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Integrated risk measurement system in commercial bank
Zhevaga, Alexander; Morgunov, Alexei - In: Risk assessment and financial regulation in emerging …, (pp. 225-250). 2021
Integrated risk management means the comprehensive and effective management all significant risks (affecting the bank's activities) and their interrelation, including building a corporate culture of risk management and integrating risk management into strategic planning. The significant risks...
Persistent link: https://www.econbiz.de/10012591724
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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
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The validation of machine-learning models for the stress testing of credit risk
Jacobs, Michael <Jr.> - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 218-243
Persistent link: https://www.econbiz.de/10011942534
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A review of stress test methodology
Riebl, Leonhard; Gutierrez, Pilar - In: Journal of securities operations & custody 10 (2017/2018) 3, pp. 254-267
Persistent link: https://www.econbiz.de/10011890854
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SYSMO I : a systemic stress model for the Colombian financial system
Gamba, Santiago; Jaulín, Oscar; Lizarazo, Angélica; … - 2017
Persistent link: https://www.econbiz.de/10011869243
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Conditional copula simulation for systemic risk stress testing
Brechmann, Eike C.; Hendrich, Katharina; Czado, Claudia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 722-732
Persistent link: https://www.econbiz.de/10010227893
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Use of stress scenarios in market risk economic capital
Smillie, Alan; Epperlein, Eduardo; Pandya, Triyog - In: Journal of risk management in financial institutions 7 (2014) 1, pp. 85-92
Persistent link: https://www.econbiz.de/10010259554
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Macrofinancial stress testing : incorporating systemic risk perspectives into a stress framework
Oura, Hiroko; Schumacher, Liliana - In: Journal of risk management in financial institutions 7 (2014) 1, pp. 26-37
Persistent link: https://www.econbiz.de/10010259568
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A framework for market, credit and transfer risk aggregation and stress testing
Farinelli, Simone - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 1-41
Persistent link: https://www.econbiz.de/10011566247