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Swaps
Neftci, Salih N. - In: The professional risk managers' guide to financial …, (pp. 121-141). 2008
Persistent link: https://www.econbiz.de/10003677864
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Euro area government bond yield and liquidity dependence during different monetary policy accommodation phases
Jurkšas, Linas; Carcel, Hector - 2019
Persistent link: https://www.econbiz.de/10012011791
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Market risk management in a Post-Basel II regulatory environment
Urošević, Branko; Drenovak, Mikica; Ranković, Vladimir; … - 2016
We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...
Persistent link: https://www.econbiz.de/10011587953
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Validierung von Risikomodellen und Parametern
Gruber, Walter; Hofmann, Christoph - In: Handbuch ICAAP, (pp. 135-158). 2015
Persistent link: https://www.econbiz.de/10010505138
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Risk aggregation and computation of total economic capital
Grundke, Peter - In: The VaR implementation handbook, (pp. 229-251). 2009
Persistent link: https://www.econbiz.de/10003827006
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Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective
Allen, David E.; Powell, Robert - In: The VaR implementation handbook, (pp. 403-414). 2009
Persistent link: https://www.econbiz.de/10003827094
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Prüfung der Umsetzung der SolvV durch die Innenrevision
Schiwietz, Michael - In: Solvabilitätsverordnung : Ansätze für die Prüfung …, (pp. 31-220). 2009
Persistent link: https://www.econbiz.de/10003868908
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Stress testing at the IMF
Moretti, Marina; Stolz, Stéphanie; Swinburne, Mark - 2008
Persistent link: https://www.econbiz.de/10003803540
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Credit risk management
Nason, Rick - In: Enterprise risk management : [today's leading research …, (pp. 261-278). 2010
Persistent link: https://www.econbiz.de/10003942161
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Assess the impact of asset price shocks on the banking system
Fang-Ying, Yuan - In: Quantitative financial risk management, (pp. 15-28). 2011
Persistent link: https://www.econbiz.de/10009301457