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An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book
16 references·1 citing·44 second hop
An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book (2010)An Economic Capital Model Integrating Cre…Exploring the international linkages of the euro area: a global VAR analysis (2007)Exploring the international l…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Multi-period corporate default prediction with stochastic covariates (2006)Multi-period corporate defaul…Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Macroeconomic Dynamics and Cr…Corporate credit risk modeling and the macroeconomy (2006)Corporate credit risk modelin…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Multi-Period Corporate Failure Prediction with Stochastic Covariates (2005)Multi-Period Corporate Failur…Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Modeling Regional Interdepend…Is Default Event Risk Priced in Corporate Bonds? (2004)Is Default Event Risk Priced …Credit Risk (2003)Credit RiskVaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights (2002)VaR and expected shortfall in…Bank concentration and retail interest rates (2002)Bank concentration and retail…Modeling Regional Interdependencies Using a Global Vector Error-Correcting Macroeconometric Model (2001)Modeling Regional Interdepend…The intersection of market and credit risk (2000)The intersection of market an…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…Portfolio Credit Risk (1998)Portfolio Credit RiskIntegrated bank risk modeling: A bottom-up statistical framework (2013)Integrated bank risk modeling…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2004)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Unit Roots and Cointegration in Panels (2008)Panel Vector Autoregressive Models: A Survey (2013)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Market conditions, default risk and credit spreads (2009)Non-Performing Loans: What Matters in Addition to the Economic Cycle? (2013)Key Determinants of Non-performing Loans: New Evidence from a Global Sample (2015)Statistical analysis of cointegration vectors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Panels with Nonstationary Multifactor Error Structures (2006)Testing For "Monopoly" Equilibrium (1987)The Effect of Credit Market Competition on Lending Relationships (1995)Competition, concentration and their relationship: An empirical analysis of the banking industry (2002)The cost of market power in banking: Social welfare loss vs. cost inefficiency (2007)Cross-country comparisons of competition and pricing power in European banking (2008)Mergers and Acquisitions of Financial Institutions: A Review of the Post-2000 Literature (2009)The Pricing of Options and Corporate Liabilities (1973)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Forecasting Default with the Merton Distance to Default Model (2008)Credit Spreads and Business Cycle Fluctuations (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Credit Risk Modeling (2004)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Regulatory pressure and fire sales in the corporate bond market (2011)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)How Profitable Is Capital Structure Arbitrage? (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)
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References

  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model1,461 cited
  • 2007Exploring the international linkages of the euro area: a global VAR analysis996 cited
  • 2006Multi-period corporate default prediction with stochastic covariates973 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2004Is Default Event Risk Priced in Corporate Bonds?566 cited
  • 2003Credit Risk560 cited
  • 2002Bank concentration and retail interest rates416 cited
  • 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective408 cited
  • 1998Portfolio Credit Risk362 cited
  • 2000The intersection of market and credit risk304 cited
  • 2006Corporate credit risk modeling and the macroeconomy253 cited
  • 2002VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights183 cited
  • 2001Modeling Regional Interdependencies Using a Global Vector Error-Correcting Macroeconometric Model167 cited

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  • 2005Multi-Period Corporate Failure Prediction with Stochastic Covariates164 cited
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    • 2013Integrated bank risk modeling: A bottom-up statistical framework32 cited