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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
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