Modeling correlated market and credit risk in fixed income portfolios
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 26 (2002)
Issue (Month): 2-3 (March)
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Web page: http://www.elsevier.com/locate/jbf
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- Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2010. "Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 703-712, April.
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