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

• Main Author: Grundke, Peter (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Gabler, 2008.
• Subjects: 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...

Table of Contents:

• 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.