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The Present and Future of Financial Risk Management
Alexander, Carol - 2004
Current research on financial risk management applications of econometrics centres on the accurate assessment of individual market and credit risks with relatively little theoretical or applied econometric research on other types of risk, aggregation risk, data incompleteness and optimal risk...
Persistent link: https://www.econbiz.de/10012738801
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Managing performance using a dual measure framework
Ozdemir, Bogie; Cubukgil, Evren; Xia, Huaxing - In: Journal of risk management in financial institutions 7 (2014) 3, pp. 257-276
Persistent link: https://www.econbiz.de/10010413326
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Economic capital and RAROC in a dynamic model
Bauer, Daniel; Zanjani, George - In: Journal of banking & finance 125 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012819680
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Determining hurdle rate and capital allocation in credit portfolio management
Miu, Peter; Ozdemir, Bogie; Cubukgil, Evren; Giesinger, … - In: Journal of financial services research : JFSR 50 (2016) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011667855
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Long-term project valuation in capital-constrained firms
Shimko, David C. - In: Finance : revue de l'Association Française de Finance 40 (2019) 3, pp. 121-139
Persistent link: https://www.econbiz.de/10012154181
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Risk-adjusted measures of value creation in financial institutions
Milne, Alistair; Onorato, Mario - Suomen Pankki - 2009
Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution … appropriate hurdle rate for such a RAROC performance measure. We find that this hurdle rate varies with the skewness of asset … returns. Thus the RAROC hurdle rate should differ substantially between equity which has a right skew and debt which has a …
Persistent link: https://www.econbiz.de/10008509435
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Leveraging regulatory investments with portfolio risk-based pricing
Cartwright, Paul; Sarraf, Hanna - In: Journal of Financial Regulation and Compliance 13 (2005) July, pp. 215-223
In preparing to comply with the new International Financial Reporting Standards and the Basel II Accord's capital adequacy standards, leading banks are leveraging investments in these regulations by applying risk management and capital allocation best practices to adjust pricing decisions. Among...
Persistent link: https://www.econbiz.de/10004987563
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Leveraging regulatory investments with portfolio risk-based pricing
Cartwright, Paul; Sarraf, Hanna - In: Journal of Financial Regulation and Compliance 13 (2005) 3, pp. 215-223
Persistent link: https://www.econbiz.de/10014869998
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A new pricing approach for SME loans issued by commercial banks based on credit score mapping and Archimedean Copula simulation
Liu, Chang; Shi, Haoming; Cai, Yujun; Shen, Shu; Lin, … - In: Journal of business economics and management 20 (2019) 4, pp. 618-632
The traditional loans pricing methods are usually based on risk measures of individual loan's characteristics without considering the correlation between the defaults of different loans and the contribution of individual loans to the entire loan portfolio. In this study, using account-level...
Persistent link: https://www.econbiz.de/10012175768
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Practical guidelines to formulate an operational risk appetite statement for corporate organisations : a South African perspective
Young, J. - In: Corporate ownership & control : international … 12 (2014/15) 1, pp. 47-63
Persistent link: https://www.econbiz.de/10011339522