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The Present and Future of Financial Risk Management

Alexander, Carol - 2004

Current research on financial risk management applications of econometrics centres on the accurate assessment of individual market and credit risks with relatively little theoretical or applied econometric research on other types of risk, aggregation risk, data incompleteness and optimal risk...

Persistent link: https://www.econbiz.de/10012738801

Economic capital and RAROC in a dynamic model

Bauer, Daniel; Zanjani, George - In: Journal of banking & finance 125 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012819680

Managing performance using a dual measure framework

Ozdemir, Bogie; Cubukgil, Evren; Xia, Huaxing - In: Journal of risk management in financial institutions 7 (2014) 3, pp. 257-276

Persistent link: https://www.econbiz.de/10010413326

Determining hurdle rate and capital allocation in credit portfolio management

Miu, Peter; Ozdemir, Bogie; Cubukgil, Evren; Giesinger, … - In: Journal of financial services research : JFSR 50 (2016) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011667855

Long-term project valuation in capital-constrained firms

Shimko, David C. - In: Finance : revue de l'Association Française de Finance 40 (2019) 3, pp. 121-139

Persistent link: https://www.econbiz.de/10012154181

A new pricing approach for SME loans issued by commercial banks based on credit score mapping and Archimedean Copula simulation

Liu, Chang; Shi, Haoming; Cai, Yujun; Shen, Shu; Lin, … - In: Journal of business economics and management 20 (2019) 4, pp. 618-632

The traditional loans pricing methods are usually based on risk measures of individual loan's characteristics without considering the correlation between the defaults of different loans and the contribution of individual loans to the entire loan portfolio. In this study, using account-level...

Persistent link: https://www.econbiz.de/10012175768

Practical guidelines to formulate an operational risk appetite statement for corporate organisations : a South African perspective

Young, J. - In: Corporate ownership & control : international … 12 (2014/15) 1, pp. 47-63

Persistent link: https://www.econbiz.de/10011339522

A case for economic capital as a Pillar 1 regulatory tool

Jacobs, Johann; Van Vuuren, Gary - In: The South African journal of economics 82 (2014) 2, pp. 290-314

Persistent link: https://www.econbiz.de/10010502202

Optimal loan portfolio under regulatory and internal constraints

Okawara, Makoto; Takahashi, Akihiko - In: International journal of financial engineering 10 (2023) 4, pp. 1-44

Persistent link: https://www.econbiz.de/10014444676

Practical Credit Risk and Capital Modeling, and Validation : CECL, Basel Capital, CCAR, and Credit Scoring with Examples

Chen, Colin - 2024

Introduction to Credit Risk and Capital Management Frameworks -- Credit Data and Processing -- Credit Modeling Techniques -- Allowance for Credit Loss and CECL -- Capital Management and Risk Weighted Asset -- Stress Test and CCAR -- Underwriting and Credit Scoring.

Persistent link: https://www.econbiz.de/10014524754