Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk

DOI10.1007/s10479-017-2438-yzbMath1417.91452DBLPjournals/anor/GubarevaB18OpenAlexW2589704183WikidataQ57520909 ScholiaQ57520909MaRDI QIDQ1621898

Maria Rosa Borges, Mariya Gubareva

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10400.21/6962

zbMATH Keywords

credit riskinterest rate riskemerging marketseconomic capitaldownside risk managementintegrated risk modeling

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (2)

Governed by the cycle: interest rate sensitivity of emerging market corporate debt ⋮ Exploration of credit risk of P2P platform based on data mining technology

Cites Work

• Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management
• Systemic risk, financial markets, and performance of financial institutions

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