Measuring Integrated Market and Credit Risk in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa-Reference-Cited by-同舟云学术

Measuring Integrated Market and Credit Risk in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa

Published:2002-12 Issue:5 Volume:11 Page:401-443
ISSN:0963-8008
Container-title:Financial Markets, Institutions and Instruments
language:en
Short-container-title:Financial Markets Inst & Instr

Author:

Barnhill Theodore M.,Papapanagiotou Panagiotis,Schumacher Liliana

Publisher

Wiley

Subject

General Economics, Econometrics and Finance,Finance

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/1468-0416.11502/fullpdf

Reference36 articles.

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4. T. Barnhill, and W. Maxwell . "Modeling correlated interest rate, exchange rate, and credit risk in fixed income portfolios.", 26 (2002), 347 -374 .

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