Add to ORKGWe investigate the model of Froot and Stein (1998), a model that has very strong implications for risk management. We argue that their conclusions are too strong and need to be qualified. Also, there are some unusual consequences of their model, which may be linked to the chosen pricing formula.
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital...
Quantitative models are omnipresent –but often controversially discussed– in todays risk management ...
University of Technology Sydney. Faculty of Business.The renowned statistician George E. P. Box wrot...
We investigate the model of Froot & Stein (1998), a model which has very strong implications for ris...
We investigate the model of Froot and Stein (1998), a model that has very strong implications for ri...
textabstractThe Basel II Accord requires that banks and other Authorized Deposit-taking Institutions...
textabstractWhen dealing with market risk under the Basel II Accord, variation pays in the form of l...
Does the 2007/08 market crisis herald the end of risk modeling and the empirical method? This paper ...
International audienceThis book provides a perspective on a number of approaches to financial modell...
The paper studies outside finance in a model of two-dimensional moral hazard, involving risk choices...
The financial systems in most developed countries today build up a large amount of model risk on a d...
The financial systems in most developed countries today build up a large amount of model risk on a d...
One of the main goals of financial institutions is to minimize risk because it is directly related t...
2 The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) co...
In the recent literature, methods from extreme value theory (EVT) have frequently been applied to th...
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital...
Quantitative models are omnipresent –but often controversially discussed– in todays risk management ...
University of Technology Sydney. Faculty of Business.The renowned statistician George E. P. Box wrot...
We investigate the model of Froot & Stein (1998), a model which has very strong implications for ris...
We investigate the model of Froot and Stein (1998), a model that has very strong implications for ri...
textabstractThe Basel II Accord requires that banks and other Authorized Deposit-taking Institutions...
textabstractWhen dealing with market risk under the Basel II Accord, variation pays in the form of l...
Does the 2007/08 market crisis herald the end of risk modeling and the empirical method? This paper ...
International audienceThis book provides a perspective on a number of approaches to financial modell...
The paper studies outside finance in a model of two-dimensional moral hazard, involving risk choices...
The financial systems in most developed countries today build up a large amount of model risk on a d...
The financial systems in most developed countries today build up a large amount of model risk on a d...
One of the main goals of financial institutions is to minimize risk because it is directly related t...
2 The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) co...
In the recent literature, methods from extreme value theory (EVT) have frequently been applied to th...
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital...
Quantitative models are omnipresent –but often controversially discussed– in todays risk management ...
University of Technology Sydney. Faculty of Business.The renowned statistician George E. P. Box wrot...