Adverse risk interaction: An integrated approach
Abstract
This paper studies adverse interaction between credit and market risk. We develop a comprehensive Merton-type model, in which payment ability of borrowers is driven by the overall economic growth, while the level of their liabilities is sensitive to market variables. To illustrate the model, we apply numerical simulations to estimate credit, market and integrated Value at Risk from the loss distribution using industry-wide data from the Serbian...
Paper Details
Title
Adverse risk interaction: An integrated approach
Published Date
Sep 1, 2017
Journal
Volume
65
Pages
67 - 74
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