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Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation
the normal factor model (4.7). For this purpose, Table 4.1 as well as Figures 1 and 2 compare the inter-risk ... 37 (0.82) 0.22 (0.50) 0.27 (0.59) 0.33 (0.75) Table 4.1: LHP approximation for inter-risk correlation ...- 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