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Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio

Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23

This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...

Persistent link: https://www.econbiz.de/10012309082

Risk measures and the impact of asset price bubbles

Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56

Persistent link: https://www.econbiz.de/10011298886

Short-selling, leverage and systemic risk

Pais, Amelia; Stork, Philip - 2013

financial institutions, especially for institutions with high leverage. This study uses Extreme Value Theory to estimate the …

Persistent link: https://www.econbiz.de/10010226885

Flexible dependence modeling of operational risk losses and its impact on total capital requirements

Brechmann, Eike; Czado, Claudia; Paterlini, Sandra - In: Journal of banking & finance 40 (2014), pp. 271-270

Persistent link: https://www.econbiz.de/10010402193

Risk

Hey, John Denis (ed.) - 1997

Persistent link: https://www.econbiz.de/10000947220

M̕anagerialism,̕ o̕wnerism ̕and risk

Amihud, Yakov - In: Journal of banking & finance 7 (1983) 2, pp. 189-196

Persistent link: https://www.econbiz.de/10001830309

Feature-Selection Risk

Chinco, Alex - 2015

, heterogeneous assets rather than Arrow securities. Empirically, I find that using an estimation strategy that explicitly accounts …

Persistent link: https://www.econbiz.de/10013032176

Systemic Risk and Heavy Tails : The Case of Banks’ Loan Portfolio

Agarwal, Sumit - 2011

We estimate a Pareto distribution for loan losses, as an alternative to the commonly used Vasicek distribution, using simulated data. A key assumption in the construction of Vasicek distribution is that firm-level risk is idiosyncratic. It also assumes that firm exposure to systemic risk is...

Persistent link: https://www.econbiz.de/10013128402

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

FX risk

James, Jessica - In: Currency management : overlay and alpha trading, (pp. 123-151). 2004

Persistent link: https://www.econbiz.de/10002177991