Capital allocation for credit portfolios with kernel estimators
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Karabey, Uǧur & Kleinow, Torsten & Cairns, Andrew J.G., 2014. "Factor risk quantification in annuity models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 34-45.
- M. Dietsch & C. Welter-Nicol, 2014. "Do LTV and DSTI caps make banks more resilient?," Débats économiques et financiers 13, Banque de France.
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- Dietsch, Michel & Petey, Joël, 2015. "The credit-risk implications of home ownership promotion: The effects of public subsidies and adjustable-rate loans," Journal of Housing Economics, Elsevier, vol. 28(C), pages 103-120.
- Thomas Siller, 2013. "Measuring marginal risk contributions in credit portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1915-1923, December.
- Takaaki Koike & Mihoko Minami, 2017. "Estimation of Risk Contributions with MCMC," Papers 1702.03098, arXiv.org, revised Jan 2019.
- Laurent, Jean-Paul & Sestier, Michael & Thomas, Stéphane, 2016. "Trading book and credit risk: How fundamental is the Basel review?," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 211-223.
More about this item
KeywordsCorporate risk management; Copulas; Applications to credit risk; Applications to default risk;
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