Integrated Market and Credit Portfolio Models : Risk Measurement and Computational Aspects

by Peter Grundke

Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk exposures can be aggregated to a comprehensive risk position. Furthermore, computational problems of determining a loss distribution that comprises various risk types are analyzed. 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.

MoreLess

Year of publication:	2008
Other Persons:	Grundke, Peter (contributor)
Publisher:	Wiesbaden : Betriebswirtschaftlicher Verlag Dr. Th. Gabler / GWV Fachverlage GmbH, Wiesbaden
Subject:	Importance Sampling Techniques for the Fourier-Based Approach \| Bankrisiko \| Bank risk \| Risikomanagement \| Risk management \| Kreditrisiko \| Credit risk \| Portfolio-Management \| Portfolio selection \| Finanzanalyse \| Financial analysis \| Analysis \| Mathematical analysis \| Theorie \| Theory \| Bank
Description of contents:	Table of Contents [external.dandelon.com] ; Description [swbplus.bsz-bw.de]

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (XXIV, 188p. 5 illus, digital)
Series:	SpringerLink / Bücher
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Hochschulschrift
Language:	English
Notes:	Zugl.: Köln, Univ., Habil.-Schr., 2006 Preliminary; Introduction; 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; Back matter;
ISBN:	978-3-8349-9689-3 ; 978-3-8349-0875-9
Other identifiers:	10.1007/978-3-8349-9689-3 [DOI]
Classification:	Banken, Versicherungen ; Geld, Inflation, Kapitalmarkt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013521007