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Liquidity risk and credit risk : a relationship based on the interaction between liquid asset ratio, non-performing loans ratio and systemic liquidity risk

Malandrakis, Ioannis K. - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 375-400

Persistent link: https://www.econbiz.de/10010476907

Quantifizierung von Kreditportfoliorisiken : eine Untersuchung zu Modellalternativen und Anwendungsfeldern

Bröker, Frank - 2000

Persistent link: https://www.econbiz.de/10001506939

Capital charges under Basel II : corporate credit risk modelling and the macro economy

Carling, Kenneth; Jacobson, Tor; Lindé, Jesper; … - 2002

The Internal Ratings Based (IRB) approach for capital determination is one of the cornerstones in the proposed revision of the Basel Committee rules for bank regulation. We evaluate the IRB approach using historical business loan portfolio data from a major Swedish bank for the period 1994 to...

Persistent link: https://www.econbiz.de/10011584521

Proposing model based risk tolerance level for value-at-risk : is it a better alternative to BASEL's rule based strategy

Majunder, Debasish - In: Journal of contemporary management : JMC 5 (2016) 3, pp. 62-76

Persistent link: https://www.econbiz.de/10011531176

How does issuing contingent convertible bonds improve bank's solvency? : a Value-at-Risk and Expected Shortfall approach

Jaworski, Piotr; Liberadzki, Kamil; Liberadzki, Marcin - In: Economic modelling 60 (2017), pp. 162-168

Persistent link: https://www.econbiz.de/10011734191

Which eligible assets are compatible with comonotonic capital requirements?

Koch Medina, Pablo; Munari, Cosimo-Andrea; Svindland, Gregor - In: Insurance / Mathematics & economics 81 (2018), pp. 18-26

Persistent link: https://www.econbiz.de/10011904606

Justification of per-unit risk capital allocation in portfolio credit risk models

Dorfleitner, Gregor; Pfister, Tamara - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-29

Persistent link: https://www.econbiz.de/10010438509

Modeling severity risk under PD-LGD correlation

Han, Chulwoo - In: The European journal of finance 23 (2017) 13/15, pp. 1572-1588

Persistent link: https://www.econbiz.de/10012014695

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

A quantitative framework for testing the resilience of Islamic finance portfolios under IFSB and Basel capital rules

Aydın, Nadi Serhan - In: International journal of Islamic and Middle Eastern … 10 (2017) 3, pp. 290-311

Persistent link: https://www.econbiz.de/10011797002