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TESTING FOR RATING CONSISTENCY IN ANNUAL DEFAULT RATES

Cantor, Richard; Falkenstein, Eric - In: The journal of fixed income 11 (2001) 2, pp. 36-51

Persistent link: https://www.econbiz.de/10007170793

FEATURES - Internal Credit Risk Rating Systems Must Evolve to Stay Relevant

Mingo, John; Falkenstein, Eric - In: The RMA-journal 82 (2000) 8, pp. 22-25

Persistent link: https://www.econbiz.de/10007175759

FEATURES - Validating Commercial Risk Grade Mappings: Why and How

Falkenstein, Eric - In: The RMA-journal 82 (2000) 5, pp. 26-33

Persistent link: https://www.econbiz.de/10007175817

FEATURES - Balance Sheet Management Capital Priorities: Practical Advice on Implementing RAROC

Falkenstein, Eric - In: The journal of lending & credit risk management 81 (1999) 9, pp. 18-23

Persistent link: https://www.econbiz.de/10007182342

Minimizing Basis Risk from Non-Parallel Shifts in the Yield Curve

Falkenstein, Eric; Hanweck, Jerry - In: The journal of fixed income 6 (1996) 1, pp. 60-68

Persistent link: https://www.econbiz.de/10007310993

FEATURES - INTEGRATING QUANTITATIVE RISK-MANAGEMENT THROUGH ECONOMIC RISK CAPITAL - The nitty-gritty details of assigning capital to different activities can derail the most sophisticated risk-management process. This article outlines the process and benefits of assigning capital and suggests some ways to approach interest-rate and commercial loan capital allocations

Falkenstein, Eric - In: Bank accounting & finance 12 (1998) 1, pp. 10-21

Persistent link: https://www.econbiz.de/10007060443

Accounting for Economic and Regulatory Capital in RAROC Analysis

Falkenstein, Eric - In: Bank accounting & finance 11 (1997) 1, pp. 29-35

Persistent link: https://www.econbiz.de/10007067108

Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings

Falkenstein, Eric G. - 1998

This investigation of the cross-section of mutual fund equity holdings for the years 1991 and 1992 shows that mutual funds have a significant preference towards firms with high visibility and low transaction costs, and are averse to stocks with low idiosyncratic volatility. These findings are...

Persistent link: https://www.econbiz.de/10012791313