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- Title
An economic capital model integrating credit and interest rate risk in the banking book.
- Abstract
The article reports on the significance of economic capital model in integrating credit and interest rate risk in the banking book in Great Britain. It states that the model explicitly links the systematic component of the risks to common set of macroeconomic factors. It demonstrates that traditional banking book risks do not generate perverse interactions. It suggests banks to work on the assumption that additive rules are not reliable and could led to underestimating economic capital.
- Subjects
UNITED Kingdom; BANKING industry; CREDIT risk; INTEREST rates; MACROECONOMICS; ECONOMIC indicators
- Publication
Bank of England Quarterly Bulletin, 2010, Vol 50, Issue 2, p129
- ISSN
0005-5166
- Publication type
Article