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Informationally dynamized Gaussian copula
Crépey, S.; Jeanblanc, Monique; Wu, Dong Li - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
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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
Persistent link: https://www.econbiz.de/10011327637
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Change point detection for subprime crisis in American banking : from the perspective of risk dependence
Zhu, Xiaoqian; Xie, Yongjia; Li, Jianping; Wu, Dengsheng - In: International review of economics & finance : IREF 38 (2015), pp. 18-28
Persistent link: https://www.econbiz.de/10011572332
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Financial statements based bank risk aggregation
Li, Jianping; Wei, Lu; Lee, Cheng F.; Zhu, Xiaoqian; … - In: Review of quantitative finance and accounting 50 (2018) 3, pp. 673-694
Persistent link: https://www.econbiz.de/10011979270
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A general framework for constructing bank risk data sets
Zhu, Xiaoqian; Lu, Wei; Wu, Dengsheng; Li, Jianping - In: Journal of risk 21 (2018/2019) 1, pp. 37-59
Persistent link: https://www.econbiz.de/10011980291