and default) and spread risk (represented by rating specific spread indices) combine to a total value-at-risk (VaR) 50 … portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks …

Introduction -- Liquidity and risk -- Liquidity risk regulation -- Liquidity risk management -- Model for the … quantification of structural liquidity risk -- Calculation -- Conclusion -- References. …Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits …

Based on risk-value models we introduce a multi-period approach to the valuation of streams of risky cash flows. The … valuation is based on the (expected) value of the output's or input's magnitude and the risk of the output cash flow, as … captured by a risk measure. We derive three formulae for valuing single cash flows and utilize the principles of separate …

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended …