Integrated Market and Credit Portfolio Models

Risk Measurement and Computational Aspects
2008
ISBN: 978-3-8349-0875-9
Verlag: Gabler Verlag

Buch, Englisch, Band 361, 188 Seiten, Paperback, Format (B × H): 148 mm x 210 mm, Gewicht: 286 g

Reihe: neue betriebswirtschaftliche forschung (nbf)

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.

Zielgruppe

Research

Autoren/Hrsg.

Grundke, Peter

Weitere Mitwirkende

Hartmann-Wendels, Univ.-Prof. Dr. Thomas

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe

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.- Conclusions.

Über Autor(innen)

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.