Integrating market and credit risk: A simulation and optimisation perspective
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- Alessandri, Piergiorgio & Drehmann, Mathias, 2010.
"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.
- Drehmann, Mathias & Alessandri, Piergiorgio, 2009. "An economic capital model integrating credit and interest rate risk in the banking book," Working Paper Series 1041, European Central Bank.
- Alessandri, Piergiorgio & Drehmann, Mathias, 2010. "An economic capital model integrating credit and interest rate risk in the banking book," Bank of England working papers 388, Bank of England.
- Grundke, Peter, 2010. "Top-down approaches for integrated risk management: How accurate are they?," European Journal of Operational Research, Elsevier, vol. 203(3), pages 662-672, June.
- Eckert, Johanna & Gatzert, Nadine & Martin, Michael, 2016. "Valuation and risk assessment of participating life insurance in the presence of credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 382-393.
- Weissensteiner, Alex, 2010. "Using the Black-Derman-Toy interest rate model for portfolio optimization," European Journal of Operational Research, Elsevier, vol. 202(1), pages 175-181, April.
- Pantelous, Athanasios A., 2008. "Dynamic risk management of the lending rate policy of an interacted portfolio of loans via an investment strategy into a discrete stochastic framework," Economic Modelling, Elsevier, vol. 25(4), pages 658-675, July.
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- Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
- Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
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