Interaction of Market and Credit Risk : An Analysis of Inter-Risk Correlation and Risk Aggregation
Year of publication: |
2016
|
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Authors: | Böcker, Klaus |
Other Persons: | Hillebrand, Martin (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Kreditrisiko | Credit risk | Korrelation | Correlation | Multivariate Verteilung | Multivariate distribution | Marktrisiko | Market risk |
Extent: | 1 Online-Ressource (52 p) |
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Series: | Bundesbank Series 2 Discussion Paper ; No. 2008,11 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2008 erstellt |
Other identifiers: | 10.2139/ssrn.2794015 [DOI] |
Classification: | G31 - Capital Budgeting; Investment Policy ; G28 - Government Policy and Regulation ; G21 - Banks; Other Depository Institutions; Mortgages ; C13 - Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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