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Approximating the uncertainty in portfolio optimization models with market imperfections

Klaassen, Pieter - 1995

Persistent link: https://www.econbiz.de/10000904890

Discretized reality and spurious profits in stochastic programming models for asset liability management

Klaassen, Pieter - 1995

Persistent link: https://www.econbiz.de/10000909098

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen, Joost (contributor); Klaassen, Pieter (contributor) - 2000

Persistent link: https://www.econbiz.de/10001528991

Fat tails and the effect on optimal asset allocations

Lucas, André; Klaassen, Pieter - In: Bank strategies and challenges in the new Europe, (pp. 272-288). 2001

Persistent link: https://www.econbiz.de/10001630871

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002

Persistent link: https://www.econbiz.de/10001718549

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen, Joost; Klaassen, Pieter; Melenberg, Bertrand - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 3, pp. 635-672

Persistent link: https://www.econbiz.de/10001794047

Discrete versus continuous state switching models for portfolio credit risk

Lucas, André; Klaassen, Pieter - 2003

Persistent link: https://www.econbiz.de/10001882976

Tail behaviour of credit loss distributions for general latent factor models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - In: Applied mathematical finance 10 (2003) 4, pp. 337-357

Persistent link: https://www.econbiz.de/10001864390

Analyzing Bank Performance : Linking ROE, ROA and RAROC

Klaassen, Pieter - 2015

We introduce a new performance scheme for banks, inspired by the Du Pont scheme for corporates, which clarifies the relationship between return on equity (ROE), risk-adjusted return on capital (RAROC) and return on assets (ROA). The scheme highlights how common financial ratios as well as risk...

Persistent link: https://www.econbiz.de/10013034273

Discrete versus continuous state switching models for portfolio credit risk

Lucas, André; Klaassen, Pieter - In: Journal of banking & finance 30 (2006) 1, pp. 23-35

Persistent link: https://www.econbiz.de/10003285592