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Sensible and Efficient Capital Allocation for Credit Portfolios
9 references·13 citing·40 second hop
Sensible and Efficient Capital Allocation for Credit Portfolios (2003)Sensible and Efficient Capital Allocation…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…On the coherence of expected shortfall (2002)On the coherence of expected …An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Ris…Coherent allocation of risk capital (2001)Coherent allocation of risk c…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent risk measures (2000)Coherent risk measuresAllocation of Economic Capital in loan portfolios (2000)Allocation of Economic Capita…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Coherent Measures of Risk (1999)Coherent Measures of RiskA Study on Operational Risk and Credit Portfolio Risk Estimation Using Data Analytics* (2020)A Study on Operational Risk a…Simulation and estimation of loss given default (2011)Simulation and estimation of …Fast simulations in credit risk (2011)Fast simulations in credit ri…ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION (2010)ON TWO APPROACHES TO COHERENT…Capital allocation for credit portfolios with kernel estimators (2009)Capital allocation for credit…CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK (2009)CAPITAL ALLOCATION AND RISK C…Importance sampling for integrated market and credit portfolio models (2008)Importance sampling for integ…Analytical methods for hedging systematic credit risk with linear factor portfolios (2008)Analytical methods for hedgin…Mathematics in Financial Risk Management (2007)Mathematics in Financial Risk…Fast Pricing of Basket Default Swaps (2007)Fast Pricing of Basket Defaul…Measuring Sectoral Diversification in an Asymptotic Multi-Factor Framework (2005)Measuring Sectoral Diversific…Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…Applying importance sampling for estimating coherent credit risk contributions (2004)Applying importance sampling …A value for n -person games (1988)A Course in Game Theory (1994)Expected shortfall and beyond (2002)AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)Measuring the systemic importance of interconnected banks (2013)Portfolio Selection (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Solvency Capital, Risk Measures and Comonotonicity: A Review (2003)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Risk Measures and Comonotonicity: A Review (2006)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Cores of convex games (1971)On law invariant coherent risk measures (2001)Coherent Risk Measures on General Probability Spaces (2002)Putting order in risk measures (2002)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)An Introduction to Copulas (1999)Lectures on Stochastic Programming: Modeling and Theory (2009)Conditional value-at-risk for general loss distributions (2002)Market discipline, disclosure and moral hazard in banking (2006)Does Competition Reduce the Risk of Bank Failure? (2010)Securitization without risk transfer (2012)On Default Correlation (2000)Monte Carlo Methods in Financial Engineering (2003)Affine Point Processes and Portfolio Credit Risk (2010)A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Analytics (2012)Credit risk modeling with affine processes (2005)Neural nets versus conventional techniques in credit scoring in Egyptian banking (2007)A multicriteria outranking approach for modeling corporate credit ratings: An application of the Electre Tri-nC method (2018)Lectures on Stochastic Programming (2009)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,722 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2001Coherent allocation of risk capital422 cited
  • 2002An Introduction to Credit Risk Modeling327 cited
  • 2000Coherent risk measures308 cited
  • 2000Allocation of Economic Capital in loan portfolios72 cited

Cited by

  • 2005Importance Sampling for Portfolio Credit Risk322 cited
  • 2009Capital allocation for credit portfolios with kernel estimators43 cited
  • 2004Applying importance sampling for estimating coherent credit risk contributions42 cited
  • 2007Fast Pricing of Basket Default Swaps36 cited
  • 2008Importance sampling for integrated market and credit portfolio models32 cited
  • 2008Analytical methods for hedging systematic credit risk with linear factor portfolios28 cited
  • 2009CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK

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28 cited
  • 2020A Study on Operational Risk and Credit Portfolio Risk Estimation Using Data Analytics*26 cited
  • 2010ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION26 cited
  • 2005Measuring Sectoral Diversification in an Asymptotic Multi-Factor Framework23 cited
  • 2007Mathematics in Financial Risk Management16 cited
  • 2011Fast simulations in credit risk16 cited
  • 2011Simulation and estimation of loss given default15 cited