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subject:"Credit risk"
~isPartOf:"Econometric Institute research papers"
~subject:"Basler Akkord"
~type_genre:"Working Paper"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Credit risk
Basler Akkord
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McAleer, Michael
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
2
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
3
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009744769
Saved in:
4
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009781946
Saved in:
5
A capital adequacy buffer model
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2013
Persistent link: https://www.econbiz.de/10010354388
Saved in:
6
Has the Basel Accord improved risk management during the Global Financial Crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2012
-
Revised: October 2012
Persistent link: https://www.econbiz.de/10010360666
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7
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2012
Persistent link: https://www.econbiz.de/10010360674
Saved in:
8
Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
Casarin, Roberto
;
Chang, Chia-Lin
;
Jiménez-Martín, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619354
Saved in:
9
GFC-robust risk management under the Basel accord using extreme value methodologies
Santos, Paulo Araújo
;
Jiménez-Martín, Juan-Ángel
; …
-
2011
Persistent link: https://www.econbiz.de/10009619356
Saved in:
10
Risk management of risk under the Basel accord: forecasting value-at-risk of VIX futures
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2011
Persistent link: https://www.econbiz.de/10009619372
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