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Capital Regulation for Position Risk in Banks, Securities Firms, and Insurance Companies

Richard Herring and Til Schuermann

in Capital Adequacy beyond Basel: Banking, Securities, and Insurance

Published in print:
2005
Published Online:
January 2007
ISBN:
9780195169713
eISBN:
9780199783717
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195169713.003.0001
Subject:
Economics and Finance, Financial Economics

Currently, banks, securities firms, and insurance companies conduct trading businesses that involve many of the same financial instruments and several of the same counterparties but that are subject ... More


Portfolio credit risk and the Basel Accord

Lyn C. Thomas

in Consumer Credit Models: Pricing, Profit and Portfolios

Published in print:
2009
Published Online:
May 2009
ISBN:
9780199232130
eISBN:
9780191715914
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199232130.003.0005
Subject:
Mathematics, Applied Mathematics, Mathematical Finance

The previous chapters in the book have concentrated on modelling decisions and uncertainties on one consumer loan. This chapter concentrates on models related to portfolios of such loans. In ... More


Implications of Alternative Operational Risk Modeling Techniques

Patrick de Fontnouvelle, Eric S. Rosengren, and John S. Jordan

in The Risks of Financial Institutions

Published in print:
2007
Published Online:
February 2013
ISBN:
9780226092850
eISBN:
9780226092980
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226092980.003.0011
Subject:
Economics and Finance, Financial Economics

This chapter employs data supplied by six large, internationally active banks to identify if the regularities in the loss data will make consistent modeling of operational losses possible. It is ... More


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