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subject:"Basler Akkord"
subject:"Bankenaufsicht"
~subject:"Theorie"
~isPartOf:"International journal of theoretical and applied finance"
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Basler Akkord
Bankenaufsicht
Theorie
Risikomanagement
38
Risk management
38
Theory
20
Credit risk
17
Kreditrisiko
17
Portfolio selection
15
Portfolio-Management
15
Risikomaß
15
Risk measure
15
Financial services
11
Finanzdienstleistung
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Risiko
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Derivat
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Measurement
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Option pricing theory
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Optionspreistheorie
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risk management
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Basel Accord
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CVA
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credit risk
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wrong-way risk
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Bank risk
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Bankrisiko
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Counterparty credit risk
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Counterparty risk
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Credit derivative
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Kreditderivat
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Multivariate Verteilung
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23
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Brigo, Damiano
2
Abdel Karim, Rifaat Ahmed
1
Albanese, Claudio
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Amini, Hamed
1
Ararat, Çağin
1
Archer, Simon
1
Bielecki, Tomasz R.
1
Capponi, Agostino
1
Capriotti, Luca
1
Centrone, Francesca
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Cont, Rama
1
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1
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1
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Kato, Takashi
1
Lee, Jacky
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Leydold, Josef
1
Li, Hui
1
Lépinette, Emmanuel
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Minca, Andreea
1
Monfort, Alain
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Novak, Serguei Y.
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Rutkowski, Marek
1
Sak, Halis
1
Scherer, Matthias
1
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
158
European journal of operational research : EJOR
118
Journal of banking & finance
88
SpringerLink / Bücher
79
Risks : open access journal
76
The journal of operational risk
61
Journal of risk management in financial institutions
60
Europäische Hochschulschriften / 5
40
Journal of risk
36
Gabler Edition Wissenschaft
34
Die Bank
32
Journal of risk and financial management : JRFM
32
NBER working paper series
32
Finance research letters
31
Working paper / National Bureau of Economic Research, Inc.
29
Management science : journal of the Institute for Operations Research and the Management Sciences
26
Risiko-Manager
26
Research paper series / Swiss Finance Institute
25
Economic modelling
24
NBER Working Paper
24
Quantitative finance
24
Discussion paper / Centre for Economic Policy Research
23
Discussion paper / Tinbergen Institute
23
International journal of production economics
23
Journal of empirical finance
23
Wiley finance series
23
Discussion paper
22
International journal of production research
22
The journal of risk model validation
22
Energy economics
20
Finance and stochastics
20
International review of financial analysis
20
Scandinavian actuarial journal
20
The European journal of finance
20
Schriftenreihe Finanzmanagement
19
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
19
American journal of agricultural economics
18
International review of economics & finance : IREF
18
The journal of credit risk : published quarterly by Incisive Media
18
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ECONIS (ZBW)
23
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1
A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
Saved in:
2
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
Saved in:
3
Counterparty credit risk in a clearing network
Felbert, Alexander von
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012496786
Saved in:
4
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan
;
Peacock, Matthew
;
Lee, Jacky
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Saved in:
5
Shortfall risk minimization under fixed transaction costs
Nayman, Niv
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011903790
Saved in:
6
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics
Vrins, Frédéric
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011763941
Saved in:
7
Set-valued shortfall and divergence risk measures
Ararat, Çağin
;
Hamel, Andreas
;
Rudloff, Birgit
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
Saved in:
8
Theoretical sensitivity analysis for quantitative operational risk management
Kato, Takashi
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011733962
Saved in:
9
Extremal dependence for bilateral credit valuation adjustments
Scherer, Matthias
;
Schulz, Thorsten
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011568865
Saved in:
10
CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar
;
Subbotin, Alexander
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
Saved in:
11
Regulatory capital modeling for credit risk
Rutkowski, Marek
;
Tarca, Silvio
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
Saved in:
12
Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor
;
Pfister, Tamara
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010438509
Saved in:
13
Vector-valued coherent risk measure processes
Tahar, Imen Ben
;
Lépinette, Emmanuel
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10010363907
Saved in:
14
Allocating systemic risk in a regulatory perspective
Gouriéroux, Christian
;
Monfort, Alain
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233265
Saved in:
15
Restructuring counterparty credit risk
Albanese, Claudio
;
Brigo, Damiano
;
Oertel, Frank
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
Saved in:
16
Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
Saved in:
17
A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui
- In:
International journal of theoretical and applied finance
16
(
2013
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10009756066
Saved in:
18
Stress testing the resilience of financial networks
Amini, Hamed
;
Cont, Rama
;
Minca, Andreea
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009562144
Saved in:
19
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
20
A remark concerning Value-at-Risk
Novak, Serguei Y.
- In:
International journal of theoretical and applied finance
13
(
2010
)
4
,
pp. 507-515
Persistent link: https://www.econbiz.de/10008905058
Saved in:
21
Better confidence intervals for importance sampling
Sak, Halis
;
Hörmann, Wolfgang
;
Leydold, Josef
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1279-1291
Persistent link: https://www.econbiz.de/10008906160
Saved in:
22
On capital structure, risk sharing and capital adequacy in Islamic banks
Archer, Simon
;
Abdel Karim, Rifaat Ahmed
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 269-280
Persistent link: https://www.econbiz.de/10003344272
Saved in:
23
Coherent risk measures for derivates under Black-Scholes economy
Yang, Hai
;
Siu, T. K.
- In:
International journal of theoretical and applied finance
4
(
2001
)
5
,
pp. 819-835
Persistent link: https://www.econbiz.de/10001612278
Saved in:
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