Andreas Nawroth

Credit Suisse AG

Giesshübelstrasse 40

Zurich, 8002

Switzerland

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models

Risk, August 2014
Number of pages: 25 Posted: 14 May 2013 Last Revised: 30 Aug 2017
Fabrizio Anfuso, Dimitris Karyampas and Andreas Nawroth
PRA, Bank Of England, Bocconi University and Credit Suisse AG
Downloads 1,566 (16,381)
Citation 3

Abstract:

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Backtesting, Capital Requirements, Basel 3, Exposure Models

2.

Correlation Breakdown and the Influence of Correlations on VaR

Number of pages: 23 Posted: 17 Apr 2014
Andreas Nawroth, Fabrizio Anfuso and Fredrik Akesson
Credit Suisse AG, PRA, Bank Of England and Credit Suisse AG
Downloads 372 (111,727)
Citation 1

Abstract:

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Financial crisis, VaR, Correlation breakdown, Stock return asymmetries, Portfolio diversification, Financial markets