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A general framework for constructing bank risk data sets

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Financial Statements-Based Bank Risk Aggregation

Li, Jianping; Wei, Lu; Zhu, Xiaoqian - 2022 - 1st ed. 2022.

Chapter 1. Basic concepts of bank risk aggregation -- Chapter 2. Research review of bank risk aggregation -- Chapter 3. Financial statements based bank risk aggregation framework -- Chapter 4. Bank risk aggregation based on income statement -- Chapter 5. A “factor-integral” approach to solve...

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A stochastic dominance approach to financial risk management strategies

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - In: Journal of econometrics 187 (2015) 2, pp. 472-485

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Has the Basel II accord encouraged risk management during the 2008 - 09 financial crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

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Operational risk measurement : a loss distribution approach with segmented dependence

Zhu, Xiaoqian; Wang, Yinghui; Li, Jianping - In: The journal of operational risk 14 (2019) 1, pp. 25-44

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Should the advanced measurement approach for operational risk be discarded? : evidence from the Chinese banking industry

Zhu, Xiaoqian; Li, Jianping; Wu, Dengsheng - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950007-1-1950007-15

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On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng F.; Wu, Dengsheng; … - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 161-189

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The Ten Commandments for managing value at risk under the Basel II accord

Jiménez-Martín, Juan-Ángel; McAleer, Michael; Pérez … - In: Issues in finance : credit, crises and policies, (pp. 59-64). 2010

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GFC-robust risk management strategies under the Basel Accord

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: International review of economics & finance : IREF 27 (2013), pp. 97-111

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Has the Basel Accord improved risk management during the Global Financial Crisis?

McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2012 - Revised: October 2012

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