Similar Search Results

ROM simulation : applications to stress testing and VaR

Alexander, Carol; Ledermann, Daniel - 2012

Persistent link: https://www.econbiz.de/10009722161

IRC and CRM : modelling framework for the "Basel 2.5" risk measures

Wilkens, Sascha; Brunac, Jean-Baptiste; Chorniy, Vladimir - In: European financial management : the journal of the … 19 (2013) 4, pp. 801-829

Persistent link: https://www.econbiz.de/10010237356

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

Bank regulation and international financial stability : a case against the 2006 Basel framework for controlling tail risk in trading books

Alexander, Gordon J.; Bapstista, Alexandre M.; Yan, Shu - In: Journal of international money and finance 43 (2014), pp. 107-130

Persistent link: https://www.econbiz.de/10010372635

Take it to the limit: Innovative CVaR applications to extreme credit risk measurement

Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475

Persistent link: https://www.econbiz.de/10011436713

Current exposure method for CCP's under Basel III

Kotzé, Antoine; Preez, Paul du - In: Risk governance & control : financial markets & institutions 3 (2013) 2, pp. 7-17

Persistent link: https://www.econbiz.de/10011438052

Compliance with Basel 2.5 : banks' approaches to implementing stressed VaR

Prorokowski, Lukasz; Prorokowski, Hubert - In: Journal of financial regulation and compliance : an … 22 (2014) 4, pp. 339-348

Persistent link: https://www.econbiz.de/10011491023

Assessing the Basel II internal ratings-based approach : empirical evidence from Australia

Tarca, Silvio; Rutkowski, Marek - In: Journal of financial regulation and compliance : an … 24 (2016) 2, pp. 106-139

Persistent link: https://www.econbiz.de/10011563824

Comprehensive risk measure : current challenges

Prorokowski, Lukasz; Prorokowski, Hubert - In: Journal of financial regulation and compliance : an … 22 (2014) 3, pp. 271-284

Persistent link: https://www.econbiz.de/10010471080

Expected loss and impact of risk : backtesting parameter-based expected loss in a Basel II framework

Reitgruber, Wolfgang - In: The journal of risk model validation 7 (2013) 3, pp. 59-84

Persistent link: https://www.econbiz.de/10010480648