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Risk Management Lessons from the Credit Crisis

Citations

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Cited by:

  1. Anthony Booth & Boudewijn Bruin, 2021. "Stakes Sensitivity and Credit Rating: A New Challenge for Regulators," Journal of Business Ethics, Springer, vol. 169(1), pages 169-179, February.
  2. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
  3. Cheng, Dan & Cirillo, Pasquale, 2018. "A reinforced urn process modeling of recovery rates and recovery times," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 1-17.
  4. Benjamin Bade & Daniel Rösch & Harald Scheule, 2011. "Default and Recovery Risk Dependencies in a Simple Credit Risk Model," European Financial Management, European Financial Management Association, vol. 17(1), pages 120-144, January.
  5. Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 475-491, August.
  6. Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2014. "Are All Credit Default Swap Databases Equal?," European Financial Management, European Financial Management Association, vol. 20(4), pages 677-713, September.
  7. Madhu Acharyya & Chris Brady, 2014. "Designing an Enterprise Risk Management Curriculum for Business Studies: Insights From a Pilot Program," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 17(1), pages 113-136, March.
  8. Hamed Tabasi & Vahidreza Yousefi & Jolanta Tamošaitienė & Foroogh Ghasemi, 2019. "Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models," Administrative Sciences, MDPI, vol. 9(2), pages 1-17, May.
  9. Pilar Abad & Helena Chuliá & Marta Gómez†Puig, 2014. "Time†varying Integration in European Government Bond Markets," European Financial Management, European Financial Management Association, vol. 20(2), pages 270-290, March.
  10. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
  11. Elena Andreou & Constantinos Kourouyiannis & Andros Kourtellos, 2012. "Volatility Forecast Combinations using Asymmetric Loss Functions," University of Cyprus Working Papers in Economics 07-2012, University of Cyprus Department of Economics.
  12. Allaj, Erindi & Sanfelici, Simona, 2023. "Early Warning Systems for identifying financial instability," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1777-1803.
  13. Sheen Liu & Howard Qi & Jian Shi & Yan Alice Xie, 2015. "Inferring Default Correlation from Equity Return Correlation," European Financial Management, European Financial Management Association, vol. 21(2), pages 333-359, March.
  14. Weiping Li & Tim Krehbiel, 2016. "An Improved Approach To Evaluate Default Probabilities And Default Correlations With Consistency," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-29, August.
  15. Nofsinger, John R., 2012. "Household behavior and boom/bust cycles," Journal of Financial Stability, Elsevier, vol. 8(3), pages 161-173.
  16. Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Papers 2303.11030, arXiv.org.
  17. Michael D. Goldberg & Olesia Kozlova & Deniz Ozabaci, 2020. "Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational," Econometrics, MDPI, vol. 8(4), pages 1-26, December.
  18. Rihab Grassa & Nejia Moumen & Khaled Hussainey, 2021. "What drives risk disclosure in Islamic and conventional banks? An international comparison," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6338-6361, October.
  19. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Determinants of CDS trading on major banks," Working Papers Dissertations 51, Paderborn University, Faculty of Business Administration and Economics.
  20. Lakshmi, Geeta, 2018. "Gekko and black swans: Finance theory in UK undergraduate curricula," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 52(C), pages 35-47.
  21. Weiping Li, 2016. "Probability of Default and Default Correlations," JRFM, MDPI, vol. 9(3), pages 1-19, July.
  22. Amelia Pais & Philip A. Stork, 2013. "Bank Size and Systemic Risk," European Financial Management, European Financial Management Association, vol. 19(3), pages 429-451, June.
  23. Sara Faedfar & Mustafa Özyeşil & Mustafa Çıkrıkçı & Esin Benhür Aktürk, 2022. "Effective Risk Management and Sustainable Corporate Performance Integrating Innovation and Intellectual Capital: An Application on Istanbul Exchange Market," Sustainability, MDPI, vol. 14(18), pages 1-13, September.
  24. Rüdiger Kiesel & Robin Rühlicke & Gerhard Stahl & Jinsong Zheng, 2016. "The Wasserstein Metric and Robustness in Risk Management," Risks, MDPI, vol. 4(3), pages 1-14, August.
  25. Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  26. Edward Mashaka Makono & Crispin John Mbogo, 2023. "Effectiveness of Credit Risk Management Programs in Commercial Banks in Tanzania," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(3), pages 495-504, March.
  27. Basse, Tobias & Desmyter, Steven & Saft, Danilo & Wegener, Christoph, 2023. "Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors," International Review of Financial Analysis, Elsevier, vol. 89(C).
  28. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  29. Andrew F. Whitman, 2015. "Is ERM Legally Required? Yes for Financial and Governmental Institutions, No for Private Enterprises," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 18(2), pages 161-197, September.
  30. Kevin Aretz & Peter F. Pope, 2013. "Common Factors in Default Risk Across Countries and Industries," European Financial Management, European Financial Management Association, vol. 19(1), pages 108-152, January.
  31. Al-Hadi, Ahmed & Al-Yahyaee, Khamis Hamed & Hussain, Syed Mujahid & Taylor, Grantley, 2019. "Market risk disclosures and corporate governance structure: Evidence from GCC financial firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 136-150.
  32. Alim, Wajid & Ali, Amjad & Metla, Mahwish Rauf, 2021. "The Effect of Liquidity Risk Management on Financial Performance of Commercial Banks in Pakistan," MPRA Paper 112482, University Library of Munich, Germany.
  33. López-Herrera, Francisco & Ortiz-Arango, Francisco & Venegas-Martínez, Francisco, 2011. "Modelado de la volatilidad del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores con cambios markovianos de régimen," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Perrotini-Hernández, Ignacio (ed.), Crecimiento y Desarrollo Económico en México, volume 1, chapter 10, pages 153-164, Escuela Superior de Economía, Instituto Politécnico Nacional.
  34. Mohammed T. Abusharbeh, 2022. "Determinants of credit risk in Palestine: Panel data estimation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3434-3443, July.
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