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An economic capital model integrating credit and interest rate risk in the banking book · Study

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ArticleAn economic capital model integrating credit and interest rate risk in the banking book

Piergiorgio Alessandri2009

Article2009

An economic capital model integrating credit and interest rate risk in the banking book

Piergiorgio Alessandri · Mathias Drehmann

87 citations·0/0 files stored·Journal of Banking & Finance

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Banking stability, regulation, efficiency Credit Risk and Financial Regulations Risk Management in Financial Firms

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References

2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model 2007Exploring the international linkages of the euro area: a global VAR analysis 2006Multi-period corporate default prediction with stochastic covariates 2000A comparative anatomy of credit risk models 2004Is Default Event Risk Priced in Corporate Bonds?2002Bank concentration and retail interest rates

Cited by

2014Simple Banking: Profitability and the Yield Curve 2016How do banks make the trade-offs among risks? The role of corporate governance 2010Integrated models of capital adequacy – Why banks are undercapitalised 2011Risk capital allocation for RORAC optimization 2013On the aggregation of credit, market and operational risks 2010Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure

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2010An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Bookpreprint · 18 shared references 2008The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspectivepreprint · 8 shared references 2009Macroeconomic stress-testing banks: a survey of methodologieschapter · 6 shared references 2012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008article · 5 shared references 2007Firm heterogeneity and credit risk diversificationarticle · 5 shared references 2009Interaction of market and credit riskarticle · 5 shared references

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Year2009

Typearticle

Published2009-06-22

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations87

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.1016/j.jbankfin.2009.06.012

openalex_workW3124096932

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2009Interaction of market and credit risk

2018Private information, institutional distance, and the failure of cross-border acquisitions: Evidence from the banking sector in Central and Eastern Europe