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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...
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Die besten Themen des Online-Magazins RiskNEWS vermitteln dem Leser Trends und Entwicklungen im Risikomanagement, von der Einführung von Risikomanagementsystemen über die statistische Modellierung des Zinsänderungsrisikos bis zur Analyse des Enron-Debakels
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