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Survey of credit risk models in relation to capital adequacy framework for financial institutions
Nacaskul, Poomjai - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 68-84
Persistent link: https://www.econbiz.de/10011673803
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Model and estimation risk in credit risk stress tests
Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
Persistent link: https://www.econbiz.de/10011981523
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Modeling severity risk under PD-LGD correlation
Han, Chulwoo - In: The European journal of finance 23 (2017) 13/15, pp. 1572-1588
Persistent link: https://www.econbiz.de/10012014695
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A dynamic model approach of securitization and the financial crisis
Mpundu, Mubanga - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1873-1883
Persistent link: https://www.econbiz.de/10011775434
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Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures
Barnard, Brian - In: Expert journal of finance 5 (2017), pp. 49-72
Persistent link: https://www.econbiz.de/10011749658
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Unexpected loss, expected profit, and economic capital : a note on economic capital for credit risk incorporating interest income, expenses, losses, and ROE target
Krebs, Martin; Nippel, Peter - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012487743
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Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge
Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105
Persistent link: https://www.econbiz.de/10012174432
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Credit, liquidity and market risks on financial performance : evidence from rural banks in Ghana
Saeed, Musah Mohammed; Hollack, Obeng - In: International journal of accounting and finance 11 (2023) 4, pp. 285-304
Persistent link: https://www.econbiz.de/10014545171