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

Hartmann-Wendels, Univ.-Prof. Dr. Thomas

ISBN 10: 3834908754 / ISBN 13: 9783834908759

Published by Gabler Verlag 2008-03, 2008

About this Item

Seller Inventory # 6666-IUK-9783834908759

Bibliographic Details

• Title: Integrated Market and Credit Portfolio Models : Risk Measurement and Computational Aspects
• Publisher: Gabler Verlag 2008-03
• Publication Date: 2008
• Language: English
• ISBN 10: 3834908754
• ISBN 13: 9783834908759
• Binding: PF
• Condition: New

About this title

Synopsis

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.

About the Author

PD Dr. Peter Grundke habilitierte am Seminar für Allgemeine Betriebswirtschaftslehre und Bankbetriebslehre der Universität zu Köln.
Er leitet zur Zeit das Fachgebiet Finance an der Universität Osnabrück.