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Measuring dynamic market risk charge for market risks

Rahim, Norhana Abd.; Tafri, Fauziah Hanim - In: International journal of economics, finance and … 1 (2013) 3, pp. 175-180

Persistent link: https://www.econbiz.de/10010251805

Concentration risk model for Greek bank's credit portfolio

Lefcaditis, Constantinos; Tsamis, Anastasios; … - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 71-93

Persistent link: https://www.econbiz.de/10010252215

The impact of model risk on capital reserves : a quantitative analysis

Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - In: Journal of risk 17 (2014/2015) 5, pp. 69-97

Persistent link: https://www.econbiz.de/10011438894

Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches

Kinateder, Harald - In: Journal of risk 18 (2015/2016) 3, pp. 25-45

Persistent link: https://www.econbiz.de/10011439046

Capital for concentrated credit portfolios

Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322

Persistent link: https://www.econbiz.de/10011531169

A review of individual and systemic risk measures in terms of applicability for banking regulations

Sum, Katarzyna - In: Contemporary economics 10 (2016) 1, pp. 71-82

The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in banking, with a special focus on the dynamically...

Persistent link: https://www.econbiz.de/10011452984

Risk model backtesting

Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162

Persistent link: https://www.econbiz.de/10011483358

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