Integrated Market and Credit Portfolio Models

Language: English

Published by Gabler Verlag, Gabler Verlag Mär 2008, 2008

3834908754 / 9783834908759

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Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germanybuchversandmimpf2000

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Softcover

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This item is printed on demand - Print on Demand Titel. Neuware -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 model and to the computational burden of determining a loss distribution that comprises all relevant risk types.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.Gabler, Betriebswirt.-Vlg, Abraham-Lincoln-Str. 46, 65189 Wiesbaden 216 pp. Englisch.…

Seller Inventory # 9783834908759

Title
Integrated Market and Credit Portfolio Models
Author
Peter Grundke
Publisher
Gabler Verlag, Gabler Verlag Mär 2008
Publication year
2008
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3834908754
ISBN 13
9783834908759
Item weight
286 grams
Dimensions
210x148x12 mm

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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AbeBooks seller since January 23, 2017

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Impressum Thorsten Retsch Buchversand Mimpf2000 Oberölschnitz 16 95517 Emtmannsberg Deutschland Telefon: 09209-2023188 Email: mimpf2000@online.de USt-ID-Nr.: DE 235096871 Wir führen gebrauchte Bücher aus allen Sparten der Literatur

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