Integrated Market and Credit Portfolio Models: Risk by Peter Grundlke

By Peter Grundlke

Because of their company actions, banks are uncovered to many alternative possibility varieties. Aggregating a number of danger exposures to a entire hazard posistion is a vital yet up to date now not satisfactorily solved job. This shortfall is going again to conceptual difficulties of making a suitable chance version and to the computational burden of identifying a loss distribution that contains all correct hazard varieties.

Show description

Read or Download Integrated Market and Credit Portfolio Models: Risk Measurement and Computational Aspects PDF

Best macroeconomics books

Currency competition and foreign exchange markets

Foreign money festival and foreign currencies Markets is a tremendous new theoretical and empirical learn of foreign currencies that specializes in the function the Euro (the destiny eu forex) will play within the overseas financial and fiscal approach, besides the united states buck and the japanese yen. not like a lot of the present literature that techniques the topic from a macroeconomic standpoint, Philipp Hartmann develops a theoretical version that makes use of video game thought, time sequence and panel econometrics, and hyperlinks monetary markets research with transaction expense economics.

Money, Crises, and Transition: Essays in Honor of Guillermo A. Calvo

Essays by means of admired students and policymakers honor the most influential macroeconomists of the final thirty years, discussing the subjects at the back of his paintings.

Market Socialism or the Restoration of Capitalism? (International Council for Central and East European Studies)

The cave in of communism in japanese Europe has raised a couple of questions in regards to the destiny process their economies. Has capitalism received or is whatever assorted rising? Has industry socialism vanished for sturdy? How can the transitionary interval be controlled and what influence will it have at the way of life in japanese Europe?

Handbook of Tourism Economics: Analysis, New Applications and Case Studies

Guide of Tourism Economics: research, New purposes and Case experiences offers an up to date, concise and readable insurance of crucial subject matters in tourism economics. It can pay realization to appropriate conventional subject matters in tourism economics in addition to interesting rising issues during this box -- themes that are anticipated to be of constant value.

Additional info for Integrated Market and Credit Portfolio Models: Risk Measurement and Computational Aspects

Example text

As it is assumed in the following that the random variable X r and the systematic credit risk factor Z , respectively, are correlated with the credit spreads, the rating transitions of the obligors, the risk-free interest rates, and the credit spreads are all pairwise correlated in this model. This extended model is applied to a credit portfolio consisting of N zero coupon bonds, with face value Fn and maturity date Tn issued by N different corporates. The price of a zero coupon bond at the risk horizon H , whose issuer n has not already defaulted until H and exhibits the rating η Hn ∈ {1,!

Denoting by Pn the vector of relevant option parameters, the (t = H ) − price C ( X r ; Pn ) of such an European call option without any counterparty risk is given in the term structure model of Vasicek (1977) by (see de Munnik (1996, pp. 19) Example of an Integrated Market and Credit Portfolio Model 17 with d1 = 1 υ § p ( X r ; ( H , Fn , Tn )) · υ ln ¨ ¸+ , C © X n p ( X r ;( H , Fn , Tn )) ¹ 2 d 2 = d1 − υ , and υ= C 1 σ r2 § 1 − e −κ (Tn −Tn ) 3 ¨ 2κ © ( ) − (e 2 −κ (Tn − H ) − e−κ (Tn C −H ) ) ·¸¹ .

Second, this chapter deviates from the usual CreditMetrics assumption of multivariate normally distributed asset returns. Instead, on one hand, a discrete mixture of normal distributions, originally proposed for modeling stock returns, is used as a distributional assumption for one of the systematic credit risk factors. On the other hand, a multivariate t − distribution is employed to model the joint behavior of the 17 Finally, an approach that is completely different from those described so far is pursued by Schlottmann, Mitschele and Seese (2005) who propose to use a multi-objective evolutionary algorithm for an integrated risk management.

Download PDF sample

Rated 4.84 of 5 – based on 16 votes