18. Reasons for integrating the interest rate risk and credit risk functions include: (1) the need for
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18. Reasons for integrating the interest rate risk and credit risk functions include: (1) the need for comparability between returns on credit risk and interest rate risk, (2) the transactional interaction between credit and interest risk, and (3) the emergence of hybrid credit and interest risk structures.
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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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