Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk
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DOI: 10.1007/s10479-017-2438-y
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Cited by:
- Gubareva, Mariya & Borges, Maria Rosa, 2020. "Switching interest rate sensitivity regimes of U.S. Corporates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- González, Oliver & Keddad, Benjamin, 2024. "The Piggy Bank Index: An intuitive risk measure to assess liquidity and capital adequacy in banks," Finance Research Letters, Elsevier, vol. 60(C).
- Mariya Gubareva & Benjamin Keddad, 2022. "Emerging markets financial sector debt: A Markov‐switching study of interest rate sensitivity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3851-3863, October.
- Mariya Gubareva, 2019. "Weight of the Default Component of CDS Spreads: Avoiding Procyclicality in Credit Loss Provisioning Framework," Complexity, Hindawi, vol. 2019, pages 1-19, July.
- Mariya Gubareva & Maria Rosa Borges, 2022. "Governed by the cycle: interest rate sensitivity of emerging market corporate debt," Annals of Operations Research, Springer, vol. 313(2), pages 991-1019, June.
- Mariya Gubareva, 2018. "Historical Interest Rate Sensitivity of Emerging Market Sovereign Debt: Evidence of Regime Dependent Behavior," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 405-442, November.
- Deshun Xu & Junhai Ma, 2018. "The Credit Asset of Enterprise Accounts Receivable Pricing Model," Complexity, Hindawi, vol. 2018, pages 1-16, October.
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More about this item
Keywords
Emerging markets; Integrated risk modeling; Interest rate risk; Credit risk; Downside risk management; Economic capital;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- F39 - International Economics - - International Finance - - - Other
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