Combine market, credit and liquidity risk simultaneously

Separate treatments can lead to underestimation of total risk

asia markets

For a variety of reasons, it is common practice for investment managers to treat market risk separately from credit risk and both of them separately from liquidity risk. Market risk is considered to be carried by securities sensitive to factors such as equity or commodity markets and treasury, Libor and foreign exchange rates. Similarly, credit risk is deemed carried by corporate bonds, mortgages, commercial and leveraged loans. While both of these groups are subject to liquidity risk, it is oft

To continue reading...

You must be signed in to use this feature.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: