Similar Search Results

Bank capital adequacy for average market financial risk

Azar, Samih Antoine - In: The empirical economics letters : a monthly … 14 (2015) 6, pp. 631-635

Persistent link: https://www.econbiz.de/10011419189

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

CreditRisk+ model with dependent risk factors

Wang, Ruodu; Peng, Liang; Yang, Jingping - In: North American actuarial journal 19 (2015) 1, pp. 24-40

Persistent link: https://www.econbiz.de/10011420714

On minimizing drawdown risks of lifetime investments

Chen, Xinfu; Landriault, David; Li, Bin; Li, Dongchen - In: Insurance / Mathematics & economics 65 (2015), pp. 46-54

Persistent link: https://www.econbiz.de/10011422864

A directional multivariate value at risk

Torres, Raúl; Lillo, Rosa E.; Laniado, Henry - In: Insurance / Mathematics & economics 65 (2015), pp. 111-123

Persistent link: https://www.econbiz.de/10011422886

Optimal hedge ratio under a subjective re-weighting of the original measure

Barbi, Massimiliano; Romagnoli, Silvia - In: Applied economics 48 (2016) 13/15, pp. 1271-1280

Persistent link: https://www.econbiz.de/10011433130

Eccentricity in asset management

Kaya, Hakan - In: The journal of network theory in finance 1 (2015) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10011374587

Tail risk in energy portfolios

González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434

Persistent link: https://www.econbiz.de/10011298962

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

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 and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

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

On a bivariate risk process with a dividend barrier strategy

Liu, Luyin; Cheung, Eric C. K. - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 1, pp. 3-35

Persistent link: https://www.econbiz.de/10011299206