Integrated Market and Credit Portfolio Models

1. Front Matter

   Pages i-xxiv

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2. Introduction

   Pages 1-5

3. The Integrated Market and Credit Portfolio Model

   Pages 7-18

4. Effects of Integrating Market Risk into Credit Portfolio Models

   Pages 19-61

5. On the Applicability of Fourier-Based Methods to Integrated Market and Credit Portfolio Models

   Pages 63-98

6. Importance Sampling for Integrated Market and Credit Portfolio Models

   Pages 99-155

7. Conclusions

   Pages 157-159

8. Back Matter

   Pages 161-188

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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.

• Fourier Transformation
• Market Risk
• Portfolio
• Portfolio Modell
• Risikostreuung
• Value at Risk

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.

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