Capital allocation for credit portfolios with kernel estimators
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DOI: 10.1080/14697680802620599
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Cited by:
- M. Dietsch & C. Welter-Nicol, 2014. "Do LTV and DSTI caps make banks more resilient?," Débats économiques et financiers 13, Banque de France.
- Guangwu Liu, 2015. "Simulating Risk Contributions of Credit Portfolios," Operations Research, INFORMS, vol. 63(1), pages 104-121, February.
- So Yeon Chun & Miguel A. Lejeune, 2020. "Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution," Management Science, INFORMS, vol. 66(8), pages 3735-3753, August.
- Thomas Siller, 2013. "Measuring marginal risk contributions in credit portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1915-1923, December.
- Leitao, Álvaro & Ortiz-Gracia, Luis, 2020. "Model-free computation of risk contributions in credit portfolios," Applied Mathematics and Computation, Elsevier, vol. 382(C).
- 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.
- 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.
- 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.
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Keywords
Corporate risk management; Copulas; Applications to credit risk; Applications to default risk;Statistics
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