In financial groups enterprise risk management is becoming increasingly importantin controlling and managing the different independent legal entities in thegroup. The aim of this paper is to assess and relate risk concentration and joint defaultprobabilities of the group’s legal entities in...

In financial groups, enterprise risk management is becoming increasingly important in controlling and managing the different independent legal entities in the group. The aim of this paper is to assess and relate risk concentration and joint default probabilities of the group's legal entities in...