Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?
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- Lee, Yongwoong & Yang, Kisung, 2019. "Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula," International Review of Financial Analysis, Elsevier, vol. 66(C).
- Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
- Buch, Arne & Dorfleitner, Gregor & Wimmer, Maximilian, 2011. "Risk capital allocation for RORAC optimization," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3001-3009, November.
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- Szybisz, Martin Andres, 2019. "Interactions between Credit and Market Risk, Diversification vs Compounding effects," MPRA Paper 93173, University Library of Munich, Germany.
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- Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
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"An economic capital model integrating credit and interest rate risk in the banking book,"
Journal of Banking & Finance, Elsevier, vol. 34(4), pages 730-742, April.
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- Krebs, Martin & Nippel, Peter, 2021. "Unexpected loss, expected profit, and economic capital: A note on economic capital for credit risk incorporating interest income, expenses, losses, and ROE target," Finance Research Letters, Elsevier, vol. 38(C).
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Keywords
Integrated analysis of market risk and credit risk Risk management Foreign currency loans Banking regulation;Statistics
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