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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
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 3-6-2005
Publisher: Administrator
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
Grundke, Peter Sign in to follow this author
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