scientific article; zbMATH DE number 1538071
From MaRDI portal
Publication:4518931
Recommendations
- Economic Capital Allocation for Corporate Borrowers Credit Risk Coverage
- Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
- scientific article; zbMATH DE number 6520284
- Portfolio selection theory with different interest rates for borrowing and lending
- Numerical aspects of loan portfolio optimization
- Large-Scale Loan Portfolio Selection
- An optimization approach to the dynamic allocation of economic capital
- Banking loan portfolio equilibrium mix: a Markov chain approach
- scientific article; zbMATH DE number 2150954
- The dynamics of competitive equilibrium allocations with borrowing constraints
Cited in
(29)- Haezendonck-Goovaerts capital allocation rules
- scientific article; zbMATH DE number 1786163 (Why is no real title available?)
- A generalization of expected shortfall based capital allocation
- Systemic risk: an asymptotic evaluation
- Optimal capital allocation in a hierarchical corporate structure
- Capital allocation for credit portfolios with kernel estimators
- Weighted risk capital allocations in the presence of systematic risk
- Capital Allocation Survey with Commentary
- On the computation of the capital multiplier in the Fortis credit economic capital model
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
- Excess based allocation of risk capital
- Capital allocation based on the tail covariance premium adjusted
- Large-Scale Loan Portfolio Selection
- Risk Measures and Comonotonicity: A Review
- CMPH: a multivariate phase-type aggregate loss distribution
- A Value-At-Risk Calculation of Required Reserves for Credit Risk in Corporate Lending Portfolios
- Numerical aspects of loan portfolio optimization
- Economic Capital Allocation for Corporate Borrowers Credit Risk Coverage
- A capital allocation based on a solvency exchange option
- Multiobjective optimization of credit capital allocation in financial institutions
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- Risk Management and Capital Allocation for Non-Life Insurance Companies
- Some remarks on capital allocation by percentile layer
- Measuring the economic value of loan advice
- scientific article; zbMATH DE number 2151372 (Why is no real title available?)
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- An optimization approach to the dynamic allocation of economic capital
- Justification of per-unit risk capital allocation in portfolio credit risk models
- Differentiability of BSVIEs and dynamic capital allocations
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4518931)