Klaus Böcker

UniCredit Group

Via Andegari, 12

Milan, 20122

Italy

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Scholarly Papers (1)

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Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation

Bundesbank Series 2 Discussion Paper No. 2008,11
Number of pages: 52 Posted: 08 Jun 2016
Klaus Böcker and Martin Hillebrand
UniCredit Group and Technische Universität München (TUM)
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Abstract:

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Risk aggregation, Inter-risk correlation, economic capital, ICAAP, diversification