Integrated Market and Credit Portfolio Models: Risk Measurement and Computational Aspects
Gabler | 2008 | ISBN: 3834908754 | Pages: 188 | PDF | 2.72 MB


Due to their business activities, banks are exposed to many different risk types. Aggregating various risk exposures to a comprehensive risk posistion is an important but up-to-date not satisfactorily solved task. This shortfall goes back to conceptual problems of constructing an appropriate risk model and to the computational burden of determining a loss distribution that comprises all relevant