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| Tekijä: | Barnhill, T. M. Jr. Maxwell, W. F. |
| Otsikko: | Modeling correlated market and credit risk in fixed income portfolios |
| Lehti: | Journal of Banking and Finance
2002 : MAR, VOL. 26:2-3, p. 347-374 |
| Asiasana: | Credit markets Money markets Financial risk Risk management |
| Kieli: | eng |
| Tiivistelmä: | Current risk assessment methodologies separate the analysis and credit risk and thus misestimate security and portfolio risk levels. The authors propose a new approach that relates financial market volatility to firm specific credit risk and integrates interest rate, interest rate spread, and foreign exchange rate risk into one overall fixed income portfolio risk assessment. Accounting for the correlation between these significant risk factors as well as portfolio diversification results in improved risk measurement and management. |
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