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OR Forum—Design of Risk Weights
16 references·1 citing·49 second hop
OR Forum—Design of Risk Weights (2014)OR Forum—Design of Risk WeightsRobust risk measurement and model risk (2013)Robust risk measurement and m…The 'Greatest' Carry Trade Ever? Understanding Eurozone Bank Risks (2012)The 'Greatest' Carry Trade Ev…Mitigating the pro-cyclicality of Basel II (2010)Mitigating the pro-cyclicalit…Theories of bank behavior under capital regulation (2007)Theories of bank behavior und…Robustness (2007)RobustnessProcyclicality in Basel II: Can we treat the disease without killing the patient? (2006)Procyclicality in Basel II: C…Loan pricing under Basel capital requirements (2004)Loan pricing under Basel capi…Robust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Bank Capital Regulation in Co…Capital requirements and the behaviour of commercial banks (1992)Capital requirements and the …A reexamination of mean-variance analysis of bank capital regulation (1990)A reexamination of mean-varia…Risk in Banking and Capital Regulation (1988)Risk in Banking and Capital R…Regulation of Bank Capital and Portfolio Risk (1980)Regulation of Bank Capital an…On the Application of Portfolio Theory to Depository Financial Intermediaries (1974)On the Application of Portfol…ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)ON THE THEORY OF FINANCIAL IN…Reaching for Yield in the ABS Market: Evidence from German Bank Investments (2019)Reaching for Yield in the ABS…The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Capital controls and bank risk (1991)Financial Intermediation (2003)Financial intermediation as a beliefs-bridge between optimists and pessimists (2004)Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Liberalization, Moral Hazard in Banking and Prudential Regulation: Are Capital Requirements Enough? (1998)Procyclical Leverage and Value-at-Risk (2013)Risk Aversion in the Small and in the Large (1964)The Economic Theory of Agency: The Principal's Problem. (1973)Capital regulation and bank risk-taking: A note (1989)The relationship between risk and capital in commercial banks (1992)The role of capital in financial institutions (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Robust Convex Optimization (1998)Robust solutions of uncertain linear programs (1999)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)High dimensional covariance matrix estimation using a factor model (2008)Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)Bank Runs, Deposit Insurance, and Liquidity (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Intermediation, Loanable Funds, and The Real Sector (1997)The impact of banking regulations on banks' cost and profit efficiency: Cross-country evidence (2009)Bank capital buffer and risk adjustment decisions (2010)Bank regulation, property prices and early warning systems for banking crises in OECD countries (2010)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Markov Model for the Term Structure of Credit Risk Spreads (1997)Towards an Operational Framework for Financial Stability: 'Fuzzy' Measurement and Its Consequences (2009)How to Deal with Real Estate Booms: Lessons from Country Experiences (2011)The Procyclical Effects of Bank Capital Regulation (2012)Safety First and the Holding of Assets (1952)Does bank capital affect lending behavior? (2004)Rethinking Bank Regulation: Till Angels Govern (2005)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Market discipline, disclosure and moral hazard in banking (2006)Common Failings: How Corporate Defaults Are Correlated (2007)Does Competition Reduce the Risk of Bank Failure? (2010)Financial Contagion (2000)Towards a Macroprudential Framework for Financial Supervision and Regulation? (2005)Comparing early warning systems for banking crises (2008)Bank Capital: Lessons from the Financial Crisis (2010)Robust portfolios: contributions from operations research and finance (2009)An Academic Response to Basel 3.5 (2014)Robust Decision Making (RDM) (2019)
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References

  • 1988Risk in Banking and Capital Regulation1,058 cited
  • 1980Regulation of Bank Capital and Portfolio Risk973 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 1992Capital requirements and the behaviour of commercial banks654 cited
  • 2001Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature570 cited
  • 2007Robustness430 cited
  • 2006Procyclicality in Basel II: Can we treat the disease without killing the patient?406 cited
  • 2007Theories of bank behavior under capital regulation385 cited
  • 1990A reexamination of mean-variance analysis of bank capital regulation370 cited
  • 2012The 'Greatest' Carry Trade Ever? Understanding Eurozone Bank Risks284 cited
  • 1971ON THE THEORY OF FINANCIAL INTERMEDIATION283 cited
  • 2004Loan pricing under Basel capital requirements229 cited
  • 2013Robust risk measurement and model risk207 cited
  • 1974On the Application of Portfolio Theory to Depository Financial Intermediaries197 cited
  • 2010Mitigating the pro-cyclicality of Basel II

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  • 2019Reaching for Yield in the ABS Market: Evidence from German Bank Investments20 cited