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Stress testing of credit portfolios in light- and heavy-tailed models
Kalkbrener, Michael; Packham, Natalie - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 34-44
Persistent link: https://www.econbiz.de/10010526459
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Stress testing of credit portfolios in light- and heavy-tailed models
Kalkbrener, Michael; Packham, Natalie - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 34-44
Persistent link: https://www.econbiz.de/10010526460
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Retail credit capital charge optimisation and the new Basel Accord
Botha, Marius; Van Vuuren, Gary - In: Journal of risk management in financial institutions 2 (2008/09) 3, pp. 265-283
Persistent link: https://www.econbiz.de/10003865066
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Implied asset correlation in retail loan portfolios
Botha, Marius; Van Vuuren, Gary - In: Journal of risk management in financial institutions 3 (2009/10) 2, pp. 156-173
Persistent link: https://www.econbiz.de/10003963534
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Does risk culture matter? : the relationship between risk culture indicators and stress test results
Fritz-Morgenthal, Sebastian G.; Hellmuth, Julia; … - In: Journal of risk management in financial institutions 9 (2015/2016) 1, pp. 71-84
Persistent link: https://www.econbiz.de/10011488884