The Interaction of Market and Credit Risk and Their Correlation Risk: A Literature Overview

被引：0
|
作者：
Guo, Zhanqin [1 ]
Zhao, Dongqing [1 ]
机构：
[1] Zhengzhou Univ, Sch Business, Zhengzhou 450001, Peoples R China
来源：
INNOVATIVE THEORIES AND METHODS FOR RISK ANALYSIS AND CRISIS RESPONSE | 2012年 / 21卷
关键词：
credit risk; market risk; the correlation risk of credit and market risk; economic capital; FRAMEWORK;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
The financial crisis in 2008 has challenged the common practice of treating credit risk and market risk separately in commercial banks risk management In this paper, we have reviewed the literatures in the interaction of credit and market risk and the impacting effect of their correlation risk. Based on the analysis of the current allocation of economic capital on banking books, we propose that the economic capital should be allocated on the banking books according to the integrated impact of interest rate and credit risk.
引用
收藏
页码：499 / 503
页数：5
相关论文
共 24 条
  • [1] An economic capital model integrating credit and interest rate risk in the banking book
    Alessandri, Piergiorgio
    Drehmann, Mathias
    [J]. JOURNAL OF BANKING & FINANCE, 2010, 34 (04) : 730 - 742
  • [2] [Anonymous], 2008, Observation of risk management practices during the recent market turbulence
  • [3] Asberg P., 2008, SVERIGES RISKBANK WO, V219
  • [4] Modeling correlated market and credit risk in fixed income portfolios
    Barnhill, TM
    Maxwell, WF
    [J]. JOURNAL OF BANKING & FINANCE, 2002, 26 (2-3) : 347 - 374
  • [5] Basel Committee on Banking Supervision, 2010, BANK INT SETTLEM DEC
  • [6] Basel Committee on Banking Supervision (BCBS), 2009, WORKING PAPER
  • [7] Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?
    Breuer, Thomas
    Jandacka, Martin
    Rheinberger, Klaus
    Summer, Martin
    [J]. JOURNAL OF BANKING & FINANCE, 2010, 34 (04) : 703 - 712
  • [8] Recovery rates, default probabilities, and the credit cycle
    Bruche, Max
    Gonzalez-Aguado, Carlos
    [J]. JOURNAL OF BANKING & FINANCE, 2010, 34 (04) : 754 - 764
  • [9] Cuenot S., 2006, FRAMEWORK LIT UNPUB
  • [10] The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application
    Drehmann, Mathias
    Sorensen, Steffen
    Stringa, Marco
    [J]. JOURNAL OF BANKING & FINANCE, 2010, 34 (04) : 713 - 729
123