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Measuring the diversification of a loan portfolio
Tourin, Agnès - In: International journal of bonds and derivatives 4 (2020) 2, pp. 104-113
Persistent link: https://www.econbiz.de/10012505156
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Conditional copula simulation for systemic risk stress testing
Brechmann, Eike C.; Hendrich, Katharina; Czado, Claudia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 722-732
Persistent link: https://www.econbiz.de/10010227893
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Genauigkeit von Schätzungen des Risikopotentials
Huschens, Stefan - 1997
Persistent link: https://www.econbiz.de/10000961431
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Genauigkeit von Schätzungen des Risikopotentials
Huschens, Stefan - In: Geld, Finanzwirtschaft, Banken und Versicherungen : …, (pp. 615-626). 1997
Persistent link: https://www.econbiz.de/10001299010
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Importance sampling in the presence of PD-LGD correlation
Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36
This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large … importance sampling to estimate large deviation probabilities in those models. Numerical evidence indicates that the proposed …
Persistent link: https://www.econbiz.de/10012203783
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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 latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in banking, with a special focus on the dynamically...
Persistent link: https://www.econbiz.de/10011452984
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Insider bank runs : community bank fragility and the financial crisis of 2007
Henderson, Christopher; Lang, William W.; Jackson, … - 2015
Persistent link: https://www.econbiz.de/10010502801
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Interbank lending and distress : observables, unobservables, and network structure
Craig, Ben R.; Koetter, Michael; Krüger, Ulrich - 2014
Persistent link: https://www.econbiz.de/10010423484
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Bank quality, loan demand, and market discipline
Önder, Zeynep; Özyıldırım, Süheyla - In: Emerging markets finance & trade : a journal of the … 50 (2014) 4, pp. 61-72
Persistent link: https://www.econbiz.de/10010485280
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Investigation on the credit risk transfer effects on the banking stability and performance
Younes, R. - In: Cogent economics & finance 10 (2022) 1, pp. 1-21
Considered among of the main causes of the 2007 financial crisis, the credit risk transfer activities deserve nowadays particular attention. This study discusses the continuous effectiveness of the credit risk transfer activities by investigating their effects on the bank risk, liquidity and...
Persistent link: https://www.econbiz.de/10013435725