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The journal of risk model validation
International journal of central banking : IJCB
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ECONIS (ZBW)
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1
Value-at-risk and the global financial crisis
Ha Tran Manh
;
Mai Ngoc Tran
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
Saved in:
2
The validation of different systemic risk measurement models
Wang, Hu
;
Jiang, Shuyang
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 83-97
Persistent link: https://www.econbiz.de/10014485771
Saved in:
3
Financial stability committees and the Basel III countercyclical capital buffer
Edge, Rochelle M.
;
Liang, Jean Nellie
- In:
International journal of central banking : IJCB
18
(
2022
)
5
,
pp. 247-299
Persistent link: https://www.econbiz.de/10014248397
Saved in:
4
Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals
Fan, Mengting
;
Mo, Zan
;
Zhao, Qizhi
;
Gao, Hongming
; …
- In:
The journal of risk model validation
16
(
2022
)
4
,
pp. 37-75
Persistent link: https://www.econbiz.de/10014239847
Saved in:
5
The determinants of European Banks' capital structure : is there a difference between public and private banks?
Oliveira, Vitor
;
Raposo, Clara
- In:
International journal of central banking : IJCB
17
(
2021
)
3
,
pp. 155-202
Persistent link: https://www.econbiz.de/10014323151
Saved in:
6
Rethinking capital regulation : the case for a dividend prudential target
Muñoz, Manuel A.
- In:
International journal of central banking : IJCB
17
(
2021
)
3
,
pp. 273-336
Persistent link: https://www.econbiz.de/10014323161
Saved in:
7
A prudent loss given default estimation for mortgages. II
Ozdemir, Bogie
;
Huang, Emma
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10013173359
Saved in:
8
Bank capital : a seawall approach
Dagher, Jihad C.
;
Dell'Ariccia, Giovanni
;
Laeven, Luc
; …
- In:
International journal of central banking : IJCB
16
(
2020
)
2
,
pp. 249-291
Persistent link: https://www.econbiz.de/10012180285
Saved in:
9
Incremental value-at-risk
Mitic, Peter
;
Cooper, James
;
Bloxham, Nicholas
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
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10
Benchmarking loss given default discount rates
Scheule, Harald
;
Jortzik, Stephan
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 53-96
Persistent link: https://www.econbiz.de/10014336010
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11
The utility of Basel III rules on excessive violations of internal risk models
Tarrant, Wayne
- In:
The journal of risk model validation
13
(
2019
)
1
,
pp. 25-37
Persistent link: https://www.econbiz.de/10012020267
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12
On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation
Zhang, Xin
;
Tung, Tony
- In:
The journal of risk model validation
13
(
2019
)
1
,
pp. 39-61
Persistent link: https://www.econbiz.de/10012020268
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13
Are Basel's capital surcharges for global systemically important banks too small?
Passmore, Stuart Wayne
;
Hafften, Alexander H. von
- In:
International journal of central banking : IJCB
15
(
2019
)
1
,
pp. 107-156
Persistent link: https://www.econbiz.de/10012174465
Saved in:
14
Evaluating indicators for use in setting the countercyclical capital buffer
Tölö, Eero
;
Laakkonen, Helinä
;
Kalatie, Simo
- In:
International journal of central banking : IJCB
14
(
2018
)
2
,
pp. 51-112
Persistent link: https://www.econbiz.de/10011825985
Saved in:
15
Leverage and risk-weighted capital requirements
Gambacorta, Leonardo
;
Karmakar, Sudipto
- In:
International journal of central banking : IJCB
14
(
2018
)
5
,
pp. 153-191
Persistent link: https://www.econbiz.de/10011968876
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16
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework : an application to mortgage portfolios
Canals-Cerdá, José J.
- In:
The journal of risk model validation
12
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011991951
Saved in:
17
Joint validation of credit rating PDs under default correlation
Schechtman, Ricardo
- In:
International journal of central banking : IJCB
13
(
2017
)
2
,
pp. 235-282
Persistent link: https://www.econbiz.de/10011703759
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18
Cyclicality and firm size in private firm defaults
Jensen, Thais Lærkholm
;
Lando, David
;
Medhat, Mamdouh
- In:
International journal of central banking : IJCB
13
(
2017
)
4
,
pp. 97-145
Persistent link: https://www.econbiz.de/10011785093
Saved in:
19
A probabilistic approach to IT risk management in the Basel regulatory framework : a case study
Ibrahimovic, Semir
;
Franke, Ulrik
- In:
Journal of financial regulation and compliance : an …
25
(
2017
)
2
,
pp. 176-195
Persistent link: https://www.econbiz.de/10011798919
Saved in:
20
The impacts of financial regulations : solvency and liquidity in the post-crisis period
Baker, Colleen
;
Cummings, Christine
;
Jagtiani, Julapa
- In:
Journal of financial regulation and compliance : an …
25
(
2017
)
3
,
pp. 253-270
Persistent link: https://www.econbiz.de/10011798941
Saved in:
21
Asset correlations and procyclical impact
Ho, Kung-Cheng
;
Chen, Jiun-Lin
;
Lee, Shih-Cheng
- In:
The journal of risk model validation
11
(
2017
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011671171
Saved in:
22
A point-in-time-through-the-cycle approach to rating assignment and probability of default calibration
Rubtsov, Mark
;
Petrov, Alexander
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 83-112
Persistent link: https://www.econbiz.de/10011527482
Saved in:
23
The effects of liquidity regulation on bank assets and liabilities
Duijm, Patty
;
Wierts, Peter
- In:
International journal of central banking : IJCB
12
(
2016
)
2
,
pp. 385-411
Persistent link: https://www.econbiz.de/10011528224
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24
A conceptual framework for the Basel accords-based regulation
Ahmed, Jaffar Mohammed
- In:
Journal of financial regulation and compliance : an …
24
(
2016
)
1
,
pp. 90-103
Persistent link: https://www.econbiz.de/10011563681
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25
Assessing the Basel II internal ratings-based approach : empirical evidence from Australia
Tarca, Silvio
;
Rutkowski, Marek
- In:
Journal of financial regulation and compliance : an …
24
(
2016
)
2
,
pp. 106-139
Persistent link: https://www.econbiz.de/10011563824
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26
Supervision of financial institutions : the transition from Basel I to Basel III. A critical appraisal of the newly established regulatory framework
Vousinas, Georgios L.
- In:
Journal of financial regulation and compliance : an …
24
(
2016
)
4
,
pp. 383-402
Persistent link: https://www.econbiz.de/10011564315
Saved in:
27
Evaluation of post-GFC policy response of New Zealand : banking and macro-prudential perspectives
Islam, Syrus M.
;
Yahanpath, Noel
- In:
Journal of financial regulation and compliance : an …
24
(
2016
)
4
,
pp. 403-414
Persistent link: https://www.econbiz.de/10011564318
Saved in:
28
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation
Yang, Bill Huajian
;
Du, Zunwei
- In:
The journal of risk model validation
10
(
2016
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011587660
Saved in:
29
Basel disclosure by private and public sector banks in India : assessment and implications
Samanta, Prodyot
;
Dugal, Mohinder
- In:
Journal of financial regulation and compliance : an …
24
(
2016
)
4
,
pp. 453-472
Persistent link: https://www.econbiz.de/10011718614
Saved in:
30
Loss given default modeling : an application to data from a Polish bank
Karwański, Marek
;
Gostkowski, Michał
;
Jałowiecki, Piotr
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 23-40
Persistent link: https://www.econbiz.de/10011410319
Saved in:
31
Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>
;
Karagozoglu, Ahmet K.
; …
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
Saved in:
32
The road to financial stability : capital regulation, liquidity regulation, and resolution
Cecchetti, Stephen G.
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 127-139
Persistent link: https://www.econbiz.de/10011376467
Saved in:
33
Systemic risk and the solvency-liquidity nexus of banks
Pierret, Diane
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 193-227
Persistent link: https://www.econbiz.de/10011376501
Saved in:
34
Discussion of "Systemic risk and the solvency-liquidity nexus of banks"
Adrian, Tobias
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 229-240
Persistent link: https://www.econbiz.de/10011376503
Saved in:
35
Centrality-based capital allocations
Alter, Adrian
;
Craig, Ben R.
;
Raupach, Peter
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 329-377
Persistent link: https://www.econbiz.de/10011376887
Saved in:
36
Discussion of "Centrality-based capital allocations"
Tahbaz-Salehi, Alireza
- In:
International journal of central banking : IJCB
11
(
2015
)
3
,
pp. 379-384
Persistent link: https://www.econbiz.de/10011376888
Saved in:
37
Liquidity requirements : a double-edged sword
König, Philipp Johann
- In:
International journal of central banking : IJCB
11
(
2015
)
4
,
pp. 129-168
Persistent link: https://www.econbiz.de/10011628161
Saved in:
38
To Basel or not to Basel? : banking crises and contagion
Samitas, Aristeidis
;
Polyzos, Stathis
- In:
Journal of financial regulation and compliance : an …
23
(
2015
)
3
,
pp. 298-318
Persistent link: https://www.econbiz.de/10011342774
Saved in:
39
Adoption of Basel norms : a review of empirical evidences
Kaur Ghuman, Mandeep
;
Kapoor, Samriti
- In:
Journal of financial regulation and compliance : an …
23
(
2015
)
3
,
pp. 271-284
Persistent link: https://www.econbiz.de/10011342787
Saved in:
40
CVA: the first sign of BCBS strategic change?
Viljanen, Mika Veli-Pekka
- In:
Journal of financial regulation and compliance : an …
23
(
2015
)
3
,
pp. 230-251
Persistent link: https://www.econbiz.de/10011342796
Saved in:
41
Risk-based capital regulation revisited : evidence from the early 2000s
Hogan, Thomas L.
;
Meredith, Neil R.
;
Pan, Xuhao Harry
- In:
Journal of financial regulation and compliance : an …
23
(
2015
)
2
,
pp. 115-134
Persistent link: https://www.econbiz.de/10011342832
Saved in:
42
Approaches to financial regulation in view of the crisis : report about the 34th meeting of the German Comparative Law Society
Stöhr, Alexander
- In:
Journal of financial regulation and compliance : an …
23
(
2015
)
1
,
pp. 73-83
Persistent link: https://www.econbiz.de/10010488968
Saved in:
43
Compliance with Basel 2.5 : banks' approaches to implementing stressed VaR
Prorokowski, Lukasz
;
Prorokowski, Hubert
- In:
Journal of financial regulation and compliance : an …
22
(
2014
)
4
,
pp. 339-348
Persistent link: https://www.econbiz.de/10011491023
Saved in:
44
When capital adequacy and interest rate policy are substitutes : (and when they are not)
Cecchetti, Stephen G.
;
Kohler, Marion
- In:
International journal of central banking : IJCB
10
(
2014
)
3
,
pp. 205-231
Persistent link: https://www.econbiz.de/10010469926
Saved in:
45
Comprehensive risk measure : current challenges
Prorokowski, Lukasz
;
Prorokowski, Hubert
- In:
Journal of financial regulation and compliance : an …
22
(
2014
)
3
,
pp. 271-284
Persistent link: https://www.econbiz.de/10010471080
Saved in:
46
Supervisory requirements and expectations for portfolio level counterparty credit risk measurement and management
Jacobs, Michael <Jr.>
- In:
Journal of financial regulation and compliance : an …
22
(
2014
)
3
,
pp. 252-270
Persistent link: https://www.econbiz.de/10010471082
Saved in:
47
A proposal for an open-source financial risk model
Hwang, Jong Ho
- In:
Journal of financial regulation and compliance : an …
22
(
2014
)
3
,
pp. 219-234
Persistent link: https://www.econbiz.de/10010471086
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48
Bank capital : the case against Basel
Pakravan, Karim
- In:
Journal of financial regulation and compliance : an …
22
(
2014
)
3
,
pp. 208-218
Persistent link: https://www.econbiz.de/10010471089
Saved in:
49
Bank's perspective on regulatory-driven changes to collateral management
Prorokowski, Lukasz
- In:
Journal of financial regulation and compliance : an …
22
(
2014
)
2
,
pp. 128-146
Persistent link: https://www.econbiz.de/10010471111
Saved in:
50
Capital requirements for market risks : value-at-risk models and stressed-VaR after the financial crisis
Burchi, Alberto
- In:
Journal of financial regulation and compliance : an …
21
(
2013
)
3
,
pp. 284-304
Persistent link: https://www.econbiz.de/10009780501
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