Integrated Market and Credit Portfolio Models Risk Measurement and Computational Aspects /

• Κύριος συγγραφέας: Grundke, Peter (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Gabler, 2008.
• Θέματα: Finance.; Macroeconomics.; Economics.; Macroeconomics/Monetary Economics//Financial Economics.; Finance, general.

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 mod...

Πίνακας περιεχομένων:

• 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.