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Extended saddlepoint methods for credit risk measurement
García-Céspedes, Rúben; Moreno, Manuel - In: The journal of computational finance 20 (2016) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10011656202
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Credit risk measurement : new approaches to value at risk and other paradigms
Saunders, Anthony - 1999
Persistent link: https://www.econbiz.de/10000682884
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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A review of individual and systemic risk measures in terms of applicability for banking regulations
Sum, Katarzyna - In: Contemporary economics 10 (2016) 1, pp. 71-82
the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …
Persistent link: https://www.econbiz.de/10011452984
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Ranking consistency of systemic risk measures : a simulation-based analysis in a banking network model
Grundke, Peter - In: Review of quantitative finance and accounting 52 (2019) 4, pp. 953-990
Persistent link: https://www.econbiz.de/10012172866
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External risk measures and Basel accords
Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417
Persistent link: https://www.econbiz.de/10009787381
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Counterparty risk allocation
Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
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Bounding Wrong-Way Risk in Measuring Counterparty Risk
Glasserman, Paul - 2015
Counterparty risk measurement integrates two sources of risk: market risk, which determines the size of a firm … addresses an important source of model risk in counterparty risk measurement …
Persistent link: https://www.econbiz.de/10013017200