Weaving an integrated solution

The need to integrate credit and market risk analytics has become widely accepted since the financial shocks of the late 1990s. The Asian, Brazilian and Russian crises taught dealers and investors that looking at market risk in isolation could prove disastrous. In many cases, credit and market risks turned out to be correlated. More recently, the decline in corporate (and some sovereign) credit quality and the increase in the complexity of credit instruments and credit risk mitigation tools

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