Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets
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More about this item
KeywordsIntegration of credit risk & interest rate risk; asset & liability management of banks; economic value; stress testing;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ACC-2007-04-09 (Accounting & Auditing)
- NEP-ALL-2007-04-09 (All new papers)
- NEP-BAN-2007-04-09 (Banking)
- NEP-MAC-2007-04-09 (Macroeconomics)
- NEP-RMG-2007-04-09 (Risk Management)
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