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Primary-firm-driven portfolio loss

Turnbull, Stuart M. - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 33-52

Persistent link: https://www.econbiz.de/10011777676

Capital allocation in decentralized businesses

Turnbull, Stuart M. - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-11

This paper described a theory of capital allocation for decentralized businesses, taking into account the costs associated with risk capital. We derive an adjusted present value expression for making investment decisions, that incorporates the time varying profile of risk capital. We discuss the...

Persistent link: https://www.econbiz.de/10011960544

Estimating the impact of climate change on credit risk

Turnbull, Stuart M. - In: Journal of risk : JOR 26 (2023) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10014487249

Capital allocation and risk performance measurement in a financial institution

Turnbull, Stuart M. - In: Financial markets, institutions & instruments 9 (2000) 5, pp. 325-357

Persistent link: https://www.econbiz.de/10001537792

Measuring risk-adjusted performance

Crouhy, Michel; Turnbull, Stuart M.; Wakeman, Lee M. - In: Innovations in risk management : seminal papers from …, (pp. 599-636). 2004

Persistent link: https://www.econbiz.de/10002600696

A framework to analyze the financial effects of climate change

Turnbull, Stuart M.; Habahbeh, Lawrence - In: Journal of risk 23 (2020/2021) 2, pp. 105-146

Persistent link: https://www.econbiz.de/10012500268

Risk management models : construction, testing, usage

Jarrow, Robert A. - In: The journal of derivatives : the official publication … 18 (2011) 3, pp. 89-98

Persistent link: https://www.econbiz.de/10009229659

Asset price bubbles and risk management

Jarrow, Robert A. - In: Journal of risk 20 (2017/2018) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10011847429

Practical usage of credit risk models in loan portfolio and counterparty exposure management: an update

Jarrow, Robert A.; Deventer, Donald R. van - In: Credit risk models and management, (pp. 573-597). 2004

Persistent link: https://www.econbiz.de/10002433486

Capital adequacy rules, catastrophic firm failure, and systemic risk

Jarrow, Robert A. - In: Review of derivatives research 16 (2013) 3, pp. 219-231

Persistent link: https://www.econbiz.de/10010222969

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