HUDU

Integrated Market and Credit Portfolio Models


€ 82,49
 
kartoniert
Noch nicht erschienen
März 2008

Beschreibung

Beschreibung

Due to theirbusiness 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.

Inhaltsverzeichnis

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 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

Portrait

: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.
EAN: 9783834908759
ISBN: 3834908754
Untertitel: Risk Measurement and Computational Aspects. 'nbf neue betriebswirtschaftliche forschung'. Habilitationsschrift Universität zu Köln, 2006. 5 Schwarz-Weiß- Abbildungen, 30 Schwarz-Weiß- Tabellen. Book. Sprache: Englisch.
Verlag: Gabler, Betriebswirt.-Vlg
Erscheinungsdatum: März 2008
Seitenanzahl: xxiv
Format: kartoniert
Es gibt zu diesem Artikel noch keine Bewertungen.Kundenbewertung schreiben