SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Crash Testing German Banks
11 references·0 citing·44 second hop
Crash Testing German Banks (2012)Crash Testing German BanksGranularity Adjustment for Basel Ii (2016)Granularity Adjustment for Ba…Asset correlations and credit portfolio risk: an empirical analysis (2008)Asset correlations and credit…Asset Correlations and Credit Portfolio Risk: An Empirical Analysis (2007)Asset Correlations and Credit…A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios (2007)A Tractable Model to Measure …Systematic and idiosyncratic risk in syndicated loan portfolios (2006)Systematic and idiosyncratic …Credit risk concentrations under stress (2006)Credit risk concentrations un…Calibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany (2004)Calibrating the CreditMetrics…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Stress Testing in a Value at Risk Framework (1998)Stress Testing in a Value at …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Limits to International Banking Consolidation (2007)Modeling and Calibration Errors in Measures of Portfolio Credit Risk (2007)Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios (2015)Trading book and credit risk: How fundamental is the Basel review? (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The arbitrage theory of capital asset pricing (1976)Do specialization benefits outweigh concentration risks in credit portfolios of German banks (2010)Modelling Extremal Events (1997)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Development of a credit limit allocation model for banks using an integrated Fuzzy TOPSIS and linear programming (2011)Reverse stress tests with bottom-up approaches (2011)Stress Testing of Real Credit Portfolios (2016)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)Basel Committee On Banking Supervision (2010)What influences banks’ choice of credit risk management practices? Theory and evidence (2018)Interconnected banks and systemically important exposures (2021)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)International Asset Allocation With Regime Shifts (2002)Market Integration and Contagion (2005)Downside Risk (2006)Stress Testing Credit Risk: Is the Czech Republic Different from Germany? (2008)Credit Risk Management (2011)Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model (2012)Bayesian inference for issuer heterogeneity in credit ratings migration (2008)Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations (2008)Systemic Risk Contributions (2011)Analytical value-at-risk with jumps and credit risk (2001)Developing a stress testing framework based on market risk models (2008)Stress testing banks (2014)
this work references cited by second hop

References

  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 1998Stress Testing in a Value at Risk Framework161 cited
  • 2006Credit risk concentrations under stress65 cited
  • 2016Granularity Adjustment for Basel Ii58 cited
  • 2007A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios55 cited
  • 2006Systematic and idiosyncratic risk in syndicated loan portfolios49 cited
  • 2007Asset Correlations and Credit Portfolio Risk: An Empirical Analysis33 cited
  • 2004Calibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany27 cited
  • 2008Asset correlations and credit portfolio risk: an empirical analysis24 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work