Combine market, credit and liquidity risk simultaneously

Market risk and credit risk are usually measured separately with liquidity risk added as an afterthought

For a variety of reasons, it is common practice for investment managers to treat market risk separately from credit risk and both of them separately from liquidity risk. Market risk is considered to be carried by securities sensitive to factors such as equity or commodity markets and treasury, Libor and foreign exchange rates. Similarly, credit risk is deemed carried by corporate bonds, mortgages, commercial and leveraged loans. While both of these groups are subject to liquidity risk, it is