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Impairments, Forecast, IFRS 9, CECL, Credit Risk
credit risk, stress testing, corporate models
Credit Value Adjustment (CVA), Wrong Way Risk, Right Way Risk, Correlation Approach, Parametric Approach
Credit value adjustment (CVA), Wrong Way Risk, Right Way Risk, Robust Correlation, CVA Ratio
Funding liquidity risk, cash flows, liquidity calculation, liquidity hedging, counterbalancing capacity, optimal liquidity hedging, liquidity execution
Counterparty credit risk, CVA, Wrong way risk
Risk aggregation, mixed aggregation, hierarchical aggregation, copula
Liquidity risk, optimal liquidity hedging, counterbalancing capacity
Liquidity risk, liquidity hedging, cash liquidity, counterbalancing capacity
Liquidity risk, optimal liquidity execution, counterbalancing capacity
Replicating portfolio, optimal cash flow matching, optimal cash flow replication
Trading market risk, Dynamic Value at Risk, Trading Value at Risk
Portfolio credit risk, Traded bonds credit risk, Incremental risk charge
VaR model performance, back testing, VaR models during crisis
Risk contributions, capital allocation, risk information measures, reverse stress testing
Stress testing, scenario analysis, integrated stress testing, tail events
Liquidity execution, Optimal execution plan, Counterbalancing capacity