On the aggregation of credit, market and operational risks-Reference-Cited by-同舟云学术

On the aggregation of credit, market and operational risks

Published:2013-12-28 Issue:1 Volume:44 Page:161-189
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Li Jianping,Zhu Xiaoqian,Lee Cheng-Few,Wu Dengsheng,Feng Jichuang,Shi Yong

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-013-0426-0.pdf

Reference59 articles.

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2. Alessandri P, Drehmann M (2010) An economic capital model integrating credit and interest rate risk in the banking book. J Bank Financ 34:752–764

3. Alexander C, Pezier J (2003) On the aggregation of market and credit risks. ISMA centre discussion papers in finance no. 2003–2013, University of Reading

4. Antao P, Lacerda A (2011) Capital requirements under the credit risk-based framework. J Bank Financ 35:1380–1390

5. Basel Committee on Banking Supervision (1988) International convergence of capital measurement and capital standards. Bank for International Settlements, Basel

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