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subject:"Credit risk"
~isPartOf:"Journal of banking & finance"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Credit risk
Risikomaß
181
Risk measure
181
Theorie
83
Theory
83
Portfolio selection
77
Portfolio-Management
77
Risikomanagement
52
Risk management
52
Risiko
45
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45
Statistical distribution
30
Statistische Verteilung
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Estimation
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Schätzung
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Finanzkrise
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Kreditrisiko
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Measurement
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Messung
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Systemic risk
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Basel Accord
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Basler Akkord
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Bank risk
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Bankrisiko
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Financial services
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Finanzdienstleistung
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Forecasting model
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Prognoseverfahren
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Welt
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Article in journal
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22
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Fermanian, Jean-David
2
Scaillet, Olivier
2
Barnhill, Theodore M.
1
Bernard, Carole
1
Carey, Mark S.
1
Dietsch, Michel
1
Düllmann, Klaus
1
Ebnöther, Silvan
1
Farmer, J. Doyne
1
Frey, Rüdiger
1
García-Céspedes, Rubén
1
Geanakoplos, John
1
Gordy, Michael B.
1
Hrycay, Mark
1
Jacobson, Tor
1
Jarrow, Robert A.
1
Koch Medina, Pablo
1
Laurent, Jean-Paul
1
Lindé, Jesper
1
Livingston, Miles
1
Löffler, Gunter
1
Maxwell, William F.
1
McNeil, Alexander J.
1
Moreno, Manuel
1
Munari, Cosimo-Andrea
1
Naranjo, Andy
1
Nyström, Kaj
1
Pertaia, Giorgi
1
Petey, Joe͏̈l
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Poledna, Sebastian
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Sestier, Michael
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Journal of banking & finance
The journal of credit risk : published quarterly by Incisive Media
19
Journal of risk
12
Journal of risk management in financial institutions
11
Risks : open access journal
11
The journal of risk model validation
11
Insurance / Mathematics & economics
8
Journal of financial services research : JFSR
8
European journal of operational research : EJOR
7
Journal of international financial markets, institutions & money
7
Economic modelling
6
International journal of theoretical and applied finance
6
Finance research letters
5
The European journal of finance
5
The North American journal of economics and finance : a journal of financial economics studies
5
The journal of structured finance
5
International journal of economics and financial issues : IJEFI
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Computational economics
3
European financial management : the journal of the European Financial Management Association
3
Finance and stochastics
3
International journal of forecasting
3
International review of financial analysis
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Journal of financial regulation and compliance : an international journal
3
Journal of financial stability
3
The journal of computational finance
3
The journal of fixed income
3
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
3
Agricultural finance review
2
American journal of agricultural economics
2
Applied economics letters
2
Australian journal of management
2
Bank-Praktiker : rechtssicher, revisionsfest, risikogerecht
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Die Bank
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Finance : revue de l'Association Française de Finance
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Finanz-Betrieb : FB ; Zeitschrift für Unternehmensfinanzierung und Finanzmanagement
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International journal of banking, accounting and finance : IJBAAF
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International journal of business
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International review of economics & finance : IREF
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ECONIS (ZBW)
22
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1
A new approach to credit ratings
Pertaia, Giorgi
;
Prokhorov, Artem
;
Uryasev, Stan
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013463125
Saved in:
2
The impact of non-interest income on bank risk in Australia
Williams, Barry
- In:
Journal of banking & finance
73
(
2016
),
pp. 16-37
Persistent link: https://www.econbiz.de/10011635617
Saved in:
3
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:
4
Unexpected shortfalls of Expected Shortfall : extreme default profiles and regulatory arbitrage
Koch Medina, Pablo
;
Munari, Cosimo-Andrea
- In:
Journal of banking & finance
62
(
2016
),
pp. 141-151
Persistent link: https://www.econbiz.de/10011634091
Saved in:
5
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:
6
The limits of granularity adjustments
Fermanian, Jean-David
- In:
Journal of banking & finance
45
(
2014
),
pp. 9-25
Persistent link: https://www.econbiz.de/10010466685
Saved in:
7
Leverage-induced systemic risk under Basle II and other credit risk policies
Poledna, Sebastian
;
Thurner, Stefan
;
Farmer, J. Doyne
; …
- In:
Journal of banking & finance
42
(
2014
),
pp. 199-212
Persistent link: https://www.econbiz.de/10010408397
Saved in:
8
Estimating the distribution of total default losses on the Spanish financial system
García-Céspedes, Rubén
;
Moreno, Manuel
- In:
Journal of banking & finance
49
(
2014
),
pp. 242-261
Persistent link: https://www.econbiz.de/10010508036
Saved in:
9
A leverage ratio rule for capital adequacy
Jarrow, Robert A.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
Saved in:
10
Systemic risk contributions : a credit portfolio approach
Puzanova, Natalia
;
Düllmann, Klaus
- In:
Journal of banking & finance
37
(
2013
)
4
,
pp. 1243-1257
Persistent link: https://www.econbiz.de/10009719795
Saved in:
11
Split bond ratings and rating migration
Livingston, Miles
;
Naranjo, Andy
;
Zhou, Lei
- In:
Journal of banking & finance
32
(
2008
)
8
,
pp. 1613-1624
Persistent link: https://www.econbiz.de/10003749390
Saved in:
12
Credit portfolios : what defines risk horizons and risk measurement?
Ebnöther, Silvan
;
Vanini, Paolo
- In:
Journal of banking & finance
31
(
2007
)
12
,
pp. 3663-3679
Persistent link: https://www.econbiz.de/10003604359
Saved in:
13
Internal ratings systems, implied credit risk and the consistency of banks ́risk classification policies
Jacobson, Tor
;
Lindé, Jesper
;
Roszbach, Kasper
- In:
Journal of banking & finance
30
(
2006
)
7
,
pp. 1899-1926
Persistent link: https://www.econbiz.de/10003339447
Saved in:
14
A credit risk model for large dimensional portfolios with application to economic capital
Nyström, Kaj
;
Skoglund, Jimmy
- In:
Journal of banking & finance
30
(
2006
)
8
,
pp. 2163-2197
Persistent link: https://www.econbiz.de/10003355715
Saved in:
15
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
Saved in:
16
On the way to recovery : a nonparametric bias free estimation of recovery rate densities
Renault, Olivier
;
Scaillet, Olivier
- In:
Journal of banking & finance
28
(
2004
)
12
,
pp. 2915-2931
Persistent link: https://www.econbiz.de/10002410710
Saved in:
17
The effects of estimation error on measures of portfolio credit risk
Löffler, Gunter
- In:
Journal of banking & finance
27
(
2003
)
8
,
pp. 1427-1453
Persistent link: https://www.econbiz.de/10001770305
Saved in:
18
The credit risk in SME loans portfolios : modeling issues, pricing, and capital requirements
Dietsch, Michel
;
Petey, Joe͏̈l
- In:
Journal of banking & finance
26
(
2002
)
2/3
,
pp. 303-322
Persistent link: https://www.econbiz.de/10001654318
Saved in:
19
Modeling correlated market and credit risk in fixed income portfolios
Barnhill, Theodore M.
;
Maxwell, William F.
- In:
Journal of banking & finance
26
(
2002
)
2/3
,
pp. 347-374
Persistent link: https://www.econbiz.de/10001654326
Saved in:
20
VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights
Frey, Rüdiger
;
McNeil, Alexander J.
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1317-1334
Persistent link: https://www.econbiz.de/10001688506
Saved in:
21
Saddlepoint approximation of creditRisk+
Gordy, Michael B.
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1335-1353
Persistent link: https://www.econbiz.de/10001688516
Saved in:
22
Parameterizing credit risk models with rating data
Carey, Mark S.
;
Hrycay, Mark
- In:
Journal of banking & finance
25
(
2001
)
1
,
pp. 197-270
Persistent link: https://www.econbiz.de/10001546264
Saved in:
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