Calculating credit risk capital charges with the one-factor model
S Emmer, D Tasche - arxiv preprint cond-mat/0302402, 2003 - arxiv.org
Even in the simple one-factor credit portfolio model that underlies the Basel II regulatory
capital rules coming into force in 2007, the exact contributions to credit value-at-risk can only …
capital rules coming into force in 2007, the exact contributions to credit value-at-risk can only …
Effects of economic interactions on credit risk
JPL Hatchett, R Kuehn - Journal of Physics A: Mathematical and …, 2006 - iopscience.iop.org
We study a credit-risk model which captures effects of economic interactions on a firm's
default probability. Economic interactions are represented as a functionally defined graph …
default probability. Economic interactions are represented as a functionally defined graph …
Approximations for the value-at-risk approach to risk-return analysis
An evergreen debate in Finance concerns the rules for making portfolio hedge decisions. A
traditional tool proposed in the literature is the well-known standard deviation based Sharpe …
traditional tool proposed in the literature is the well-known standard deviation based Sharpe …
[PDF][PDF] Calculating credit risk capital charges with the one-factor model
S Emmer, D Tasche - The Journal of Risk, 2004 - researchgate.net
Even in the simple one-factor credit portfolio model that underlies the Basel II regulatory
capital rules coming into force in 2007, the exact contributions to credit value-at-risk (VAR) …
capital rules coming into force in 2007, the exact contributions to credit value-at-risk (VAR) …
[CITATION][C] Capital Adequacy In The Albanian Banking System; An Econometrical Analysis With A Focus On Credit Risk
K Kodra, D Salko - European Scientific Journal, 2016 - European Scientific Journal