Search Results - subject:"risk correlation"

Cyber insurance premium setting for multi-site companies under risk correlation

Mastroeni, Loretta; Mazzoccoli, Alessandro; Naldi, Maurizio - In: Risks : open access journal 11 (2023) 10, pp. 1-18

paper, we consider a company which has peripheral branches in addition to its headquarters, where risk correlation is … principle (which leads to the well-known mean variance premium formula) to derive the insurance premium under risk correlation … major risk factors (the number of branches and the risk correlation coefficient) is determined. …

Persistent link: https://www.econbiz.de/10014375312

Credit risk correlation and the cost of bank loans

Javadi, Siamak; Osah, Theophilus Teye - In: Financial management : FM 53 (2024) 4, pp. 795-832

Persistent link: https://www.econbiz.de/10015130700

Litigation risk assessment : a novel quantitative recency-frequency-monetary model

Shi, Guodong; Huang, Jianjie; Hou, Jiahao; Zhang, Zeliang - In: The journal of risk model validation 18 (2024) 3, pp. 53-79

Persistent link: https://www.econbiz.de/10015459660

Drivers of risk correlation among financial institutions : a study based on a textual risk disclosure perspective

Li, Guowen; Jing, Zhongbo; Li, Jingyu; Feng, Yuyao - In: Economic modelling 128 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014464430

Analysis of risk correlations among stock markets during the COVID-19 pandemic

Wu, Junfeng; Zhang, Chao; Chen, Yun - In: International review of financial analysis 83 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013454980

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - Deutsche Bundesbank - 2008

analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

Persistent link: https://www.econbiz.de/10005082747

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - 2008

analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

Persistent link: https://www.econbiz.de/10010295948

Vergleichende Analyse alternativer Kreditrisikomodelle

Wahrenburg, Mark; Niethen, Susanne - 2000

In den letzten Jahren wurden verschiedene Modelle entwickelt, um das Ausfallrisiko von Banken unter Berücksichtigung von Portfolioeffekten zu quantifizieren. Bisher hat sich kein Ansatz als allgemein akzeptierter Standard durchsetzen können. Da die Modelle grundlegende konzeptionelle...

Persistent link: https://www.econbiz.de/10010316264