Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...
