Importance sampling for integrated market and credit portfolio models
DC Element | Wert | Sprache |
---|---|---|
dc.contributor.author | Grundke, Peter | |
dc.date.accessioned | 2021-12-23T16:01:05Z | - |
dc.date.available | 2021-12-23T16:01:05Z | - |
dc.date.issued | 2009 | |
dc.identifier.issn | 03772217 | |
dc.identifier.uri | https://osnascholar.ub.uni-osnabrueck.de/handle/unios/4761 | - |
dc.description.abstract | A sophisticated approach for computing the total economic capital needed for various stochastically dependent risk types is the bottom-up approach. In this approach, usually, market and credit risks of financial instruments are modeled simultaneously. As integrating market risk factors into standard credit portfolio models increases the computational burden of calculating risk measures, it is analyzed to which extent importance sampling techniques previously developed either for pure market portfolio models or for pure credit portfolio models can be successfully applied to integrated market and credit portfolio models. Specific problems which arise in this context are discussed. The effectiveness of these techniques is tested by numerical experiments for linear and non-linear portfolios. (c) 2007 Elsevier B.V. All rights reserved. | |
dc.description.sponsorship | Institute of Banking and Banking Law at the University of Cologne; I wish to thank Rainer Baule, Philippe Ehlers and in anonymous referee for their helpful comments. For stimulating discussions, I also thank the participants of the Campus for Finance Research Conference in Vallendar 2005, the Annual Meeting of the Swiss Society for Financial Market Research in Zurich 2005, and the European Meeting of the Financial Management Association in Stockholm 2005. Financial support of the Institute of Banking and Banking Law at the University of Cologne is gratefully acknowledged. | |
dc.language.iso | en | |
dc.publisher | ELSEVIER | |
dc.relation.ispartof | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | |
dc.subject | Bottom-up approach | |
dc.subject | Business & Economics | |
dc.subject | Credit risk | |
dc.subject | Importance sampling | |
dc.subject | Interest rate risk | |
dc.subject | Management | |
dc.subject | Operations Research & Management Science | |
dc.subject | RISK | |
dc.subject | Risk management | |
dc.subject | Value-at-risk | |
dc.title | Importance sampling for integrated market and credit portfolio models | |
dc.type | journal article | |
dc.identifier.doi | 10.1016/j.ejor.2007.12.028 | |
dc.identifier.isi | ISI:000261133700017 | |
dc.description.volume | 194 | |
dc.description.issue | 1 | |
dc.description.startpage | 206 | |
dc.description.endpage | 226 | |
dc.identifier.eissn | 18726860 | |
dc.publisher.place | RADARWEG 29, 1043 NX AMSTERDAM, NETHERLANDS | |
dcterms.isPartOf.abbreviation | Eur. J. Oper. Res. | |
crisitem.author.dept | FB 09 - Wirtschaftswissenschaften | - |
crisitem.author.deptid | fb09 | - |
crisitem.author.parentorg | Universität Osnabrück | - |
crisitem.author.netid | GrPe882 | - |
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geprüft am 04.05.2024