A framework to measure integrated risk

DOI10.1080/14697680500117583MaRDI QIDQ5697341zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

credit riskeconomic capitalforeign exchange forwardintegrated riskmarket riskpre-settlement riskrisk measurementstructural credit models

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(6)

• Integrated bank risk modeling: a bottom-up statistical framework
• Measuring the coupled risks: A copula-based CVaR model
• Computational aspects of integrated market and credit portfolio models
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• scientific article; zbMATH DE number 5052232 (Why is no real title available?)
• Evolutionary Multi-Criterion Optimization

Describes a project that uses

Uses Software

• CreditRisk+

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