A framework to measure integrated risk

DOI10.1080/14697680500117583zbMath1118.91330OpenAlexW1970926623MaRDI QIDQ5697341

Robert G. Smith, E. A. Medova

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

Mathematics Subject Classification ID

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

Related Items (1)

Measuring the coupled risks: A copula-based CVaR model

Uses Software

• CreditRisk+

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

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