Narrow search
Showing 1 - 7 of 7
Cover Image
Contingent claims analysis applied in credit risk modeling
Anderson, Anne M.; Maxwell, William F.; Barnhill, … - In: The journal of fixed income 12 (2002) 3, pp. 24-31
Persistent link: https://www.econbiz.de/10001763885
Cover Image
Systemic bank risk in Brazil : a comprehensive simulation of correlated market, credit, sovereign and inter-bank risks
Barnhill, Theodore M.; Souto, Marcos Rietti - In: Financial markets, institutions & instruments 18 (2009) 4, pp. 243-283
Persistent link: https://www.econbiz.de/10003913217
Cover Image
Systemic bank risk in Brazil : an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations
Barnhill, Theodore M. (contributor);  … - 2008
In this study we develop and demonstrate a powerful and flexible forward-looking portfolio simulation methodology for assessing the correlated impacts of market risk, and private sector, sovereign and inter-bank default risk on both individual banks (i.e. 28 of the largest Brazilian banks) and...
Persistent link: https://www.econbiz.de/10003721590
Cover Image
Modeling the yields on noninvestment grade bond indexes : credit risk and macroeconomic factors
Joutz, Frederick L.; Maxwell, William F. - In: International review of financial analysis 11 (2002) 3, pp. 345-374
Persistent link: https://www.econbiz.de/10001715985
Cover Image
Systemic bank risk in Brazil:an assessment of correlated market,credit, sovereign and inter-bank riskin an environment with stochasticvolatilities and correlations
Barnhill, Theodore M.; Rietti Souto, Marcos - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
In this study we develop and demonstrate a powerful and flexible forward-looking portfoliosimulation methodology for assessing the correlated impacts of market risk, and privatesector, sovereign and inter-bank default risk on both individual banks (i.e. 28 of the largestBrazilian banks) and...
Persistent link: https://www.econbiz.de/10005866204
Cover Image
Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations
Barnhill, Theodore M.; Souto, Marcos Rietti - 2008
In this study we develop and demonstrate a powerful and flexible forward-looking portfolio simulation methodology for assessing the correlated impacts of market risk, and private sector, sovereign and inter-bank default risk on both individual banks (i.e. 28 of the largest Brazilian banks) and...
Persistent link: https://www.econbiz.de/10010295950
Cover Image
Measuring Integrated Market and Credit Risks in Bank Portfolios : An Application to a Set of Hypothetical Banks Operation in South Africa
Papapanagiotou, Panagiotis - 2000
The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simulation model that explicitly links changes in the financial environment and the...
Persistent link: https://www.econbiz.de/10014403473