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

By: Grundke, Peter [author.].
Contributor(s): SpringerLink (Online service).
Material type: materialTypeLabelBookPublisher: Wiesbaden : Gabler, 2008.Description: XXIV, 188 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783834996893.Subject(s): Finance | Macroeconomics | Economics | Macroeconomics/Monetary Economics//Financial Economics | Finance, generalDDC classification: 339 Online resources: Click here to access online
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.
In: Springer eBooksSummary: 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.
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Item type Current location Call number Status Date due Barcode Item holds
E books E books PK Kelkar Library, IIT Kanpur
Available EBK7277
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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 -- Conclusions.

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.

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