Interaction between market and credit risk: Focus on the endogeneity of aggregate risk
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- Maria Soledad Martinez Peria & Giovanni Majnoni & Matthew T Jones & Winfrid Blaschke, 2001. "Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences," IMF Working Papers 01/88, International Monetary Fund.
- Masschelein, Nancy & Düllmann, Klaus, 2006. "Sector concentration in loan portfolios and economic capital," Discussion Paper Series 2: Banking and Financial Studies 2006,09, Deutsche Bundesbank.
- Thérèse Laflèche, 1997. "The impact of exchange rate movements on consumer prices," Bank of Canada Review, Bank of Canada, vol. 1996(Winter), pages 21-32.
- Christoph B. Rosenberg & Marcel Tirpák, 2008. "Determinants of Foreign Currency Borrowing in the New Member States of the EU," IMF Working Papers 08/173, International Monetary Fund.
- Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2008. "Regulatory capital for market and credit risk interaction: is current regulation always conservative?," Discussion Paper Series 2: Banking and Financial Studies 2008,14, Deutsche Bundesbank.
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- Constantin ANGHELACHE & Gabriela Victoria ANGHELACHE & Madalina – Gabriela Anghel & Georgiana NITA, 2016. "General Notions on Banking Risks," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(5), pages 7-10, May.
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More about this item
Keywordsintegrated analysis of market and credit risk; risk management; endogenous behaviour; concentration risk.;
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- 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
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-14 (All new papers)
- NEP-BAN-2009-11-14 (Banking)
- NEP-RMG-2009-11-14 (Risk Management)
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