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Concentration risk model for Greek bank's credit portfolio

Lefcaditis, Constantinos; Tsamis, Anastasios; … - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 71-93

Persistent link: https://www.econbiz.de/10010252215

Risk management with weighted VaR

Wei, Pengyu - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1020-1060

Persistent link: https://www.econbiz.de/10011969073

External risk measures and Basel accords

Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417

Persistent link: https://www.econbiz.de/10009787381

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010399713

The marginal cost of risk, risk measures, and capital allocation

Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457

Persistent link: https://www.econbiz.de/10011487544

Measuring the diversification of a loan portfolio

Tourin, Agnès - In: International journal of bonds and derivatives 4 (2020) 2, pp. 104-113

Persistent link: https://www.econbiz.de/10012505156

Liquidity risk and credit risk : a relationship based on the interaction between liquid asset ratio, non-performing loans ratio and systemic liquidity risk

Malandrakis, Ioannis K. - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 375-400

Persistent link: https://www.econbiz.de/10010476907

Justification of per-unit risk capital allocation in portfolio credit risk models

Dorfleitner, Gregor; Pfister, Tamara - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-29

Persistent link: https://www.econbiz.de/10010438509

Simulating risk contributions of credit portfolios

Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121

Persistent link: https://www.econbiz.de/10010519509

Extended saddlepoint methods for credit risk measurement

García-Céspedes, Rúben; Moreno, Manuel - In: The journal of computational finance 20 (2016) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10011656202