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Risk factor contributions in portfolio credit risk models
16 references·7 citing·43 second hop
Risk factor contributions in portfolio credit risk models (2009)Risk factor contributions in portfolio cr…Quantitative Risk Management (2012)Quantitative Risk ManagementQuantitative Risk Management (2011)Quantitative Risk ManagementSpectral risk measures and portfolio selection (2008)Spectral risk measures and po…Handbook of Financial Engineering (2008)Handbook of Financial Enginee…Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)Credit risk drivers: Evaluati…Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007)Capital Allocation to Busines…Asymptotic local efficiency of Cramér–von Mises tests for multivariate independence (2007)Asymptotic local efficiency o…Measuring marginal risk contributions in credit portfolios (2005)Measuring marginal risk contr…Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…Global sensitivity indices for nonlinear mathematical models. Review (2005)Global sensitivity indices fo…AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)AN AXIOMATIC APPROACH TO CAPI…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Coherent allocation of risk capital (2001)Coherent allocation of risk c…Sensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…Risk contributions and performance measurement (2000)Risk contributions and perfor…Coherent Measures of Risk (1999)Coherent Measures of RiskSupply Chain Financial Risk Evaluation of Small- and Medium-Sized Enterprises under Smart City (2020)Supply Chain Financial Risk E…Trading book and credit risk: How fundamental is the Basel review? (2016)Trading book and credit risk:…Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models (2015)Sequential Monte Carlo Sample…An application of capital allocation principles to operational risk and the cost of fraud (2014)An application of capital all…Construction of Risk-Averse Enhanced Index Funds (2012)Construction of Risk-Averse E…Risk capital allocation for RORAC optimization (2011)Risk capital allocation for R…Development of a credit limit allocation model for banks using an integrated Fuzzy TOPSIS and linear programming (2011)Development of a credit limit…A value for n -person games (1988)A Course in Game Theory (1994)Expected shortfall and beyond (2002)Measuring the systemic importance of interconnected banks (2013)PORTFOLIO SELECTION* (1952)Optimization of conditional value-at-risk (2000)To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007)Optimal Capital Allocation Principles (2011)What is the best risk measure in practice? A comparison of standard measures (2015)Portfolio Selection (1952)Safety First and the Holding of Assets (1952)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Capital market equilibrium in a mean-lower partial moment framework (1977)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Risk capital allocation by coherent risk measures based on one-sided moments (2003)External Risk Measures and Basel Accords (2013)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)On Default Correlation (2000)Monte Carlo Methods in Financial Engineering (2003)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)The systemic risk of European banks during the financial and sovereign debt crises (2015)Searching for innovation: Product, process, and business model innovations and search behavior in established firms (2018)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Econometric Analysis of Cross Section and Panel Data (2001)Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS (2009)Recovery rates, default probabilities, and the credit cycle (2009)The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region (2017)Econometric Analysis of Panel Data (2021)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Factor copula models for multivariate data (2013)COHERENCE AND ELICITABILITY (2014)Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? (2018)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2011Quantitative Risk Management985 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2001Coherent allocation of risk capital422 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 2012Quantitative Risk Management374 cited
  • 2005Importance Sampling for Portfolio Credit Risk322 cited
  • 2008Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics322 cited
  • 2005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION290 cited
  • 2000Risk contributions and performance measurement260 cited
  • 2005Global sensitivity indices for nonlinear mathematical models. Review155 cited
  • 2008Spectral risk measures and portfolio selection134 cited
  • 2008Handbook of Financial Engineering118 cited
  • 2007Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle109 cited
  • 2005Measuring marginal risk contributions in credit portfolios106 cited
  • 2007Asymptotic local efficiency of Cramér–von Mises tests for multivariate independence

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99 cited

Cited by

  • 2011Risk capital allocation for RORAC optimization56 cited
  • 2011Development of a credit limit allocation model for banks using an integrated Fuzzy TOPSIS and linear programming49 cited
  • 2012Construction of Risk-Averse Enhanced Index Funds35 cited
  • 2015Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models32 cited
  • 2020Supply Chain Financial Risk Evaluation of Small- and Medium-Sized Enterprises under Smart City31 cited
  • 2016Trading book and credit risk: How fundamental is the Basel review?30 cited
  • 2014An application of capital allocation principles to operational risk and the cost of fraud19 cited