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Allocation of Economic Capital in loan portfolios
6 references·7 citing·33 second hop
Allocation of Economic Capital in loan portfolios (2000)Allocation of Economic Capital in loan po…Portfolio Credit Risk (2007)Portfolio Credit RiskPortfolio Credit Risk (1998)Portfolio Credit RiskModelling Extremal Events (1997)Modelling Extremal EventsON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection (1952)Portfolio SelectionSYSTEMIC RISK: AN ASYMPTOTIC EVALUATION (2017)SYSTEMIC RISK: AN ASYMPTOTIC …An application of capital allocation principles to operational risk and the cost of fraud (2014)An application of capital all…Tail approximation for credit risk portfolios with heavy-tailed risk factors (2006)Tail approximation for credit…Risk Measures and Comonotonicity: A Review (2006)Risk Measures and Comonotonic…Capital requirements, risk measures and comonotonicity (2004)Capital requirements, risk me…Solvency Capital, Risk Measures and Comonotonicity: A Review (2003)Solvency Capital, Risk Measur…Sensible and Efficient Capital Allocation for Credit Portfolios (2003)Sensible and Efficient Capita…Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)On the coherence of expected shortfall (2002)Applying importance sampling for estimating coherent credit risk contributions (2004)Fast Pricing of Basket Default Swaps (2007)Capital allocation for credit portfolios with kernel estimators (2009)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Measuring Sectoral Diversification in an Asymptotic Multi-Factor Framework (2005)Bounds and approximations for sums of dependent log-elliptical random variables (2008)Seven Proofs for the Subadditivity of Expected Shortfall (2015)Theory of games and economic behavior (2019)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)A GENERALIZED FRAMEWORK FOR CREDIT RISK PORTFOLIO MODELS (1999)Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany (2003)Macroeconomic Modelling of Credit Risk for Banks (2014)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)The intersection of market and credit risk (2000)Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)Solvency II – towards a new insurance supervisory system in the EU (2004)On the evaluation of ‘saving-consumption’ plans (2005)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1952Portfolio Selection4,609 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1998Portfolio Credit Risk362 cited
  • 2007Portfolio Credit Risk88 cited

Cited by

  • 2003Sensible and Efficient Capital Allocation for Credit Portfolios70 cited
  • 2006Risk Measures and Comonotonicity: A Review56 cited
  • 2003Solvency Capital, Risk Measures and Comonotonicity: A Review38 cited
  • 2017SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION34 cited
  • 2004Capital requirements, risk measures and comonotonicity28 cited
  • 2006Tail approximation for credit risk portfolios with heavy-tailed risk factors22 cited
  • 2014An application of capital allocation principles to operational risk and the cost of fraud19 cited

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