Integrated Market and Credit Portfolio Models: Risk Measurement and Computational Aspects (neue betriebswirtschaftliche forschung (nbf), 361)
Author: by Peter Grundke (Author), Univ.-Prof. Dr. Thomas Hartmann-Wendels (Foreword)
Publication Date: 2008-03-26
Language: English
Print Length: 212 pages
ISBN-10: 3834908754
ISBN-13: 9783834908759
Book Description
Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk exposures can be aggregated to a comprehensive risk position. Furthermore, computational problems of determining a loss distribution that comprises various risk types are analyzed.
From the Back Cover
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.
About the Author
Er leitet zur Zeit das Fachgebiet Finance an der Universität Osnabrück.
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