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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

Stress test impact and bank risk profile : evidence from macro stress testing in Europe

Gambetta, Nicolás; García-Benau, María Antonia; … - In: International review of economics & finance : IREF 61 (2019), pp. 347-354

Persistent link: https://www.econbiz.de/10012205434

Human capital and credit risk management : training is more valuable than experience

Bouslama, Ghassen; Bouteiller, Christophe - In: Problems and perspectives in management : PPM ; … 17 (2019) 1, pp. 67-77

Persistent link: https://www.econbiz.de/10012119212

On the selection of loss severity distributions to model operational risk

Hadley, Daniel; Joe, Harry; Nolde, Natalia - In: The journal of operational risk 14 (2019) 3, pp. 73-94

Persistent link: https://www.econbiz.de/10012132747

Should the advanced measurement approach for operational risk be discarded? : evidence from the Chinese banking industry

Zhu, Xiaoqian; Li, Jianping; Wu, Dengsheng - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950007-1-1950007-15

Persistent link: https://www.econbiz.de/10012156150

Integrating operational and financial risk assessments

Figini, Silvia; Kenett, Ron; Salini, Silvia - 2010

Persistent link: https://www.econbiz.de/10011752232

Standardized measurement approach : is comparability attainable?

McConnell, Patrick - In: The journal of operational risk 12 (2017) 1, pp. 71-110

Persistent link: https://www.econbiz.de/10011639738

The determinants of risk disclosure by banking institutions : evidence from Bangladesh

Nahar, Shamsun; Azim, Mohammad; Jubb, Christine - In: Asian review of accounting 24 (2016) 4, pp. 426-444

Persistent link: https://www.econbiz.de/10011641829

Default risk charge : modeling framework for the "Basel" risk measure

Wilkens, Sascha; Pedescu, Mirela - In: Journal of risk 19 (2016/2017) 4, pp. 23-50

Persistent link: https://www.econbiz.de/10011710248

Liquidity at risk : joint stress testing of solvency and liquidity

Cont, Rama; Kotlicki, Artur; Valderrama, Laura - In: Journal of banking & finance 118 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012520907