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An application of Monte Carlo simulation modeling to commercial bank interest rate management
Barnhill, Theodore M. - In: Review of research in futures markets : publ. three … 4 (1985) 3, pp. 282-305
Persistent link: https://www.econbiz.de/10001012118
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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
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An analysis of off-site supervision of banks' profitability, risk and capital adequacy : a portfolio simulation approach applied to brazilian banks
Barnhill, Theodore M. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003382098
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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
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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