Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation
Year of publication: |
2008
|
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Authors: | Hillebrand, Martin ; Böcker, Klaus |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | Risiko | Kreditrisiko | Korrelation | Portfolio-Management | Eigenkapitalvorschriften | Theorie | EU-Staaten | Risk aggregation | Inter-risk correlation | economic capital | ICAAP | diversification |
Series: | Discussion Paper Series 2 ; 2008,11 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 570359376 [GVK] hdl:10419/19788 [Handle] RePEc:zbw:bubdp2:7321 [RePEc] |
Classification: | G31 - Capital Budgeting; Investment Policy ; G28 - Government Policy and Regulation ; G21 - Banks; Other Depository Institutions; Mortgages ; C13 - Estimation |
Source: |
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