Value at Risk and Bank Capital Management
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- Silvia Figini & Paolo Giudici & Pierpaolo Uberti, 2010. "A threshold based approach to merge data in financial risk management," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(11), pages 1815-1824.
- Andrei Semenov, 2009. "Risk factor beta conditional value-at-risk," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(6), pages 549-558.
- Jinwook Lee & András Prékopa, 2015. "Decision-making from a risk assessment perspective for Corporate Mergers and Acquisitions," Computational Management Science, Springer, vol. 12(2), pages 243-266, April.
- repec:prg:jnlpep:v:preprint:id:653:p:1-16 is not listed on IDEAS
- Silvia FIGINI & Ron S. KENETT & Silvia SALINI, 2010.
"Integrating operational and financial risk assessments,"
Departmental Working Papers
2010-02, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Silvia Figini & Ron Kenett & SILVIA SALINI, 2010. "Integrating Operational and Financial Risk Assessments," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1099, Universitá degli Studi di Milano.
- Baule, Rainer, 2014. "Allocation of risk capital on an internal market," European Journal of Operational Research, Elsevier, vol. 234(1), pages 186-196.
- Stefano Caselli, 2010. "Governance and strategy within the financial system: tradition and innovation," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 14(3), pages 241-271, August.
- Michele Bonollo & Luca Di Persio & Luca Mammi & Immacolata Oliva, 2017. "Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time," Papers 1704.03244, arXiv.org.
- Sadefo Kamdem, 2011.
"Businesses Risks Aggregation with Copula,"
Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(2), pages 58-72, July.
- Jules Sadefo-Kamdem, 2011. "Businesses Risks Aggregation with Copula," Post-Print hal-02942988, HAL.
- Andrew Atkeson & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2013.
"The market for OTC derivatives,"
Staff Report
479, Federal Reserve Bank of Minneapolis.
- Andrew G. Atkeson & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2013. "The Market for OTC Derivatives," NBER Working Papers 18912, National Bureau of Economic Research, Inc.
- Atkeson, Andy & Eisfeldt, Andrea & Weill, Pierre-Olivier, 2013. "The Market for OTC Derivatives," CEPR Discussion Papers 9403, C.E.P.R. Discussion Papers.
- Llacay, Bàrbara & Peffer, Gilbert, 2017. "Impact of value-at-risk models on market stability," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 223-256.
- Andrew G. Atkeson & Andrea L. Eisfeldt & Pierre‐Olivier Weill, 2015.
"Entry and Exit in OTC Derivatives Markets,"
Econometrica, Econometric Society, vol. 83, pages 2231-2292, November.
- Andrew G. Atkeson & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2014. "Entry and Exit in OTC Derivatives Markets," NBER Working Papers 20416, National Bureau of Economic Research, Inc.
- Kaouther Toumi & Jean-Laurent Viviani & Zeinab Chayeh, 2019. "Measurement of the displaced commercial risk in Islamic Banks," Post-Print halshs-01806496, HAL.
- Toumi, Kaouther & Viviani, Jean-Laurent & Chayeh, Zeinab, 2019. "Measurement of the displaced commercial risk in Islamic Banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 18-31.
- Bruno Rossignoli & Francesca Arnaboldi, 2009. "Financial innovation: theoretical issues and empirical evidence in Italy and in the UK," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 56(3), pages 275-301, September.
- Luca Vincenzo Ballestra & Graziella Pacelli & Davide Radi, 2017. "Valuing investment projects under interest rate risk: empirical evidence from European firms," Applied Economics, Taylor & Francis Journals, vol. 49(56), pages 5662-5672, December.
- Jinwook Lee & András Prékopa, 2013. "Properties and calculation of multivariate risk measures: MVaR and MCVaR," Annals of Operations Research, Springer, vol. 211(1), pages 225-254, December.
- Paula Andreea TERINTE, 2015. "Applicability Of Value At Risk On Romanian Capital Market," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 0(Special i), pages 104-109, September.
- Štěpánka Křečková, 2018. "Using Economic Value Added in Ex-Ante Profitability Calculation of Bank´s Medium-Sized Clients," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(2), pages 232-247.
- Lang, Joachim & Madlener, Reinhard, 2010. "Portfolio Optimization for Power Plants: The Impact of Credit Risk Mitigation and Margining," FCN Working Papers 11/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
- Jan Kolesnik & Jacek Nadolski, 2021. "Optimization of the Bank‘s Value in Conditions of Globalisation and Permanent Crisis," European Research Studies Journal, European Research Studies Journal, vol. 0(3B), pages 118-140.
- Mihaela Gruiescu & Mihai Aristotel Ungureanu & Corina Ioanăș, 2012. "Credit Risk. Determination Models," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 12(1), pages 121-128.
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Keywords
capital allocation; market risk; credit risk; business risk; risk capital aggregation; risk control;All these keywords.
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