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Credit risk models and agricultural lending

Katchova, Ani L.; Barry, Peter J. - In: American journal of agricultural economics 87 (2005) 1, pp. 194-205

Persistent link: https://www.econbiz.de/10002710925

Umsetzung der aufsichtsrechtlichen Vorgaben zum Internal Capital Adequacy Assessment Process (ICAAP) in deutschen Kreditinstituten

Gann, Philipp - In: Finanz-Betrieb : FB ; Zeitschrift für … 8 (2006) 9, pp. 529-538

Persistent link: https://www.econbiz.de/10003363538

Gefahren einer VaR-basierten Eigenkapitalregulierung bei Optionen

Johanning, Lutz - In: Risikomanagement an internationalen Finanzmärkten : …, (pp. 257-267). 2000

Persistent link: https://www.econbiz.de/10001461059

Parameterizing credit risk models with rating data

Carey, Mark S.; Hrycay, Mark - 2000

Persistent link: https://www.econbiz.de/10001527071

Parameterizing credit risk models with rating data

Carey, Mark S.; Hrycay, Mark - In: Journal of banking & finance 25 (2001) 1, pp. 197-270

Persistent link: https://www.econbiz.de/10001546264

The link between default and recovery rates : theory, empirical evidence and implications

Altman, Edward I.; Brady, Brooks; Resti, Andrea; … - 2003

Persistent link: https://www.econbiz.de/10001754467

The link between default and recovery rates : implications for credit risk models and procyclicality

Altman, Edward I.; Brady, Brooks; Resti, Andrea; … - 2002

Persistent link: https://www.econbiz.de/10001682349

The Basel Commitee proposals for a new capital accord : implication for Italian banks

Sironi, Andrea; Zazzara, Cristiano - In: Review of financial economics : RFE 12 (2003) 1, pp. 99-126

Persistent link: https://www.econbiz.de/10001774175

Liquidity Risk, Credit Risk, Market Risk and Bank Capital

Varotto, Simone - 2011

With a sample of twelve US bond indices spanning different maturities, credit ratings and industry sectors, we investigate the impact of new bank capital regulation for trading portfolios introduced by Basel III. Specifically, we estimate the new capital requirements for (a) liquidity risk and...

Persistent link: https://www.econbiz.de/10013131118

Counterparty Risk FAQ : Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending

Brigo, Damiano - 2012

We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future Exposure (PFE), Expected Exposure (EE), Expected Positive Exposure (EPE), Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), DVA Hedging, Closeout conventions,...

Persistent link: https://www.econbiz.de/10013113616