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  1. Rating targeting and dynamic economic capital

    Bank of Finland, PO Box 160, FI-00101 Helsinki, Finland; email: [email protected] Pohjola Bank plc, PO Box 308, FI-00013 Pohjola, Finland; email: [email protected] Research Papers Esa Jokivuolle

  2. Estimating high quantiles for electricity prices by stable linear models

    Center of Mathematics for Applications, University of Oslo, PO Box 1053, Blindern, N–0316 Oslo, Norway; email: [email protected] Research Papers Christine Bernhardt Center for Mathematical Sciences, Munich University of Technology, D-85747...

  3. Calibrating low-default portfolios, using the cumulative accuracy profile

    ABN AMRO/Group Risk Management/Models and Tools, PO Box 283 (HQ8040), 1000 EA Amsterdam, The Netherlands; email: [email protected] Research Papers Marco J.van der Burgt In the new Basel II Accord, banks are allowed to develop their...