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Application of vine copulas to credit portfolio risk modeling

Geidosch, Marco; Fischer, Matthias - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-15

In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas for a subportfolio of the Euro Stoxx 50 and the...

Persistent link: https://www.econbiz.de/10011544001

A new approach to optimal capital allocation for RORAC maximization in banks

Kang, Woo-Young; Poshakwale, Sunil S. - In: Journal of banking & finance 106 (2019), pp. 153-165

Persistent link: https://www.econbiz.de/10012224261

Optimal loan portfolio under regulatory and internal constraints

Okawara, Makoto; Takahashi, Akihiko - 2023

Persistent link: https://www.econbiz.de/10014266283

Multiobjective optimization of credit capital allocation in financial institutions

Mizgier, Kamil J.; Pasia, Joseph M. - In: Central European journal of operations research : CEJOR … 24 (2016) 4, pp. 801-817

Persistent link: https://www.econbiz.de/10011688484

Risk measures based on benchmark loss distributions

Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...

Persistent link: https://www.econbiz.de/10011900226

The Art of Quantitative Finance Vol. 3 : Risk, Optimal Portfolios, and Case Studies

Larcher, Gerhard - 2023

The textbook discusses risk management in capital markets and presents various techniques of portfolio optimization. Special attention is given to risk measurement and credit risk management. Furthermore, the author discusses optimal investment problems and presents various examples. In the last...

Persistent link: https://www.econbiz.de/10014248694

Risk-adjusted measures of value creation in financial institutions

Milne, Alistair; Onorato, Mario - Suomen Pankki - 2009

Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution …-wide hurdle rate is inconsistent with the standard theory of financial valuation. We use asset pricing theory to determine the … appropriate hurdle rate for such a RAROC performance measure. We find that this hurdle rate varies with the skewness of asset …

Persistent link: https://www.econbiz.de/10008509435

Appication of quantitative and qualitative methods in risk management of credit portfolio in the conditions of the banking system of the Republic of Tajikistan

Isupova, Basgul Fajzullohonovna - In: Olsztyn economic journal 8 (2013) 3, pp. 249-268

Persistent link: https://www.econbiz.de/10010506156

A quantitative model to articulate the banking risk appetite framework

Baldan, Cinzia; Geretto, Enrico; Zen, Francesco - In: Journal of risk management in financial institutions 9 (2016) 2, pp. 175-196

Persistent link: https://www.econbiz.de/10011666248

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