Naslov (eng)

Adverse risk interaction : an integrated approach

Autor

Božović, Miloš
Ivanović, Jelena

Opis (eng)

Abstract: This paper studies adverse interaction between credit and market risk. We develop a comprehensive Merton-type model, in which payment ability of borrowers is driven by the overall economic growth, while the level of their liabilities is sensitive to market variables. To illustrate the model, we apply numerical simulations to estimate credit, market and integrated Value at Risk from the loss distribution using industry-wide data from the Serbian banking sector. We show that—even after accounting for presence of market risk in the banking book—the total risk remains higher than the simple sum of credit and market risk. The results emphasize the importance of integrated approach to assessment of economic capital.

Jezik

engleski

Datum

2017

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-SA 4.0 - Creative Commons Autorstvo - Nekomercijalno - Deliti pod istim uslovima 4.0 International License.

http://creativecommons.org/licenses/by-nc-sa/4.0/legalcode

Predmet

Keywords: risk interaction integrated market and credit risk assessment banking book economic capital macroeconomic stress tests

Deo kolekcije (1)

o:28218

Ekonomski fakultet