Isbn: 9783834908759 - integrated market and credit portfolio models: risk measurement and computational aspects: 361 (13 risultati)

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Taschenbuch. Condizione: Neu. Integrated Market and Credit Portfolio Models | Risk Measurement and Computational Aspects | Peter Grundke | Taschenbuch | neue betriebswirtschaftliche forschung (nbf) | xxiv | Englisch | 2008 | Gabler Verlag | EAN 9783834908759 | Verantwortliche Person für die EU: Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. …

Condizione: Sehr gut. Zustand: Sehr gut | Sprache: Englisch | Produktart: Bücher | 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.…

Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Due to theirbusiness 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. 216 pp. Englisch.…

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Kartoniert / Broschiert. Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. PD Dr. Peter Grundke habilitierte am Seminar fuer Allgemeine Betriebswirtschaftslehre und Bankbetriebslehre der Universitaet zu Koeln.Er leitet zur Zeit das Fachgebiet Finance an der Universitaet Osnabrueck.Due to their business activities, banks are.…

Taschenbuch. Condizione: Neu. 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.…