In this paper a simple and innovative model for measuring more accurately the credit tail risk of a banking book is presented. This is a Monte Carlo simulation model in which the credit loss severity (LGD) is a stochastic variable and it is correlated to the default event. Specifically, LGD is...

<em>Financial Risk Aggregation: A Simulative Study </em> - Banks are exposed to many different risk types due to their business activities, such as credit risk, market risk and operational risk. The task of the risk management division is to measure all these risks and to determine the necessary amount...