This book deals with the integration of market risk into standard credit portfolio models. Within a common framework for both risk types, stochastic dependencies between these two risk components can be taken into account more properly for the determination of economic capital. This allows a more precise measurement of economic capital and can improve the accuracy of management decisions concerning these risks.


Credit Risk Economic Capital Market Risk Risk Type Credit Portfolio 
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© Betriebswirtschaftlicher Verlag Dr. Th. Gabler | GWV Fachverlage GmbH, Wiesbaden 2008

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