A framework to measure integrated risk

DOI10.1080/14697680500117583zbMATH Open1118.91330OpenAlexW1970926623MaRDI QIDQ5697341FDOQ5697341

Authors: E. A. Medova, Robert G. Smith 

Publication date: 17 October 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500117583

Recommendations

• Computational aspects of integrated market and credit portfolio models
• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• A model of credit risk based on cash flow
• On the applicability of a Fourier based approach to integrated market and credit portfolio models
• Integrated risk modelling

zbMATH Keywords

credit riskmarket riskrisk measurementeconomic capitalintegrated riskstructural credit modelsforeign exchange forwardpre-settlement risk

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure

Cited In (6)

• Title not available (Why is that?)
• Evolutionary Multi-Criterion Optimization
• Integrated bank risk modeling: a bottom-up statistical framework
• Computational aspects of integrated market and credit portfolio models
• Integrated risk modelling
• Measuring the coupled risks: A copula-based CVaR model

Uses Software

• CreditRisk+

This page was built for publication: A framework to measure integrated risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697341)