Robert Schulze

UniCredit Bank AG

Arabellstr. 12

Munich, 81929

Germany

  • UniCredit Bank AG

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Capital Allocation Under the FRTB Regime via Marginal Measures

Number of pages: 23 Posted: 09 Nov 2018
Robert Schulze
UniCredit Bank AG
Downloads 556 (93,076)

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Capital Allocation, Market Risk, Fundamental Review of the Trading Book, FRTB, Marginals, RWA, Market Risk, Standardized Approach, Fundamental Review, Trading Book, Internal Models Approach, Euler Theorem

2.

Internal Default Risk Model: Simulation of Default Times And Recovery Rates within the New FRTB Framework

Number of pages: 18 Posted: 21 Mar 2018
Andrea Bertagna, Deliu Dragos, Luca Lopez, Aldo Nassigh, Michele Pioppi, Fabian Reffel, Peter Schaller and Robert Schulze
UniCredit Group, UniCredit Bank Austria AG, UniCredit Group, UniCredit Group, UniCredit S.p.A., Unicredit Bank AG, Bank Austria Creditanstalt - Department of Market Risk Management and UniCredit Bank AG
Downloads 345 (160,723)

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Banking Regulation, Market Risk, Fundamental Review of the Trading Book (FRTB), Default Risk Charge, Stochastic Recovery Rates, Rank Correlation

3.

An Internal Default Risk Model: Simulation of Default Times and Recovery Rates Within the New Fundamental Review of the Trading Book Framework

Journal of Risk, Vol. 22, No. 3, 2020
Posted: 18 Feb 2020
Andrea Bertagna, Deliu Dragos, Luca Lopez, Aldo Nassigh, Michele Pioppi, Fabian Reffel, Peter Schaller and Robert Schulze
UniCredit Group, UniCredit Bank Austria AG, UniCredit Group, UniCredit Group, UniCredit S.p.A., Unicredit Bank AG, Bank Austria Creditanstalt - Department of Market Risk Management and UniCredit Bank AG

Abstract:

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banking regulation, market risk, Fundamental Review of the Trading Book (FRTB), default risk charge (DRC), stochastic recovery rates, rank correlation