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Compliance with Basel 2.5 : banks' approaches to implementing stressed VaR

Prorokowski, Lukasz; Prorokowski, Hubert - In: Journal of financial regulation and compliance : an … 22 (2014) 4, pp. 339-348

Persistent link: https://www.econbiz.de/10011491023

Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2022

Persistent link: https://www.econbiz.de/10013279729

Decoupling VaR and regulatory capital : an examination of practitioners' experience of market risk regulation

McCullagh, Orla; Cummins, Mark; Killian, Sheila - In: Journal of banking regulation 24 (2023) 3, pp. 321-336

Persistent link: https://www.econbiz.de/10014326959

Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2022

Persistent link: https://www.econbiz.de/10013273453

An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III

Uylangco, Katherine; Li, Siqiwen - In: Australian journal of management 41 (2016) 4, pp. 699-718

Persistent link: https://www.econbiz.de/10011583150

Essays in Financial Economics

Sobott, Jonas Karl - 2017

Persistent link: https://www.econbiz.de/10012794977

Bank optimal portfolio risk level under various regulatory requirements

Girod, Alexandra; Bruno, Olivier - 2011

Persistent link: https://www.econbiz.de/10009383038

Liquidity risk : measurement and control

Blahová, Naďa - In: European financial and accounting journal : EFAJ 7 (2012) 1, pp. 41-61

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use, are identified. Then follow review of main challenges...

Persistent link: https://www.econbiz.de/10011460084

Leverage ratios for different bank business models

Großmann, David - In: Credit and capital markets : Kredit und Kapital 50 (2017) 4, pp. 545-573

Persistent link: https://www.econbiz.de/10011945675

Measuring CoVaR : an empirical comparison

Bianchi, Michele Leonardo; Sorrentino, Alberto Maria - In: Computational economics 55 (2020) 2, pp. 511-528

Persistent link: https://www.econbiz.de/10012223647