Similar Search Results - EconBiz

Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall

Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407

Persistent link: https://www.econbiz.de/10011962940

Good risk measures, bad statistical assumptions, ugly risk forecasts

Michaelides, Michael; Poudyal, Niraj - In: The financial review : the official publication of the … 59 (2024) 2, pp. 519-543

Persistent link: https://www.econbiz.de/10014543997

Basel II Second Pillar : An Analytical VaR with Contagion and Sectorial Risks

Bonollo, Michele - 2010

This paper deals with the effects of concentration (single name and sectoral) and contagion risk on credit portfolios. Results are obtained for the Value at Risk (VaR) of the portfolio loss distribution, in the analytical framework originally developed by Vasicek in 1991. VaR is expressed as a...

Persistent link: https://www.econbiz.de/10013143103

Capital adequacy rules, catastrophic firm failure, and systemic risk

Jarrow, Robert A. - In: Review of derivatives research 16 (2013) 3, pp. 219-231

Persistent link: https://www.econbiz.de/10010222969

A comparison of the original and revised Basel market risk frameworks for regulating bank capital

Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 249-268

Persistent link: https://www.econbiz.de/10009708765

Leverage-induced systemic risk under Basle II and other credit risk policies

Poledna, Sebastian; Thurner, Stefan; Farmer, J. Doyne; … - In: Journal of banking & finance 42 (2014), pp. 199-212

Persistent link: https://www.econbiz.de/10010408397

Basis risk, procyclicality, and systemic risk in the Solvency II equity risk module

Eling, Martin; Pankoke, David836228189 - 2013

Persistent link: https://www.econbiz.de/10010410034

Risk models-at-risk

Boucher, Christophe; Daníelsson, Jón; Kouontchou, … - In: Journal of banking & finance 44 (2014), pp. 72-92

Persistent link: https://www.econbiz.de/10010410376

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng F.; Wu, Dengsheng; … - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 161-189

Persistent link: https://www.econbiz.de/10011327637

The importance of accurate risk modelling techniques for corporate ownders and managers : an application of distribution fitting to illiquid securities

O'Connell, Darren; O'Grady, Barry - In: Corporate ownership & control : international … 11 (2013/14) 2, pp. 8-20

Persistent link: https://www.econbiz.de/10011337224

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