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Systemic risk contributions : a credit portfolio approach

Puzanova, Natalia; Düllmann, Klaus - In: Journal of banking & finance 37 (2013) 4, pp. 1243-1257

Persistent link: https://www.econbiz.de/10009719795

Take it to the limit: Innovative CVaR applications to extreme credit risk measurement

Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475

Persistent link: https://www.econbiz.de/10011436713

Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations

Lee, Yong Woong; Poon, Ser-Huang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 118-139

Persistent link: https://www.econbiz.de/10011404418

Portfolio diversification in concentrated bond and loan portfolios

Kupiec, Paul H. - In: Journal of investment management : JOIM 14 (2016) 2, pp. 49-70

Persistent link: https://www.econbiz.de/10011690864

Regulatory capital decisions in the Context of consumer loan portfolios

Rajaratnam, Kanshukan; Beling, Peter; Overstreet, George - In: Journal of the Operational Research Society : OR 68 (2017) 7, pp. 847-858

Persistent link: https://www.econbiz.de/10011775815

Handbuch Bankenaufsicht und interne Risikosteuerungsmodelle : Quantifizierung und Analyse von Risiken mit bankinternen Modellen, bankaufsichtliche Anforderungen

Eller, Roland (ed.); Gruber, Walter (ed.); Reif, Markus (ed.) - 1999 - 1. Auflage

Persistent link: https://www.econbiz.de/10001379221

Optimal economic capital allocation in banking on the basis of decision rights

Müller, Jan - 2015 - 1. Aufl

Persistent link: https://www.econbiz.de/10011309772

New approach to operational risk measurement in banks

Dziwok, Ewa - In: International journal of trade and global markets 11 (2018) 4, pp. 259-269

Persistent link: https://www.econbiz.de/10011999107

Managing risk taking with interest rate policy and macroprudential regulations

Cociuba, Simona E.; Shukayev, Malik; Ueberfeldt, Alexander - 2016

We develop a model in which a financial intermediary's investment in risky assets - risk taking - is excessive due to limited liability and deposit insurance, and characterize the policy tools that implement efficient risk taking. In the calibrated model, coordinating interest rate policy with...

Persistent link: https://www.econbiz.de/10011553837

Managing risk taking with interest rate policy and macroprudential regulations

Cociuba, Simona E-; Shukayev, Malik; Ueberfeldt, Alexander - 2016

Persistent link: https://www.econbiz.de/10011555182