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Empirical analysis on economic capital by TailVaR model

Fan, Liu; Ling, Tian - In: International journal of information technology and … 13 (2014) 1, pp. 95-102

Persistent link: https://www.econbiz.de/10010405018

The impact of the 2007-2009 financial crisis on risk management in credit institutions

Boda, Michał - In: Copernican Journal of Finance & Accounting : CJF&A 5 (2016) 2, pp. 45-56

Persistent link: https://www.econbiz.de/10012216133

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

Bank stress testing : a stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...

Persistent link: https://www.econbiz.de/10011890804

Are systemically important eurozone banks undercapitalized? : a stress testing approach

Kahlert, Dennis; Wagner, Niklas F. - In: Three essays on capital and liquidity, (pp. 6-52). 2018

Persistent link: https://www.econbiz.de/10012116889

A comparative analysis of CDO risk models

Dewyspelaere, Tom; Garcia, João Batista C.; Renault, … - In: Structured credit products : pricing, rating, risk …, (pp. 245-260). 2004

Persistent link: https://www.econbiz.de/10003283245

The importance of accurate risk modelling techniques for corporate ownders and managers : an application of distribution fitting to illiquid securities

O'Connell, Darren; O'Grady, Barry - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 8-20

Persistent link: https://www.econbiz.de/10011337224

Stress-testing model for corporate borrower portfolios

Seleznev, Vladimir; Surzhko, Denis; Khovanskiy, Nikolay - In: Financial econometrics and empirical market microstructure, (pp. 279-284). 2015

Persistent link: https://www.econbiz.de/10011326617

Concentration risk model for Greek bank's credit portfolio

Lefcaditis, Constantinos; Tsamis, Anastasios; … - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 71-93

Persistent link: https://www.econbiz.de/10010252215

The application of mathematical models to measure collateral concentration risk

Seagroatt, Martin; Cockram, Ed - In: Journal of securities operations & custody 7 (2015) 3, pp. 260-268

Persistent link: https://www.econbiz.de/10011487243