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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Wiesbaden :
Gabler Verlag : Imprint: Gabler Verlag,
2008.
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| Edición: | 1st ed. 2008. |
| Colección: | neue betriebswirtschaftliche forschung (nbf),
361 |
| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- The Integrated Market and Credit Portfolio Model
- Effects of Integrating Market Risk into Credit Portfolio Models
- On the Applicability of Fourier-Based Methods to Integrated Market and Credit Portfolio Models
- Importance Sampling for Integrated Market and Credit Portfolio Models
- Conclusions.