Integrated Market and Credit Portfolio Models: Risk Measurement and Computational Aspects: neue betriebswirtschaftliche forschung (nbf), cartea 361
Autor Peter Grundke Cuvânt înainte de Univ.-Prof. Dr. Thomas Hartmann-Wendelsen Limba Engleză Paperback – 26 mar 2008
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Specificații
ISBN-13: 9783834908759
ISBN-10: 3834908754
Pagini: 212
Ilustrații: XXIV, 188 p.
Dimensiuni: 148 x 210 x 14 mm
Greutate: 0.29 kg
Ediția:2008
Editura: Gabler Verlag
Colecția Gabler Verlag
Seria neue betriebswirtschaftliche forschung (nbf)
Locul publicării:Wiesbaden, Germany
ISBN-10: 3834908754
Pagini: 212
Ilustrații: XXIV, 188 p.
Dimensiuni: 148 x 210 x 14 mm
Greutate: 0.29 kg
Ediția:2008
Editura: Gabler Verlag
Colecția Gabler Verlag
Seria neue betriebswirtschaftliche forschung (nbf)
Locul publicării:Wiesbaden, Germany
Public țintă
ResearchCuprins
The Integrated Market and Credit Portfolio Model.- Effects of Integrating Market Risk into Credit Portfolio Models.- On the Applicability of Fourier-Based Methods to Integrated Market and Credit Portfolio Models.- Importance Sampling for Integrated Market and Credit Portfolio Models.- Conclusions.
Notă biografică
PD Dr. Peter Grundke habilitierte am Seminar für Allgemeine Betriebswirtschaftslehre und Bankbetriebslehre der Universität zu Köln.
Er leitet zur Zeit das Fachgebiet Finance an der Universität Osnabrück.
Er leitet zur Zeit das Fachgebiet Finance an der Universität Osnabrück.
Textul de pe ultima copertă
Due to their business activities, banks are exposed to many different risk types. Aggregating various risk exposures to a comprehensive risk position is an important but up-to-date not satisfactorily solved task. This shortfall goes back to conceptual problems of constructing an appropriate risk model and to the computational burden of determining a loss distribution that comprises all relevant risk types.
Peter Grundke deals with both problems. On the one hand, he extends a standard credit portfolio model by correlated interest rate and credit spread risk. The analysis shows that the economic capital needed as a buffer to absorb unexpected losses in a portfolio can be severely underestimated when relevant market risk factors are neglected. On the other hand, computational aspects are addressed. Particularly those problems are discussed which arise when computational tools developed for standard portfolio models are applied to integrated market and credit portfolio models.
Peter Grundke deals with both problems. On the one hand, he extends a standard credit portfolio model by correlated interest rate and credit spread risk. The analysis shows that the economic capital needed as a buffer to absorb unexpected losses in a portfolio can be severely underestimated when relevant market risk factors are neglected. On the other hand, computational aspects are addressed. Particularly those problems are discussed which arise when computational tools developed for standard portfolio models are applied to integrated market and credit portfolio models.