss spills as tracked by the US Coast Guard, Australian automobile accidents, and US hurricane losses. The classical …
Persistent link: https://www.econbiz.de/10011687895
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Estimation of losses due to cyber risk for financial institutions
Bouveret, Antoine - In: The journal of operational risk 14 (2019) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10012052398
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Risk management and derivatives losses
Levin-Konigsberg, Gabriel; Stein, Hillary; García … - 2023 - This version: July 2023
Even though financial risk management has the ability to generate value, the use of financial derivatives among nonfinancial corporations remains limited. We identify a channel that contributes to this limited use: the decoupling of derivatives losses and operational gains. Specifically, firms...
Persistent link: https://www.econbiz.de/10014414181
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The impact of credit risk assessment on credit activity of commercial banks
Ljubić, Marijana; Pavlović, Vladan; Milančić, Srećko - In: Megatrend revija 12 (2015) 3, pp. 141-152
Persistent link: https://www.econbiz.de/10011428349
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Incorporating environmental criteria into credit risk management in Bangladeshi banks
Weber, Olaf; Hoque, Asadul; Islam, Mohammad Ayub - In: Journal of sustainable finance & investment 5 (2015) 1/2, pp. 1-15
Persistent link: https://www.econbiz.de/10011348488