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Capital requirements with defaultable securities
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo-Andrea - 2013
examples show that a theory of capital requirements allowing for general eligible assets is richer than the standard theory of …
Persistent link: https://www.econbiz.de/10010258584
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...
Persistent link: https://www.econbiz.de/10010258580
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Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf; Rösch, Daniel - In: Journal of economic dynamics & control 68 (2016), pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
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Basel risk weight functions and forward-looking expected credit losses
Eleftherios, Vlachostergios - In: The journal of credit risk : published quarterly by … 15 (2019) 4, pp. 29-42
Persistent link: https://www.econbiz.de/10012153043
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Revisiting Basel risk weights : cross-sectional risk sensitivity and cyclicality
Baule, Rainer; Tallau, Christian - In: Journal of business economics : JBE 86 (2016) 8, pp. 905-931
Persistent link: https://www.econbiz.de/10011667253
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Regulatory capital and incentives for risk model choice under Basel 3
Liu, Fred; Stentoft, Lars - In: Journal of financial econometrics 19 (2021) 1, pp. 53-96
Persistent link: https://www.econbiz.de/10012504312
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Risk management with weighted VaR
Wei, Pengyu - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1020-1060
Persistent link: https://www.econbiz.de/10011969073
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Extended saddlepoint methods for credit risk measurement
García-Céspedes, Rúben; Moreno, Manuel - In: The journal of computational finance 20 (2016) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10011656202
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How does issuing contingent convertible bonds improve bank's solvency? : a Value-at-Risk and Expected Shortfall approach
Jaworski, Piotr; Liberadzki, Kamil; Liberadzki, Marcin - In: Economic modelling 60 (2017), pp. 162-168
Persistent link: https://www.econbiz.de/10011734191
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Which eligible assets are compatible with comonotonic capital requirements?
Koch Medina, Pablo; Munari, Cosimo-Andrea; Svindland, Gregor - In: Insurance / Mathematics & economics 81 (2018), pp. 18-26
Persistent link: https://www.econbiz.de/10011904606