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.
| ISBN: | 9783834908759 |
| Publication date: | 26th March 2008 |
| Author: | Peter Grundke |
| Publisher: | Gabler Verlag |
| Format: | Paperback |
| Pagination: | 188 pages |
| Series: | Neue Betriebswirtschaftliche Forschung (Nbf) |
| Genres: |
Macroeconomics Finance and the finance industry |
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.
Integrated Market and Credit Portfolio Models features in the following genres: Macroeconomics, Finance and the finance industry
Integrated Market and Credit Portfolio Models is available in Paperback
Integrated Market and Credit Portfolio Models was written by Peter Grundke and published by Gabler Verlag
Integrated Market and Credit Portfolio Models has 188 pages
Yes it is part of Neue Betriebswirtschaftliche Forschung (Nbf) series