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Interaction between market and credit risk: Focus on the endogeneity of aggregate risk

机译:市场与信用风险之间的相互作用:关注总体风险的内生性

摘要

As shown in the recent BCBS papers market and credit risks could reinforce each other in certain circumstances, meaning the sum of the parts might be less than an estimate of risk that takes into account the interactions between the two. Market risk factors have an ambiguous impact on the firms' repayment conditions because depreciation of domestic currency for instance favors exporters and harms importers. Within the task of a ‘top-down’ aggregation of market and credit risks this contribution presents a general framework to economic capital measurement and active portfolio management splitting exogenous risk factor influence throw different channels. The approach implies an exploiting of banks information about the clients' trade and cash flows related to global economic activity. The way to single out exposures to counterparties belonging to the same pattern of behavioural reactions to the market factors are considered as the bedrock of Factor endogenous behaviour aggregation (FEBA) approach.
机译:正如最近的BCBS论文所显示的,在某些情况下,市场和信用风险可能会相互增强,这意味着各部分的总和可能小于考虑到两者之间相互作用的风险估计。市场风险因素对企业的还款条件产生了模棱两可的影响,因为例如本币贬值有利于出口商而损害进口商。在“自上而下”的市场和信贷风险汇总的任务范围内,此贡献为经济资本计量和积极的投资组合管理提供了一个总体框架,将外在风险因素的影响分为不同的渠道。该方法意味着利用银行有关与全球经济活动有关的客户贸易和现金流量的信息。挑选与交易方同属一种对市场因素的行为反应模式的对手方敞口的方法,被认为是因素内源性行为聚合(FEBA)方法的基础。

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  • 作者

    Sokolov Yuri;

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  • 年度 2009
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  • 原文格式 PDF
  • 正文语种 {"code":"en","name":"English","id":9}
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