The shock of the interaction

The financial crisis has forced a rethink on how banks and regulators approach enterprise risk management. For many institutions, different risk types have historically been measured and managed separately across positions, then aggregated to come up with a single, enterprise-wide view of risk.

However, the recent market malaise has shown the distinctions between market risk and credit risk are a lot more blurred than many people had thought. In fact, the two risk types have been shown to