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.
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© 2008 Betriebswirtschaftlicher Verlag Dr. Th. Gabler | GWV Fachverlage GmbH, Wiesbaden
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(2008). On the Applicability of Fourier-Based Methods to Integrated Market and Credit Portfolio Models. In: Integrated Market and Credit Portfolio Models. Gabler. https://doi.org/10.1007/978-3-8349-9689-3_4
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DOI: https://doi.org/10.1007/978-3-8349-9689-3_4
Publisher Name: Gabler
Print ISBN: 978-3-8349-0875-9
Online ISBN: 978-3-8349-9689-3
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