17. Applications of credit VaR include: prioritizing risk-reducing actions (including targeting largest absolute exposure, largest percentage level

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17. Applications of credit VaR include: prioritizing risk-reducing actions (including targeting largest absolute exposure, largest percentage level of risk and volatility, and largest absolute amount of risk) and setting exposure limits and concentration limits.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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