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Optimal equity protection of Solvency II regulated portfolios
Vaucher, Benoit - In: Journal of risk 20 (2017/2018) 3, pp. 69-81
Persistent link: https://www.econbiz.de/10011847474
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The quickest way to lose the money you cannot afford to lose : reverse stress testing with maximum entropy
Rebonato, Riccardo - In: Journal of risk 20 (2017/2018) 3, pp. 83-93
Persistent link: https://www.econbiz.de/10011847481
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Nonmaturity desposits and banks' exposure to interest rate risk : issues arising from the Basel regulatory framework
Cocozza, Rosa; Curcio, Domenico; Gianfrancesco, Igor - In: Journal of risk 17 (2014/2015) 5, pp. 99-134
Persistent link: https://www.econbiz.de/10011438896
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Counterparty risk : credit valuation adjustment variability and value-at-risk
Breton, Michèle; Marzouk, Oussama - In: Journal of risk 21 (2018/2019) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10012059879
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Modeling redemption risks of mutual funds using extreme value theory
Desmettre, Sascha; Deege, Matthias - In: Journal of risk 18 (2016) 6, pp. 1-37
Persistent link: https://www.econbiz.de/10011620647
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The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
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Path-consistent wrong-way risk : a structural model approach
Hofer, Markus - In: Journal of risk 19 (2016) 1, pp. 25-42
Persistent link: https://www.econbiz.de/10011579756
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The efficiency of the Anderson-Darling test with a limited sample size : an application to backtesting counterparty credit risk internal models
Formenti, Matteo; Spadafora, Luca; Terraneo, Marcello; … - In: Journal of risk 21 (2018/2019) 6, pp. 69-100
Persistent link: https://www.econbiz.de/10012117481
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The temporal dimension of risk
Mahmoud, Ola - In: Journal of risk 19 (2016/2017) 3, pp. 57-83
Persistent link: https://www.econbiz.de/10011689723
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Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha; Pedescu, Mirela - In: Journal of risk 19 (2016/2017) 4, pp. 23-50
Persistent link: https://www.econbiz.de/10011710248