Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?-Reference-Cited by-同舟云学术

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Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?

Published:2010-04 Issue:4 Volume:34 Page:703-712
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Breuer Thomas,Jandačka Martin,Rheinberger Klaus,Summer Martin

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference17 articles.

1. On the coherence of expected shortfall;Acerbi;Journal of Banking and Finance,2002

2. Modeling correlated market and credit risk in fixed income portfolios;Barnhill;Journal of Banking and Finance,2002

3. Compounding effects between market and credit risk: The case of variable rate loans;Breuer,2008

4. Common failings: How corporate defaults are correlated;Das;Journal of Finance LXII,2007

5. Integrated risk modeling;Dimakos;Statistical Modeling,2004

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3. Adjustable-rate mortgages in the era of global reflation: How to model additional default risk?;PLOS ONE;2022-03-21

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