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Allocation of Economic Capital in loan portfolios · Study

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ChapterAllocation of Economic Capital in loan portfolios

Ludger Overbeck2000

Chapter2000

Allocation of Economic Capital in loan portfolios

Ludger Overbeck

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Risk and Portfolio Optimization Banking stability, regulation, efficiency Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1952Portfolio Selection 1997Modelling Extremal Events 1998Portfolio Credit Risk 2007Portfolio Credit Risk

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2003Sensible and Efficient Capital Allocation for Credit Portfolios 2006Risk Measures and Comonotonicity: A Review 2003Solvency Capital, Risk Measures and Comonotonicity: A Review 2017SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION 2004Capital requirements, risk measures and comonotonicity 2006Tail approximation for credit risk portfolios with heavy-tailed risk factors 2014An application of capital allocation principles to operational risk and the cost of fraud

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Year2000

Typechapter

Published2000-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations72

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/978-1-4612-1214-0_1

openalex_workW1908463481

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