ERM Frameworks and Responses to risk [77]

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Bullet points include: Can, for example, justify limits that scale approximately 1:2:3 for BBB:A:AA rated corporate debt Although some dependency on term, so include duration dependency? Credit rating Recovery rates (for differing years before default)[1] Annualised default probabilities (for differing bond terms)[2] Aa/AA A/A Baa/BBB

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