Peter Grundke

Integrated Market and Credit Portfolio Models (eBook, PDF)

Risk Measurement and Computational Aspects

• Format: PDF

Produktbeschreibung

Banks are exposed to various kinds of risks; among them are credit default risks, market price risks and operational risks the most important ones. Aggregating these different risk ex- sures to a comprehensive risk position is an important, yet challenging and up to now un- solved task. Banks’ current state of the art in risk management is still far away from achieving a fully integrated view of the risks they are exposed to. This shortfall traces back to both, to conceptual problems of constructing an appropriate risk model and to the computational b- den of calculating a loss distribution. The approach presented in this book takes credit default risk as a starting point. By integrating market risks, a general credit risk model is constructed that comprises the standard industry credit risk models as special cases. Within the framework of this general credit risk model, the effects of simplifying assumptions that are typical for standard credit risk models can be a- lyzed. Important insights gained by this analysis are that neglecting market price risks and losses given default correlated to default rates can cause a significant understatement of value at risk figures.

Produktdetails

• Verlag: Betriebswirtschaftlicher Verlag Gabler
• Erscheinungstermin: 15. August 2008
• Englisch
• ISBN-13: 9783834996893
• Artikelnr.: 37400519

Autorenporträt

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.

Inhaltsangabe

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.

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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