12-057/2 - Aggregating Credit and Market Risk: The Impact of Model Specification

• Authors
  Andre Lucas, VU University Amsterdam, and Duisenberg school of finance; Bastiaan Verhoef, Royal Bank of Scotland
• Publication date
  May 31, 2012

• Keywords
  risk aggregation, credit risk, market risk, link function, diversification, reduced form models, structural models
• JEL
  G32, G21, C58