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...

ver descrição completa

Na minha lista:
Detalhes bibliográficos
Principais autores: Grundke, Peter., SpringerLink (Online service)
Formato: Digital
Publicado em:
Assuntos:
Administração financeira.
Direito bancário.
Finanças.
Economia.
Endereço do item:http://dx.doi.org/10.1007/978-3-8349-9689-3
Tags: Adicionar Tag
Sem tags, seja o primeiro a adicionar uma tag!
id oai:localhost:123456789-130149
record_format dspace
spelling oai:localhost:123456789-1301492023-07-17T15:09:26Z Integrated Market and Credit Portfolio Models Risk Measurement and Computational Aspects / Grundke, Peter. SpringerLink (Online service) Administração financeira. Direito bancário. Finanças. Economia. 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. 0 2022-10-06T08:00:03Z 2022-10-06T08:00:03Z 2008. Digital 658.15 G889i 9783834996893 198744 http://dx.doi.org/10.1007/978-3-8349-9689-3 http://dx.doi.org/10.1007/978-3-8349-9689-3
institution Acervo SISBI
collection SIGAA
topic Administração financeira.
Direito bancário.
Finanças.
Economia.
spellingShingle Administração financeira.
Direito bancário.
Finanças.
Economia.
Grundke, Peter.
SpringerLink (Online service)
Integrated Market and Credit Portfolio Models Risk Measurement and Computational Aspects /
description 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.
format Digital
author Grundke, Peter.
SpringerLink (Online service)
author_facet Grundke, Peter.
SpringerLink (Online service)
author_sort Grundke, Peter.
title Integrated Market and Credit Portfolio Models Risk Measurement and Computational Aspects /
title_short Integrated Market and Credit Portfolio Models Risk Measurement and Computational Aspects /
title_full Integrated Market and Credit Portfolio Models Risk Measurement and Computational Aspects /
title_fullStr Integrated Market and Credit Portfolio Models Risk Measurement and Computational Aspects /
title_full_unstemmed Integrated Market and Credit Portfolio Models Risk Measurement and Computational Aspects /
title_sort integrated market and credit portfolio models risk measurement and computational aspects /
publishDate 2022
url http://dx.doi.org/10.1007/978-3-8349-9689-3
work_keys_str_mv AT grundkepeter integratedmarketandcreditportfoliomodelsriskmeasurementandcomputationalaspects
AT springerlinkonlineservice integratedmarketandcreditportfoliomodelsriskmeasurementandcomputationalaspects
_version_ 1771689467458879488

Registros relacionados