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Risk Capital Aggregation
16 references·5 citing·46 second hop
Risk Capital Aggregation (2007)Risk Capital AggregationCapital and Risk: New Evidence on Implications of Large Operational Losses (2006)Capital and Risk: New Evidenc…Integrated risk modelling (2004)Integrated risk modellingA General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks* (2004)A General Approach to Integra…Risk Measurement, Risk Management, and Capital Adequacy in Financial Conglomerates (2003)Risk Measurement, Risk Manage…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Position Paper on the New Basel Capital Accord - Consultative Document from the Basel Committee on Banking Supervision (January 2001) (2001)Position Paper on the New Bas…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Correlation: Pitfalls and Alternatives (1999)Correlation: Pitfalls and Alt…Time Series Models in Econometrics, Finance and Other Fields (1997)Time Series Models in Econome…Statistical methods in finance (1996)Statistical methods in financeStatistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…5 Stochastic volatility (1996)5 Stochastic volatilityQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Integrated bank risk modeling: A bottom-up statistical framework (2013)Integrated bank risk modeling…RISK INTEGRATION MECHANISMS AND APPROACHES IN BANKING INDUSTRY (2012)RISK INTEGRATION MECHANISMS A…Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital (2009)Models for Risk Aggregation a…Measuring the coupled risks: A copula-based CVaR model (2008)Measuring the coupled risks: …Copula-Based Top-Down Approaches in Financial Risk Aggregation (2006)Copula-Based Top-Down Approac…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)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)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? 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this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 19965 Stochastic volatility1,189 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 2004A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks*351 cited
  • 1999Correlation: Pitfalls and Alternatives309 cited
  • 2001Position Paper on the New Basel Capital Accord - Consultative Document from the Basel Committee on Banking Supervision (January 2001)304 cited
  • 1997Time Series Models in Econometrics, Finance and Other Fields302 cited
  • 1996Statistical methods in finance151 cited
  • 2006Capital and Risk: New Evidence on Implications of Large Operational Losses134 cited
  • 2003Risk Measurement, Risk Management, and Capital Adequacy in Financial Conglomerates

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101 cited
  • 2004Integrated risk modelling81 cited
  • Cited by

    • 2009Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital42 cited
    • 2008Measuring the coupled risks: A copula-based CVaR model37 cited
    • 2012RISK INTEGRATION MECHANISMS AND APPROACHES IN BANKING INDUSTRY36 cited
    • 2006Copula-Based Top-Down Approaches in Financial Risk Aggregation33 cited
    • 2013Integrated bank risk modeling: A bottom-up statistical framework32 cited