Integrated Market and Credit Portfolio Models Risk Measurement and Computational Aspects
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 mod...
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| Format: | eBook |
| Language: | English |
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Wiesbaden
Gabler Verlag
2008, 2008
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| Edition: | 1st ed. 2008 |
| Series: | neue betriebswirtschaftliche forschung (nbf)
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| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
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
- Conclusions