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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Integrated Market and Credit Portfolio Models: Risk Measurement and Computational Aspects

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

Hartmann-Wendels, Univ -Prof Dr Thomas
Grundke, Peter

Paperback

Series: Neue Betriebswirtschaftliche Forschung (Nbf), Book 361

EconomicsInvesting & Finance

ISBN10: 3834908754
ISBN13: 9783834908759
Publisher: Gabler Verlag
Published: Mar 26 2008
Pages: 188
Weight: 0.63
Height: 0.49 Width: 5.83 Depth: 8.27
Language: English
Banks are exposed to various kinds of risks; among them are credit default risks, market price risks and operational risks the most important ones. Aggregating these different risk ex- sures to a comprehensive risk position is an important, yet challenging and up to now un- solved task. Banks' current state of the art in risk management is still far away from achieving a fully integrated view of the risks they are exposed to. This shortfall traces back to both, to conceptual problems of constructing an appropriate risk model and to the computational b- den of calculating a loss distribution. The approach presented in this book takes credit default risk as a starting point. By integrating market risks, a general credit risk model is constructed that comprises the standard industry credit risk models as special cases. Within the framework of this general credit risk model, the effects of simplifying assumptions that are typical for standard credit risk models can be a- lyzed. Important insights gained by this analysis are that neglecting market price risks and losses given default correlated to default rates can cause a significant understatement of value at risk figures.

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