The main risks of any financial product are market risk, credit risk, and liquidity risk. When we reference credit risk, we are including both market-based credit risk, where widening of credit spreads is indicative of credit quality deterioration, as well as counterparty credit risk. This may be caused by the loss in the market value of the portfolio holdings or market illiquidity.  Similarly, liquidity risk includes the funding liquidity as well as the market liquidity of different asset classes.  In general, these risks are treated separately as if they are totally Independent of each other. That assumption is untrue as any loss in market value impacts both funding costs as well as credit quality loss. Similarly, any loss in liquidity can impact the credit performance risk as well as the market prices of an asset.  If we measure the market, credit, and liquidity risk separately, this risk can be significantly understated as the coupling can be highly non-linear, thus increasing the losses several orders of magnitude.