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

Journal of Banking and Finance

Volumn 34, Issue 4, 2010, Pages 730-742

  Alessandri, Piergiorgio ^a   Drehmann, Mathias ^b  

^a BANK OF ENGLAND   (United Kingdom)

^b BANK FOR INTERNATIONAL SETTLEMENTS   (Switzerland)

Author keywords

Asset and liability management; Credit risk; Economic capital; Interest rate risk; Risk management

Indexed keywords

EID: 75849123139     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.06.012     Document Type: Article

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