Integrated market and credit portfolio models : risk measurement and computational aspects
著者
書誌事項
Integrated market and credit portfolio models : risk measurement and computational aspects
（Neue betriebswirtschaftliche Forschung, 361）（Gabler Edition Wissenschaft）
Gabler, 2008
1st ed
大学図書館所蔵 件 / 全1件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Originally presented as the author's thesis (Habilitationsschrift)--Universität zu Köln, 2006
Bibliography: p. [167]-188
内容説明・目次
内容説明
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.
目次
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
「Nielsen BookData」 より
