SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
What Market Risk Capital Reporting Tells Us about Bank Risk
4 references·0 citing·19 second hop
What Market Risk Capital Reporting Tells Us about Bank Risk (2003)What Market Risk Capital Reporting Tells …How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)How Accurate Are Value‐at‐Ris…Horizon Problems and Extreme Events in Financial Risk Management (1999)Horizon Problems and Extreme …Industry Practices in Credit Risk Modeling and Internal Capital Allocations: Implications for a Models-Based Regulatory Capital Standard (1998)Industry Practices in Credit …Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Policy implications of the Federal Reserve study of credit risk models at major US banking institutions (2000)Cyclical prudence - credit cycles in Australia (2001)Are Credit Scoring Models Sensitive with Respect to Default Definitions? Evidence from the Austrian Market (2003)Alternative measures of the Federal Reserve Banks’ cost of equity capital (2005)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Evaluating Interval Forecasts (1998)CAViaR (2004)Measuring Market Risk (2005)Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? (2012)Stock Liquidity and Stock Price Crash Risk (2017)Modelling Extremal Events (1997)The Econometrics of Financial Markets (1997)Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil (2000)Exchange Rate Risk Management in International Construction Ventures (2001)Non-Normality of Market Returns: A Framework for Asset Allocation Decision Making (2009)The Econometrics of Financial Markets (2012)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)
this work references cited by second hop

References

  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 1999Horizon Problems and Extreme Events in Financial Risk Management80 cited
  • 1998Industry Practices in Credit Risk Modeling and Internal Capital Allocations: Implications for a Models-Based Regulatory Capital Standard36 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