Integrated market and credit portfolio models : risk measurement and computational aspects
Author(s)
Bibliographic Information
Integrated market and credit portfolio models : risk measurement and computational aspects
（Neue betriebswirtschaftliche Forschung, 361）（Gabler Edition Wissenschaft）
Gabler, 2008
1st ed
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Note
Originally presented as the author's thesis (Habilitationsschrift)--Universität zu Köln, 2006
Bibliography: p. [167]-188
Description and Table of Contents
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.
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
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