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The use of a value at risk measure for the analysis of bank interest margins
Gemzik-Salwach, Agata - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 4, pp. 15-29
The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing possibilities of using this measure, the use of a new method has been proposed, namely, correcting various indicators of bank interest margins by using the Value at Risk...
Persistent link: https://www.econbiz.de/10010188012
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A new approach to credit ratings
Pertaia, Giorgi; Prokhorov, Artem; Uryasev, Stan - In: Journal of banking & finance 140 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013463125
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Multivariate VaRs for operational risk capital computation : a vine structure approach
Guégan, Dominique; Hassani, Bertrand K. - In: International journal of risk assessment and management … 17 (2013) 2, pp. 148-170
Persistent link: https://www.econbiz.de/10010385914
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Credit Risk und Value-at-Risk Alternativen : Herausforderungen für das Risk-Management
Oehler, Andreas (ed.) - 1998
Persistent link: https://www.econbiz.de/10000664860
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Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias - 2002
Persistent link: https://www.econbiz.de/10001649713
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Impact of credit risk management on the performance of selected Nigerian banks
Nwude, E. Chuke; Okeke, Chinedu - In: International journal of economics and financial issues … 8 (2018) 2, pp. 287-297
Persistent link: https://www.econbiz.de/10011957657
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A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun; Jia, Huameng; Mao, Tiantian - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
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Some systemic risk indicators
El Qalli, Yassine; Said, Khalil - In: Risk and decision analysis 9 (2023) 2/4, pp. 39-56
Persistent link: https://www.econbiz.de/10014473406
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Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms
Saunders, Anthony; Allen, Linda - 2010 - 3. ed.
Persistent link: https://www.econbiz.de/10003892488