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Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation

Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47

Persistent link: https://www.econbiz.de/10011326309

Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations

Lee, Yong Woong; Poon, Ser-Huang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 118-139

Persistent link: https://www.econbiz.de/10011404418

Book-to-Market equity asset correlations and the basel capital requirement

Lee, Shih-cheng; Lin, Chien-ting; Yu, Min-Teh - In: Journal of business finance & accounting : JBFA 40 (2013) 7/8, pp. 991-1008

Persistent link: https://www.econbiz.de/10010205972

Confidence sets for asset correlations in portfolio credit risk

Castro Iragorri, Carlos Alberto - In: Revista de economía del Rosario 15 (2012) 1, pp. 19-58

Persistent link: https://www.econbiz.de/10010208712

Evaluation of minimum capital requirements for bank loans to SMEs

Düllmann, Klaus; Koziol, Philipp - 2013

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to the size dependence of regulatory capital requirements....

Persistent link: https://www.econbiz.de/10009751062

A critical review of neoclassical modeling techniques in structured finance

Fahey, Brian - In: Journal of post-Keynesian economics : JPKE 35 (2013) 3, pp. 319-340

Persistent link: https://www.econbiz.de/10009759928

Asset correlations and bank capital adequacy

Gabbi, Giampaolo; Vozzella, Pietro - In: The European journal of finance 19 (2013) 1/2, pp. 55-74

Persistent link: https://www.econbiz.de/10009733299

Book-to-market equity, operating risk, and asset correlations : implications for Basel capital requirement

Lee, Shih-cheng; Lin, Chien-ting - In: Journal of international financial markets, … 22 (2012) 4, pp. 973-989

Persistent link: https://www.econbiz.de/10009582493

Diversification revisited

Kemper, Kris; Lee, Allissa; Simkins, Betty J. - In: Research in international business and finance 26 (2012) 2, pp. 304-316

Persistent link: https://www.econbiz.de/10009618258

Systematic credit risk in securitised mortgage portfolios

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012659310

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