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Letter from the Editor-In-Chief
The current economic crisis has clearly highlighted the paramount importance of capital requirements for financial institutions to help them cover the risks they take. The aggregation of different risk types into a single figure is quite challenging and lacks a universal standard. Assessing the dependence between different risk types is at the core of their aggregation. In the first paper of this issue, Böcker and Hillebrand propose an approach that combines a classical factor model for credit risk with a linear factor model with another risk type, such as market risk, to derive a correlation-based aggregate risk value, with numerical and analytical illustrations on sample portfolios.
Latest Issue
Volume 11 / Number 4
Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation
Klaus Böcker and Martin Hillebrand
Pricing and performance of mutual funds: lookback versus interest rate guarantees
Nadine Gatzert and Hato Schmeiser
Measure of financial risk using conditional extreme value copulas with EVT margins
Ahmed Ghorbel and Abdelwahed Trabelsi
The convergence of binomial trees for pricing the American put
Mark Joshi
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