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Interbank risk assessment : a simulation approach

Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020

We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...

Persistent link: https://www.econbiz.de/10012201789

Methodology of monitoring key risk indicators

Peček, Bojan; Kovačič, Andrej - In: Economic research 32 (2019) 1,4, pp. 3485-3501

Persistent link: https://www.econbiz.de/10012404219

Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge

Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105

Persistent link: https://www.econbiz.de/10012174432

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

Risk contagion and bank stability : the role of credit risk and liquidity risk

Ding, Lei; Zhuang, Yaming; Wang, Hu - In: The journal of risk model validation 16 (2022) 4, pp. 113-130

Persistent link: https://www.econbiz.de/10014239855

Risk management and rate in growing of profit-sharing financing

Junaini, Irawati; Iqbal, Muhammad; Masili, Sabrina Amanda; … - In: International journal of finance & banking studies : JJFBS 12 (2023) 1, pp. 21-31

Persistent link: https://www.econbiz.de/10014308010

Why do banks use credit default swaps (CDS)? : a systematic review

Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231

Persistent link: https://www.econbiz.de/10014474357

Credit risk measurement : new approaches to value at risk and other paradigms

Saunders, Anthony - 1999

Persistent link: https://www.econbiz.de/10000682884

Monitoring and crediting process control with use of logical and probabilistic risk model

Karasev, Vasily - In: International journal of risk assessment and management … 18 (2015) 3/4, pp. 222-236

Persistent link: https://www.econbiz.de/10011535895

Financial institutions management : a risk management approach

Saunders, Anthony; Cornett, Marcia Millon - 2018 - Ninth edition

Why are financial "institutions special" -- Financial services : depository institutions -- Financial services : finance companies -- Financial services : securities brokerage and investment banking -- Financial services : mutual funds and hedge funds -- Financial services : insurance -- Risks...

Persistent link: https://www.econbiz.de/10011556119

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