Advertisement

On the Applicability of Fourier-Based Methods to Integrated Market and Credit Portfolio Models

Abstract

In the last chapter, we have seen that the missing stochastic modeling of market risk factors in standard credit portfolio models can cause an underestimation of economic capital, especially for high grade credit portfolios with a low stochastic dependence between the obligors’ credit quality changes.

Keywords

Credit Spread Credit Portfolio Zero Coupon Bond Systematic Risk Factor Numerical Integration Rule 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Betriebswirtschaftlicher Verlag Dr. Th. Gabler | GWV Fachverlage GmbH, Wiesbaden 2008

Personalised recommendations