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An economic capital model integrating credit and interest rate risk in the banking book
16 references·16 citing·45 second hopsampled
An economic capital model integrating credit and interest rate risk in the banking book (2009)An economic capital model integrating cre…Funding liquidity risk: Definition and measurement (2012)Funding liquidity risk: Defin…Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)Measuring Default Risk Premia…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:…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 …VaR 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…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 RiskA Bank Asset and Liability Management Model (1986)A Bank Asset and Liability Ma…The impact of the Basel III liquidity ratios on banks: Evidence from a simulation study (2019)The impact of the Basel III l…Bank risk aggregation with forward-looking textual risk disclosures (2019)Bank risk aggregation with fo…Private information, institutional distance, and the failure of cross-border acquisitions: Evidence from the banking sector in Central and Eastern Europe (2018)Private information, institut…How do banks make the trade-offs among risks? The role of corporate governance (2016)How do banks make the trade-o…Typology for flight-to-quality episodes and downside risk measurement (2015)Typology for flight-to-qualit…Finance-Growth Nexus and Dual-Banking Systems: Relative Importance of Islamic Banks (2015)Finance-Growth Nexus and Dual…Simple Banking: Profitability and the Yield Curve (2014)Simple Banking: Profitability…On the aggregation of credit, market and operational risks (2013)On the aggregation of credit,…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…Risk capital allocation for RORAC optimization (2011)Risk capital allocation for R…Reverse stress tests with bottom-up approaches (2011)Reverse stress tests with bot…Risk in Islamic Banking (2010)Risk in Islamic BankingIntegrated models of capital adequacy – Why banks are undercapitalised (2010)Integrated models of capital …Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure (2010)Banks’ exposure to interest r…Interaction of market and credit risk (2009)Interaction of market and cre…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)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Econometric Analysis of Cross Section and Panel Data (2001)Economic Catastrophe Bonds (2008)Loan Sales and Relationship Banking (2008)A Model of Capital and Crises (2011)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)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)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)
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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
  • 2002Bank concentration and retail interest rates416 cited
  • 2007Measuring Default Risk Premia from Default Swap Rates and EDFs416 cited
  • 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective408 cited
  • 1998Portfolio Credit Risk362 cited
  • 1986A Bank Asset and Liability Management Model316 cited
  • 2000The intersection of market and credit risk304 cited
  • 2012Funding liquidity risk: Definition and measurement266 cited
  • 2006Corporate credit risk modeling and the macroeconomy253 cited
  • 2002

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VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights
183 cited

Cited by

  • 2014Simple Banking: Profitability and the Yield Curve85 cited
  • 2016How do banks make the trade-offs among risks? The role of corporate governance74 cited
  • 2010Integrated models of capital adequacy – Why banks are undercapitalised68 cited
  • 2011Risk capital allocation for RORAC optimization56 cited
  • 2013On the aggregation of credit, market and operational risks55 cited
  • 2010Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure53 cited
  • 2009Interaction of market and credit risk51 cited
  • 2018Private information, institutional distance, and the failure of cross-border acquisitions: Evidence from the banking sector in Central and Eastern Europe46 cited
  • 2015Finance-Growth Nexus and Dual-Banking Systems: Relative Importance of Islamic Banks39 cited
  • 2015Typology for flight-to-quality episodes and downside risk measurement38 cited
  • 2012RISK INTEGRATION MECHANISMS AND APPROACHES IN BANKING INDUSTRY36 cited
  • 2010Risk in Islamic Banking34 cited
  • 2013Integrated bank risk modeling: A bottom-up statistical framework32 cited
  • 2011Reverse stress tests with bottom-up approaches31 cited
  • 2019The impact of the Basel III liquidity ratios on banks: Evidence from a simulation study31 cited
  • 2019Bank risk aggregation with forward-looking textual risk disclosures30 cited