Isbn: 9783834908759 - integrated market and credit portfolio models: risk measurement and computational aspects (neue betriebswirtschaftliche forschung (nbf), band 361) (5 Ergebnisse)

Zustand: New. In English.

Paperback. Zustand: Brand New. 2008 edition. 212 pages. 8.20x5.80x0.30 inches. In Stock.

Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Zustand: 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. …

Zustand: 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.…