Topics: a) Integrated modelling and management of market and credit risk. b) Joint pricing and trading of market and credit risk. c) Potential implications of the integrated modelling and pricing of market and credit risk for bank behaviour and capital holding.

In the past decade, Fondation Banque de France's Journées have been an annual event featuring the outcome of previous research grants. This year's harvest includes three papers on the systematic variations in expected loss and liquidity, the impact of securitization on bank lending and the cost...

Thema: Im Rahmen des Kolloquiums werden eine Reihe von empirischen und theoretischen Fragestellungen im Bereich Asset Management behandelt.