Bank Risk Aggregation Based on Income Statement
Author:
Publisher
Springer Singapore
Link
https://link.springer.com/content/pdf/10.1007/978-981-19-0408-0_4
Reference14 articles.
1. Alessandri P, Drehmann M (2010) An economic capital model integrating credit and interest rate risk in the banking book. J Bank Finance 34(4):730–742. https://doi.org/10.1016/j.jbankfin.2009.06.012
2. Begley TA, Purnanandam AK, Zheng K (2016) The strategic under-reporting of bank risk. Rev Finan Stud 30(10):3376–3415. https://doi.org/10.1093/rfs/hhx036
3. Danielsson J, Zigrand JP (2006) On time-scaling of risk and the square-root-of-time rule. J Bank Finance 30(10):2701–2713. https://doi.org/10.1016/j.jbankfin.2005.10.002
4. Dimakos XK, Aas K (2004) Integrated risk modelling. Stat Model 4(4):265–277. https://doi.org/10.1191/1471082X04st079oa
5. Embrechts P, McNeil A, Straumann D (1999) Correlation: pitfalls and alternatives. Risk 12(5):69–71
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