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Interaction of market and credit risk

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  • Hartmann, Philipp

Abstract

Experience during the financial crisis illustrates that the integrated measurement and management of different forms of risk remains a challenge for industry practitioners, researchers and financial supervisors alike. In the context of related literature, this article summarizes new research on the interaction of market and credit risk and implications for risk management that is presented in this special issue. The research covered highlights in particular the errors that can occur in the aggregation of the two types of risk and the strong relationships between them that suggest caution in the use of pragmatic distinctions between them. The article also touches on some research-based lessons for supervisory policies and suggests some directions for future research.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 34 (2010)
Issue (Month): 4 (April)
Pages: 697-702

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Handle: RePEc:eee:jbfina:v:34:y:2010:i:4:p:697-702

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Web page: http://www.elsevier.com/locate/jbf

Related research

Keywords: Risk management Aggregation of risks Financial regulation Banking;

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Cited by:
  1. Blöchlinger, Andreas, 2011. "Arbitrage-free credit pricing using default probabilities and risk sensitivities," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 268-281, February.
  2. Silvia Magri & Raffaella Pico, 2010. "The rise of risk-based pricing of mortgage interest rates in Italy," Temi di discussione (Economic working papers) 778, Bank of Italy, Economic Research and International Relations Area.
  3. Hongbiao Zhao, 2011. "Portfolio credit risk of default and spread widening," LSE Research Online Documents on Economics 43451, London School of Economics and Political Science, LSE Library.
  4. 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.
  5. Kotkatvuori-Örnberg, Juha & Nikkinen, Jussi & Äijö, Janne, 2013. "Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 70-78.
  6. 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.

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