Aggregating credit and market risk : the impact of model specification
Year of publication: |
2012
|
---|---|
Authors: | Lucas, André ; Verhoef, Bastiaan |
Publisher: |
Rotterdam |
Subject: | Risk aggregation | Credit risk | Market risk | Link function | Diversification | Reduced form models | Structural models | Kreditrisiko | Theorie | Theory | Marktrisiko | Risiko | Risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
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