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Value-at-risk capital requirement regulation, risk taking and asset allocation : a mean–variance analysis

Kaplanski, Guy; Levy, Haim - In: The European journal of finance 21 (2015) 1/3, pp. 215-241

Persistent link: https://www.econbiz.de/10010519956

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...

Persistent link: https://www.econbiz.de/10011299075

Geographic diversification in banking

Fang, Yiwei; Lelyveld, Iman van - In: Journal of financial stability 15 (2014), pp. 172-181

Persistent link: https://www.econbiz.de/10011306462

The importance of accurate risk modelling techniques for corporate ownders and managers : an application of distribution fitting to illiquid securities

O'Connell, Darren; O'Grady, Barry - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 8-20

Persistent link: https://www.econbiz.de/10011337224

Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach

Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10010526458

Portfolio diversification in concentrated bond and loan portfolios

Kupiec, Paul H. - In: Journal of investment management : JOIM 14 (2016) 2, pp. 49-70

Persistent link: https://www.econbiz.de/10011690864

Default risk charge : modeling framework for the "Basel" risk measure

Wilkens, Sascha; Pedescu, Mirela - In: Journal of risk 19 (2016/2017) 4, pp. 23-50

Persistent link: https://www.econbiz.de/10011710248

A new multi-factor risk model to evaluate funding liquidity risk of banks

Fall, Malick; Viviani, Jean-Laurent - In: The European journal of finance 22 (2016) 10/12, pp. 985-1003

Persistent link: https://www.econbiz.de/10011715289

A quantitative framework for testing the resilience of Islamic finance portfolios under IFSB and Basel capital rules

Aydın, Nadi Serhan - In: International journal of Islamic and Middle Eastern … 10 (2017) 3, pp. 290-311

Persistent link: https://www.econbiz.de/10011797002

Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis

Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24

Persistent link: https://www.econbiz.de/10010389432

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