Measuring Integrated Market and Credit Risks in Bank Portfolios : An Application to a Set of Hypothetical Banks Operation in South Africa /
The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simulation model that explicitly links changes in the financial environment and the distribu...
| Main Author: | |
|---|---|
| Other Authors: | , |
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2000.
|
| Series: | IMF Working Papers; Working Paper ;
No. 2000/212 |
| Online Access: | Full text available on IMF |