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Das IRB-Modell des Kreditrisikos im Vergleich zum Modell einer logarithmisch normalverteilten Verlustfunktion
Vetter, Michael (contributor); Cremers, Heinz (contributor) - 2008
capital requirements for banks. The New Accord called "International Convergence of Capital Measurement and Capital Standard …" provides in its first pillar for a finer measurement of credit risk. Banks that have received supervisory approval to use the …
Persistent link: https://www.econbiz.de/10003763761
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Efficient portfolio analysis using distortion risk measures
Gouriéroux, Christian; Liu, Wei - 2006
Persistent link: https://www.econbiz.de/10003422288
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Measuring potential market risk
Bask, Mikael (contributor) - 2007
Persistent link: https://www.econbiz.de/10003576470
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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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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...
Persistent link: https://www.econbiz.de/10010258580
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Model risk in backtesting risk measures
Evers, Corinna; Rohde, Johannes - 2014
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems...
Persistent link: https://www.econbiz.de/10010344866
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Equivalence of robust VaR and CVaR optimization
Lofti, Somayyeh; Zenios, Stauros Andrea - 2016 - Date of first version: April 4, 2016
Persistent link: https://www.econbiz.de/10011539339
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Geometrical framework for robust portfolio optimization
Bazovkin, Pavel - 2014
We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure is convexity. We apply the...
Persistent link: https://www.econbiz.de/10010407976
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Fair risk allocation in illiquid markets
Csóka, Péter - 2015
performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …
Persistent link: https://www.econbiz.de/10010481803
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Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Jaschke, Stefan R.; Küchler, Uwe - 1999
This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …
Persistent link: https://www.econbiz.de/10009581108