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Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default

Wang, Zheqi; Crook, Jonathan N.; Andreeva, Galina - In: European journal of operational research : EJOR 287 (2020) 2, pp. 725-738

Persistent link: https://www.econbiz.de/10012293945

Asymmetric asset correlation in credit portfolios

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Persistent link: https://www.econbiz.de/10013478636

Practice oriented and Monte Carlo based estimation of the value-at-risk for operational risk measurement

Greselin, Francesca; Piacenza, Fabio; Zitikis, Ričardas - In: Risks : open access journal 7 (2019) 2/50, pp. 1-20

acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement … risk measures. Naturally, financial analysts and regulators are interested in mitigating sampling errors, as prescribed in … lines of EU Regulation 575/2013. The Monte Carlo error for the operational risk measure is here assessed on the basis of the …

Persistent link: https://www.econbiz.de/10012019128

Handbuch Bankenaufsicht und interne Risikosteuerungsmodelle : Quantifizierung und Analyse von Risiken mit bankinternen Modellen, bankaufsichtliche Anforderungen

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Systemic risk measurement : multivariate GARCH estimation of CoVaR

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Persistent link: https://www.econbiz.de/10009778470

The Basel II risk parameters : estimation, validation, stress testing ; with applications to loan risk management

Engelmann, Bernd (ed.); Rauhmeier, Robert (contributor) - 2011 - 2. ed.

Persistent link: https://www.econbiz.de/10008654848

The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

Engelmann, Bernd - 2011

-- Transition Matrices: Properties and Estimation Methods -- A Multi-Factor Approach for Systematic Default and Recovery Risk …The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and …Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow …

Persistent link: https://www.econbiz.de/10014015277

Risk decomposition, estimation error, and naïve diversification

Haensly, Paul J. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-34

Persistent link: https://www.econbiz.de/10012654769

Unbiased estimation of risk

Pitera, Marcin; Schmidt, Thorsten - In: Journal of banking & finance 91 (2018), pp. 133-145

Persistent link: https://www.econbiz.de/10011963654

Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks

Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192

Persistent link: https://www.econbiz.de/10014317144