Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

credit sign in to follow this
portfolio sign in to follow this
risk sign in to follow this
interest sign in to follow this
rate sign in to follow this
Categories:

VaR Uses sign in to follow this
--Credit Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Risk Measurement With Integrated Market and Credit Portfolio Models
Company: University of Cologne
Year Of Publication: 2005
Month Of Publication: February
Pages: 39
Download Count: 776
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 3-6-2005
Publisher: Administrator
Summary
This paper studies the effect on economic capital from integrating interest rate and credit spread risk into creditportfolio models. By using fixed forward rates, most credit portfolio models currently employed in the bankingindustry ignore these risk factors. In contrast to previous studies, this paper accounts for correlated transitionrisk, credit spread risk, interest rate risk and also recovery rate risk. The simulations show that the error madewhen neglecting the stochastic nature of interest rates or credit spreads is significant, especially for high qualitycredit portfolios with low correlations between the obligors’ asset returns
Author(s)
Grundke, Peter Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile