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 …