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subject:"Germany"
subject:"Theory"
~isPartOf:"Journal of banking & finance"
~subject:"Estimation"
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ECONIS (ZBW)
87
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1
Impact of systemic risk regulation on optimal policies and asset prices
Bernard, Carole
;
Cui, Xuecan
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014491945
Saved in:
2
Back to the roots of internal credit risk models : does risk explain why banks' risk-weighted asset levels converge over time?
Böhnke, Victoria
;
Ongena, Steven
;
Paraschiv, Florentina
; …
- In:
Journal of banking & finance
156
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014487069
Saved in:
3
Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013463123
Saved in:
4
The multiple dimensions of bank complexity : effects on credit risk-taking
Marinelli, Giuseppe
;
Nobili, Andrea
;
Palazzo, Francesco
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013400179
Saved in:
5
Risk and control in complex banking groups
Argimón, Isabel
;
Rodríguez-Moreno, María
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013400180
Saved in:
6
Optimal collective investment : The impact of sharing rules, management fees and guarantees
Chen, An
;
Nguyen, Thai
;
Rach, Manuel Matthias
- In:
Journal of banking & finance
123
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012662259
Saved in:
7
Economic capital and RAROC in a dynamic model
Bauer, Daniel
;
Zanjani, George
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012819680
Saved in:
8
Bank balance sheet risk allocation
Júdice, Pedro
;
Zhu, Qiji Jim
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013256446
Saved in:
9
Borrower distress and the efficiency of relationship banking
Donker, Han
;
Ng, Alex
;
Shao, Pei
- In:
Journal of banking & finance
112
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012225269
Saved in:
10
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
Saved in:
11
Hedging crash risk in optimal portfolio selection
Zhu, Shushang
;
Zhu, Wei
;
Pei, Xi
;
Cui, Xueting
- In:
Journal of banking & finance
119
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012521210
Saved in:
12
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
13
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
Saved in:
14
Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
101
(
2019
),
pp. 122-135
Persistent link: https://www.econbiz.de/10012162636
Saved in:
15
Model risk of expected shortfall
Lazar, Emese
;
Zhang, Ning
- In:
Journal of banking & finance
105
(
2019
),
pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
Saved in:
16
An equilibrium model of risk management spillover
Huang, Shiyang
;
Jiang, Ying
;
Qiu, Zhigang
;
Ye, Zhiqiang
- In:
Journal of banking & finance
107
(
2019
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012224486
Saved in:
17
Interest rate risk management and the mix of fixed and floating rate debt
Oberoi, Jaideep
- In:
Journal of banking & finance
86
(
2018
),
pp. 70-86
Persistent link: https://www.econbiz.de/10011962403
Saved in:
18
National elections and tail risk : international evidence
Li, Qingyuan
;
Li, Si
;
Li, Xu
- In:
Journal of banking & finance
88
(
2018
),
pp. 113-128
Persistent link: https://www.econbiz.de/10011962591
Saved in:
19
Option-implied objective measures of market risk
Leiss, Matthias
;
Nax, Heinrich H.
- In:
Journal of banking & finance
88
(
2018
),
pp. 225-240
Persistent link: https://www.econbiz.de/10011962908
Saved in:
20
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
21
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario
- In:
Journal of banking & finance
89
(
2018
),
pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Saved in:
22
Awareness, determinants and value of reputation risk management : empirical evidence from the banking and insurance industry
Heidinger, Dinah
;
Gatzert, Nadine
- In:
Journal of banking & finance
91
(
2018
),
pp. 106-118
Persistent link: https://www.econbiz.de/10011963642
Saved in:
23
Unbiased estimation of risk
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Journal of banking & finance
91
(
2018
),
pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
Saved in:
24
Dynamic corporate risk management : motivations and real implications
Dionne, Georges
;
Gueyie, Jean-Pierre
;
Mnasri, Mohamed
- In:
Journal of banking & finance
95
(
2018
),
pp. 97-111
Persistent link: https://www.econbiz.de/10011966716
Saved in:
25
A clustering approach and a rule of thumb for risk aggregation
Di Lascio, F. Marta L.
;
Giammusso, Davide
;
Puccetti, …
- In:
Journal of banking & finance
96
(
2018
),
pp. 236-248
Persistent link: https://www.econbiz.de/10011967212
Saved in:
26
Why do firms engage in selective hedging? : evidence from the gold mining industry
Adam, Tim
;
Fernando, Chitru S.
;
Salas, Jesus M.
- In:
Journal of banking & finance
77
(
2017
),
pp. 269-282
Persistent link: https://www.econbiz.de/10011814776
Saved in:
27
Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward
;
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Journal of banking & finance
83
(
2017
),
pp. 70-84
Persistent link: https://www.econbiz.de/10011816823
Saved in:
28
Trading book and credit risk : how fundamental is the Basel review?
Laurent, Jean-Paul
;
Sestier, Michael
;
Thomas, Stéphane
- In:
Journal of banking & finance
73
(
2016
),
pp. 211-223
Persistent link: https://www.econbiz.de/10011635717
Saved in:
29
How do banks make the trade-offs among risks? : the role of corporate governance
Chen, Hsiao-Jung
;
Lin, Kuan-Ting
- In:
Journal of banking & finance
72
(
2016
),
pp. 39-69
Persistent link: https://www.econbiz.de/10011637048
Saved in:
30
The economic value of controlling for large losses in portfolio selection
Dias, Alexandra
- In:
Journal of banking & finance
72
(
2016
),
pp. 81-91
Persistent link: https://www.econbiz.de/10011637057
Saved in:
31
Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests
Koliai, Lyes
- In:
Journal of banking & finance
70
(
2016
),
pp. 1-22
Persistent link: https://www.econbiz.de/10011635106
Saved in:
32
A new approach to assessing model risk in high dimensions
Bernard, Carole
;
Vanduffel, Steven
- In:
Journal of banking & finance
58
(
2015
),
pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Saved in:
33
Systemic risk and asymmetric responses in the financial industry
López-Espinosa, Germán
;
Moreno, Antonio
;
Rubia, Antonio
; …
- In:
Journal of banking & finance
58
(
2015
),
pp. 471-485
Persistent link: https://www.econbiz.de/10011544046
Saved in:
34
Risk assessment based on the analysis of the impact of contagion flow
Edirisinghe, Chanaka
;
Gupta, Aparna
;
Roth, Wendy
- In:
Journal of banking & finance
60
(
2015
),
pp. 209-223
Persistent link: https://www.econbiz.de/10011544999
Saved in:
35
Managing risk in multi-asset class, multimarket central counterparties : the CORE approach
Vicente, Luis A. B. G.
;
Cerezetti, F. V.
;
De Faria, S. R.
; …
- In:
Journal of banking & finance
51
(
2015
),
pp. 119-130
Persistent link: https://www.econbiz.de/10011377281
Saved in:
36
Semiparametric estimation of multi-asset portfolio tail risk
Dias, Alexandra
- In:
Journal of banking & finance
49
(
2014
),
pp. 398-408
Persistent link: https://www.econbiz.de/10010508674
Saved in:
37
Liquidity, leverage, and Lehman : a structural analysis of financial institutions in crisis
Chen, Ren-Raw
;
Chidambaran, Nemmara
;
Imerman, Michael B.
; …
- In:
Journal of banking & finance
45
(
2014
),
pp. 117-139
Persistent link: https://www.econbiz.de/10010466618
Saved in:
38
Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos
- In:
Journal of banking & finance
40
(
2014
),
pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
Saved in:
39
Risk models-at-risk
Boucher, Christophe
;
Daníelsson, Jón
;
Kouontchou, …
- In:
Journal of banking & finance
44
(
2014
),
pp. 72-92
Persistent link: https://www.econbiz.de/10010410376
Saved in:
40
Risk allocation under liquidity constraints
Csóka, Péter
;
Herings, Peter Jean-Jacques
- In:
Journal of banking & finance
49
(
2014
),
pp. 1-9
Persistent link: https://www.econbiz.de/10010508104
Saved in:
41
Long-term bank balance sheet management : estimation and simulation of risk-factors
Birge, John R.
;
Júdice, Pedro
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4711-4720
Persistent link: https://www.econbiz.de/10010341607
Saved in:
42
Model uncertainty and VaR aggregation
Embrechts, Paul
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
Saved in:
43
Estimating non-linear serial and cross-interdependence between financial assets
Righi, Marcelo Brutti
;
Ceretta, Paulo Sergio
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 837-846
Persistent link: https://www.econbiz.de/10009708737
Saved in:
44
Limiting losses may be injurious to your wealth
Grauer, Robert R.
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 5088-5100
Persistent link: https://www.econbiz.de/10010342790
Saved in:
45
Market capitalization and Value-at-Risk
Dias, Alexandra
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 5248-5260
Persistent link: https://www.econbiz.de/10010343742
Saved in:
46
Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory
Kellner, Ralf
;
Gatzert, Nadine
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4353-4367
Persistent link: https://www.econbiz.de/10010247034
Saved in:
47
Dynamic factor Value-at-Risk for large heteroskedastic portfolios
Aramonte, Sirio
;
Giudice Rodriguez, Marius del
;
Wu, Jason
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4299-4309
Persistent link: https://www.econbiz.de/10010247041
Saved in:
48
Systematic stress tests with entropic plausibility constraints
Breuer, Thomas
;
Csiszár, Imre
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1552-1559
Persistent link: https://www.econbiz.de/10009729051
Saved in:
49
Special issue: Financial intermediation, competition and risk
Fethı, Meryem Duygun
;
Fiordelisi, Franco
;
Monferrà, …
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1307-1559
Persistent link: https://www.econbiz.de/10009729438
Saved in:
50
A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas
;
Jandačka, Martin
;
Mencía, Javier
; …
- In:
Journal of banking & finance
36
(
2012
)
2
,
pp. 332-340
Persistent link: https://www.econbiz.de/10009511320
Saved in:
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