Importance sampling for integrated market and credit portfolio models

DC FieldValueLanguage
dc.contributor.authorGrundke, Peter
dc.date.accessioned2021-12-23T16:01:05Z-
dc.date.available2021-12-23T16:01:05Z-
dc.date.issued2009
dc.identifier.issn03772217
dc.identifier.urihttps://osnascholar.ub.uni-osnabrueck.de/handle/unios/4761-
dc.description.abstractA 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.sponsorshipInstitute 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.isoen
dc.publisherELSEVIER
dc.relation.ispartofEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
dc.subjectBottom-up approach
dc.subjectBusiness & Economics
dc.subjectCredit risk
dc.subjectImportance sampling
dc.subjectInterest rate risk
dc.subjectManagement
dc.subjectOperations Research & Management Science
dc.subjectRISK
dc.subjectRisk management
dc.subjectValue-at-risk
dc.titleImportance sampling for integrated market and credit portfolio models
dc.typejournal article
dc.identifier.doi10.1016/j.ejor.2007.12.028
dc.identifier.isiISI:000261133700017
dc.description.volume194
dc.description.issue1
dc.description.startpage206
dc.description.endpage226
dc.identifier.eissn18726860
dc.publisher.placeRADARWEG 29, 1043 NX AMSTERDAM, NETHERLANDS
dcterms.isPartOf.abbreviationEur. J. Oper. Res.
crisitem.author.deptFB 09 - Wirtschaftswissenschaften-
crisitem.author.deptidfb09-
crisitem.author.parentorgUniversität Osnabrück-
crisitem.author.netidGrPe882-
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