Paper Info
Title
Integrated bank risk modeling: A bottom-up statistical framework.
Abstract
•Identify a general model to represent banking interactions.•Assess banking solvency in both the long-run as well as in the short period.•Represent risk sources from the macro-economic and the bank-specific perspectives.•Develop a statistical framework to integrate credit, interest rate and liquidity risks.•Outline risk issues that policy makers and risk managers should consider.
Year
DOI
Venue
2013
10.1016/j.ejor.2013.04.031
European Journal of Operational Research
Keywords
Field
DocType
Risk integration,Macro-economic factors,Scenario generations
Financial risk management,Market liquidity,Economics,Economic capital,Actuarial science,Solvency,Operational risk,Interest rate,Risk management,Capital requirement
Journal
Volume
Issue
ISSN
230
2
0377-2217
Citations 
PageRank 
References 
3
0.45
5
Authors
1
Name
Order
Citations
PageRank
Tiziano Bellini1122.79