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A proposal for an open-source financial risk model
Hwang, Jong Ho - In: Journal of financial regulation and compliance : an … 22 (2014) 3, pp. 219-234
Persistent link: https://www.econbiz.de/10010471086
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The relationship between liquidity risk and credit risk in banks
Imbierowicz, Björn; Rauch, Christian - In: Journal of banking & finance 40 (2014), pp. 242-256
Persistent link: https://www.econbiz.de/10010402198
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2nd International Conference on Credit Analysis and Risk Management 2013 in Basel : challenging the establishment
Westerfeld, Simone - In: Credit and capital markets : Kredit und Kapital 47 (2014) 2, pp. 367-375
Persistent link: https://www.econbiz.de/10010425027
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Transition probability matrix methodology for incremental risk charge
Yavin, Tzahi; Wang, Eugene; Zhang, Hu; Clayton, Michael A. - In: Journal of financial engineering 1 (2014) 1, pp. 1-47
Persistent link: https://www.econbiz.de/10010508091
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Bank stability and market discipline : the effect of contingent capital on risk taking and default probability
Hilscher, Jens; Raviv, Alon - 2012
Persistent link: https://www.econbiz.de/10009782939
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Stress test for risk assessment under Basel framework applied in banking industry
Maheswaran, M.; Rao, D. N. - In: Risk governance & control : financial markets & institutions 4 (2014) 3, pp. 25-29
Persistent link: https://www.econbiz.de/10011452488
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Aligning regulatory capital with economic capital: An alternative approach to risk weights according to Basel II
Benvegnù, Stefan; Fritz, Sebastian; Paus, Wilfried - In: Risk management : a modern perspective, (pp. 481-506). 2006
Persistent link: https://www.econbiz.de/10003271613
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Adequate capital and stress testing for operational risks
Kühn, Reimer; Neu, Peter - In: Operational risk modelling and analysis : theory and …, (pp. 273-289). 2004
Persistent link: https://www.econbiz.de/10002770687
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Basel Regulations and Operational Risk Management : Conceptual Challenges Under Basel II & Basel III
Barton, Uzma Ashraf - 2013
Financial globalization has given an impetus to the development and innovation in financial products. However, at the same time, it has complicated banking regulations and its consequent risk management mechanisms. The GFC and consequent Basel III have accentuated the importance of operational...
Persistent link: https://www.econbiz.de/10013088275
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Do Banks’ Internal Basel Risk Estimates Reflect Risk?
Barakova, Irina - 2014
Using supervisory data for US banks, we evaluate the alignment of Basel II/III AIRB (Advanced Internal Ratings Based) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct market-based measures. Our results document that loan...
Persistent link: https://www.econbiz.de/10013064709