Liquidity Risk, Credit Risk, Market Risk and Bank Capital
Year of publication: |
2011-01
|
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Authors: | Varotto, Simone |
Institutions: | Henley Business School, University of Reading |
Subject: | Liquidity Risk | Credit Risk | Market Risk | Financial Crisis | Basel III |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number icma-dp2011-02 |
Classification: | G11 - Portfolio Choice ; G21 - Banks; Other Depository Institutions; Mortgages ; G22 - Insurance; Insurance Companies ; G28 - Government Policy and Regulation ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
-
Stress Testing Credit Risk: The Great Depression Scenario
Varotto, Simone, (2010)
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Liquidity Risk, Credit Risk, Market Risk and Bank Capital
Varotto, Simone, (2011)
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Stress testing credit risk: The Great Depression scenario
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The Time Varying Properties of Credit and Liquidity Components of CDS Spreads
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