Integrated Market and Credit Portfolio Models / neue betriebswirtschaftliche forschung (nbf) Bd.361 (PDF)
Risk Measurement and Computational Aspects
(Sprache: Englisch)
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...
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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.
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.
Autoren-Porträt von Peter Grundke
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.
Bibliographische Angaben
- Autor: Peter Grundke
- 2008, 2008, 188 Seiten, Englisch
- Verlag: Gabler, Betriebswirt.-Vlg
- ISBN-10: 3834996890
- ISBN-13: 9783834996893
- Erscheinungsdatum: 15.08.2008
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- Größe: 3.19 MB
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Sprache:
Englisch
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