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Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
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Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach
Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10010526458
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A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital
Jarrow, Robert A.; Deventer, Donald R. van - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 237-255
Persistent link: https://www.econbiz.de/10014320229
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Estimating Value-at-Risk and expected shortfall of metal commodities : application of GARCH-EVT method
Khan, Maaz; Khan, Mrestyal; Irfan, Muhammad - In: Journal of risk management in financial institutions 16 (2022/2023) 2, pp. 189-199
Persistent link: https://www.econbiz.de/10014286674
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Capital for concentrated credit portfolios
Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322
Persistent link: https://www.econbiz.de/10011531169
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A methodology for actively managing tail risks and uncertainties
Broeders, Dirk; Loman, Herwin; Toor, Joris van - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 44-56
Persistent link: https://www.econbiz.de/10012041835
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Economic capital: A brief history and practical applications today
Ferguson, Tally - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 57-78
Persistent link: https://www.econbiz.de/10012041840
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Market risk calculation for private equity fund-of-funds
Henzler, Jörg; George, Constantine - In: Journal of risk management in financial institutions 11 (2017/2018) 4, pp. 328-360
Persistent link: https://www.econbiz.de/10011980279
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The top 14 challenges for today’s model risk managers : has the time come to think about going beyond SR11-7?
Hill, Jon R. - In: Journal of risk management in financial institutions 12 (2019) 2, pp. 145-167
Persistent link: https://www.econbiz.de/10012065278
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Managing model risk : editorial
Mark, Robert - In: Journal of risk management in financial institutions 9 (2016) 3, pp. 204-206
Persistent link: https://www.econbiz.de/10011661825