Title: Integrated Market and Credit Portfolio Models: Risk Measurement and Computational Aspects (neue betriebswirtschaftliche forschung (nbf), 361)
Publisher: Gabler Verlag
Publication Date: 2008
Language: English
ISBN 10: 3834908754
ISBN 13: 9783834908759
Binding: Soft cover
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 f�r Allgemeine Betriebswirtschaftslehre und Bankbetriebslehre der Universit�t zu K�ln.
Er leitet zur Zeit das Fachgebiet Finance an der Universit�t Osnabr�ck.

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