| 書目名稱 | Integrated Market and Credit Portfolio Models |
| 副標題 | Risk Measurement and |
| 編輯 | Peter Grundke |
| 視頻video | http://file.papertrans.cn/469/468550/468550.mp4 |
| 叢書名稱 | neue betriebswirtschaftliche forschung (nbf) |
| 圖書封面 |  |
| 描述 | 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. |
| 出版日期 | Book 2008 |
| 關(guān)鍵詞 | Fourier Transformation; Market Risk; Portfolio; Portfolio Modell; Risikostreuung; Value at Risk |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-8349-9689-3 |
| isbn_softcover | 978-3-8349-0875-9 |
| isbn_ebook | 978-3-8349-9689-3Series ISSN 0175-8802 Series E-ISSN 2945-8129 |
| issn_series | 0175-8802 |
| copyright | Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2008 |
|Archiver|手機版|小黑屋|
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