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Keywords: Diversification benefit
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Journal Articles
Interest rate, liquidity, and sovereign risk: derivative-based VaR
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2017) 18 (4): 443–465.
Published: 21 August 2017
...Mariya Gubareva; Maria Rosa Borges Purpose The purpose of this paper is to study connections between interest rate risk and credit risk and investigate the inter-risk diversification benefit due to the joint consideration of these risks in the banking book containing sovereign debt. Design...
