An economic capital model integrating credit and interest rate risk in the banking book
Year of publication: |
2010-06-01
|
---|---|
Authors: | Alessandri, Piergiorgio ; Drehmann, Mathias |
Institutions: | Bank of England |
Subject: | Economic capital | risk management | credit risk | interest rate risk | asset and liability management |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Bank of England working papers Number 388 36 pages |
Classification: | C13 - Estimation ; E47 - Forecasting and Simulation ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
-
An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio, (2009)
-
An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio, (2009)
-
An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio, (2010)
- More ...
-
Funding liquidity risk in a quantitative model of systemic stability
Aikman, David, (2009)
-
Shadow banks and macroeconomic instability
Meeks, Roland, (2014)
-
Simple banking: profitability and the yield curve
Alessandri, Piergiorgio, (2012)
- More ...