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Wrong-way risk bounds in counterparty credit risk management

Memartoluie, Amir; Saunders, David M.; Wirjanto, Tony S. - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 150-163

Persistent link: https://www.econbiz.de/10011670666

Dynamic banking with endogenous risk based funding cost : value maximization, risk-taking, responses to regulation and credit contraction

Larsson, Bo; Wijkander, Hans - 2015

Persistent link: https://www.econbiz.de/10010507786

A critical evaluation of the sensitivity of a bank's balance sheet to change when optimizing for capital requirements under Basel

Cronje, F.; Rooyen, J. H. van - In: Corporate ownership & control : international … 11 (2013/14) 1, pp. 102-116

Persistent link: https://www.econbiz.de/10011327510

How to make regulators and shareholders happy under Basel III

Schmaltz, Christian; Sebastian, Pokutta; Heidorn, Thomas; … - In: Journal of banking & finance 46 (2014), pp. 311-325

Persistent link: https://www.econbiz.de/10010468405

Optimal bank management under capital and liquidity constraints

Astic, Fabian; Tourin, Agnès - In: Journal of financial engineering 1 (2014) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10010508026

Regulatory impacts on credit portfolio management

Theiler, Ursula; Bugera, Vladimir; Revenko, Alla; … - In: Operations research proceedings 2002 : selected papers …, (pp. 335-340). 2003

Persistent link: https://www.econbiz.de/10001752031

A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics

Singh, Arti; Dharmaraja, Selvamuthu - In: International journal of financial markets and derivatives 6 (2017) 2, pp. 102-119

Persistent link: https://www.econbiz.de/10011862377

Application of a rule extraction algorithm family based on the Re-RX algorithm to financial credit risk assessment from a Pareto optimal perspective

Hayashi, Yoichi - In: Operations research perspectives 3 (2016), pp. 32-42

Historically, the assessment of credit risk has proved to be both highly important and extremely difficult. Currently, financial institutions rely on the use of computer-generated credit scores for risk assessment. However, automated risk evaluations are currently imperfect, and the loss of vast...

Persistent link: https://www.econbiz.de/10011822744

An extended likelihood framework for modelling discretely observed credit rating transitions

Pfeuffer, Marius; Möstel, Linda; Fischer, Matthias - In: Quantitative finance 19 (2019) 1, pp. 93-104

Persistent link: https://www.econbiz.de/10012194622

Determination of weights for an optimal credit rating model based on default and nondefault distance maximization

Chi, Guotai; Yuan, Kunpeng; Zhou, Ying; Gong, Lingling - In: The journal of risk model validation 14 (2020) 4, pp. 65-87

Persistent link: https://www.econbiz.de/10014336043