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An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework
Bertagna, Andrea; Deliu, Dragos; Lopez, Luca; Nassigh, Aldo - In: Journal of risk 22 (2019/2020) 3, pp. 21-38
Persistent link: https://www.econbiz.de/10013177133
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Model risk in the Fundamental Review of the Trading Book : the case of the Default Risk Charge
Wilkens, Sascha; Predescu, Mirela - In: The journal of risk model validation 12 (2018) 4, pp. 41-67
Persistent link: https://www.econbiz.de/10011992266
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External risk measures and Basel accords
Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417
Persistent link: https://www.econbiz.de/10009787381
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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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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
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Book-to-market equity, operating risk, and asset correlations : implications for Basel capital requirement
Lee, Shih-cheng; Lin, Chien-ting - In: Journal of international financial markets, … 22 (2012) 4, pp. 973-989
Persistent link: https://www.econbiz.de/10009582493
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Default Risk Charge : Modeling Framework for the 'Basel' Risk Measure
Wilkens, Sascha - 2017
Revised standards for capital requirements for market risks in a bank's trading book have been issued as a result of the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized through a dedicated Default Risk Charge (DRC). While...
Persistent link: https://www.econbiz.de/10012971306
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A new multi-factor risk model to evaluate funding liquidity risk of banks
Fall, Malick; Viviani, Jean-Laurent - In: The European journal of finance 22 (2016) 10/12, pp. 985-1003
Persistent link: https://www.econbiz.de/10011715289
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Modelling risk-weighted assets: looking beyond stress tests
Švéda, Josef; Panoš, Jiří; Siuda, Vojtěch - 2023
Persistent link: https://www.econbiz.de/10014447400
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Market risk, value-at-risk and exponential weighting
Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91
Persistent link: https://www.econbiz.de/10013369763