ERM Resource |
04/08/2015 |
On Measures for Illustrating Credit Risk Assessments: the case of heat maps, risk matrices, and cubes |
Credit and Counterparty Risk, Credit Risk, financial stability, heat map, Risk Reporting and Communication, Sveriges Riksbank |
ERM Resource |
29/07/2015 |
Single-name concentration risk in credit portfolios: a comparison of concentration indices |
Banking, Basel II, Concentration Risk, Credit and Counterparty Risk, Gini Index, Hall-Tidemann index, Hannah-Kay index, HerfindahlHirschman index, Risk Management Tools and Techniques, Theil entropy index |
ERM Resource |
29/07/2015 |
Analyzing Concentration Risk |
Basel II, Concentration Risk measures, Credit and Counterparty Risk, Risk Management Tools and Techniques |
ERM Resource |
29/07/2015 |
Supervisory Letter - Concentration Risk |
Concentration Risk, Credit and Counterparty Risk, Credit default, credit failure, credit unions, Recession, Regulation, Risk Identification and Classification |
ERM Resource |
29/07/2015 |
Measuring Concentration Risk in Bank Credit Portfolios using Granularity Adjustment: Practical Aspects |
Concentration Risk, Credit and Counterparty Risk, Diversification, Granularity adjustment, Idiosyncratic risk, Monte Carlo simulation, Risk Management Tools and Techniques, Systemic Risk, value at risk |
ERM Resource |
29/07/2015 |
Concentration risk and the optimal numberof central counterparties for a single asset |
Central Counterparty (CCP), Clearing House, Concentration Risk, Credit and Counterparty Risk, No category, OTC Derivatives |
ERM Resource |
29/07/2015 |
Understanding the Effect of Concentration Risk in the Banks Credit Portfolio: Indian Cases |
Banking, Concentration Risk, Credit and Counterparty Risk, Credit Concentration, Economic Capital, Risk Management Tools and Techniques |
ERM Resource |
29/07/2015 |
Efficient Concentration Risk Measurement in Credit Portfolios with Haar Wavelets |
Basel, Concentration Risk, Credit and Counterparty Risk, Haar wavelets, Laplace transform, Option Pricing, Portfolio Credit Risk, Risk Management Tools and Techniques |
ERM Resource |
29/07/2015 |
Credit Risk Transfer and Contagion |
Contagion Risk, Credit and Counterparty Risk, Financial innovation, No category, Pareto inferior |
ERM Resource |
29/07/2015 |
On the effectiveness of hedging strategies for variable annuities |
Credit and Counterparty Risk, hedge, Put option, Risk Management Tools and Techniques, variable annuity, Volatility risk |
ERM Resource |
22/07/2015 |
Enterprise Risk Management Program Quality: Determinants, Value Relevance, and the Financial Crisis |
Benefits of ERM, Compliance and Corporate Governance, Credit and Counterparty Risk, firm performance and value, risk management, Risk Measurement |
ERM Resource |
22/07/2015 |
Risk Management and Risk Management Failure: Lessons for Business Enterprises |
Agency Risk, Benefits of ERM, Business enterprises, Business failures, Credit and Counterparty Risk, Operational Risk, Plant shutdowns, Risk management in business, Securities markets, Strategy |
ERM Resource |
25/06/2015 |
An integrated Cost of Risk model and its application to company valuation |
Credit and Counterparty Risk, Economic / Risk Based Capital |
ERM Resource |
25/06/2015 |
Using Credit Risk Models for Regulatory Capital: Issues and Options |
Credit and Counterparty Risk, Economic / Risk Based Capital, Risk Management Tools and Techniques |
ERM Resource |
25/06/2015 |
The Use of an Economic Capital Model within and Enterprise Risk Management framework |
Credit and Counterparty Risk, Economic / Risk Based Capital |