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Abstract

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.

Keywords

Credit Risk Economic Capital Market Risk Risk Type Credit Portfolio 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Betriebswirtschaftlicher Verlag Dr. Th. Gabler | GWV Fachverlage GmbH, Wiesbaden 2008

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