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1. Choosing a value-at-risk model

3

2. Approach to stress testing

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3. Capital allocation

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4. Lessons from the crisis

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Best practices for estimating credit economic capital

Contents

Introduction Detailed findings

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McKinsey Working Papers on Risk is a new series presenting McKinsey's best current thinking on risk and risk management. The papers represent a broad range of views, both sector-specific and cross-cutting, and are intended to encourage discussion internally and externally. Working papers may be republished through other internal or external channels. Please address correspondence to the managing editor, Andrew Freeman, andrew_freeman@mckinsey.com

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