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Quality option profits, switching option profits, and variation margin costs : an evaluation of their size and impact on treasury bond futures prices

Barnhill, Theodore M. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 1, pp. 65-86

Persistent link: https://www.econbiz.de/10001082513

The delivery option on forward contracts: a comment

Barnhill, Theodore M. - In: Journal of financial and quantitative analysis : JFQA 23 (1988) 3, pp. 343-349

Persistent link: https://www.econbiz.de/10001056066

Systemic bank risk in Brazil : a comprehensive simulation of correlated market, credit, sovereign and inter-bank risks

Barnhill, Theodore M.; Souto, Marcos Rietti - In: Financial markets, institutions & instruments 18 (2009) 4, pp. 243-283

Persistent link: https://www.econbiz.de/10003913217

An analysis of off-site supervision of banks' profitability, risk and capital adequacy : a portfolio simulation approach applied to brazilian banks

Barnhill, Theodore M. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003382098

Systemic bank risk in Brazil : an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations

Barnhill, Theodore M. (contributor); … - 2008

In this study we develop and demonstrate a powerful and flexible forward-looking portfolio simulation methodology for assessing the correlated impacts of market risk, and private sector, sovereign and inter-bank default risk on both individual banks (i.e. 28 of the largest Brazilian banks) and...

Persistent link: https://www.econbiz.de/10003721590

Stochastic volatilities and correlations, extreme values and modeling the macroeconomic environment, under which Brazilian banks operate

Barnhill, Theodore M.; Souto, Marcos - 2007

Persistent link: https://www.econbiz.de/10003629457

Preemptive strategies for the assessment and management of financial system risk levels : an application to Japan with implications for emerging economies

Barnhill, Theodore M.; Papapanagiotou, Panagiotis; … - In: Review of Pacific Basin financial markets and policies 7 (2004) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10002073333

Measuring integrated market and credit risk in Bank Portfolios : an application to a set of hypothetical banks operating in South Afrika

Barnhill, Theodore M.; Papapanagiotou, Panagiotis; … - In: Financial markets, institutions & instruments 11 (2002) 5, pp. 401-443

Persistent link: https://www.econbiz.de/10001720038

Latin American credit ratings, the New Basel Capital Accord and portfolio risk

Barnhill, Theodore M.; Handorf, William Charles - In: Economia aplicada : EA 6 (2002) 3, pp. 445-462

Persistent link: https://www.econbiz.de/10001715806

Contingent claims analysis applied in credit risk modeling

Anderson, Anne M.; Maxwell, William F.; Barnhill, … - In: The journal of fixed income 12 (2002) 3, pp. 24-31

Persistent link: https://www.econbiz.de/10001763885

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