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Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation
Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation ... confidence level α as ECi(α) = F ← i (α)− E(Xi) , 17 where F←i (α) = inf{x ∈ R : Fi(x) ≥ α}, 0 < α ...- Authors: Klaus Bocker, Martin Hillebrand
- Date: Apr 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial markets; Enterprise Risk Management>Financial management