Computational aspects of integrated market and credit portfolio models

DOI10.1007/S00291-006-0050-7MaRDI QIDQ2460076zbMATH OpenOpenAlexFDO

Authors Peter Grundke

Publication date 14 November 2007

Published in OR Spectrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00291-006-0050-7

zbMATH Keywords

credit portfolio modelcredit riskFourier transformsinterest rate riskvalue at risk

Mathematics Subject Classification ID

Review text

In this paper it is analyzed whether a Fourier-based approach can be an efficient tool for calculating risk measures in the context of a credit portfolio model with integrated market risk factors. For this purpose, this technique is applied to a version of the well-known credit portfolio model CreditMetrics, extended by correlated interest rate and credit spread risk. While Fourier based methods are reported to be superior to full Monte Carlo simulations for default mode models, this result cannot be confirmed for the integrated market and credit portfolio model used in the paper. Combining full Monte Carlo simulation with importance sampling technique the author shows that this yields better results, even for the integrated market and portfolio model.

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Cites work

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Cited in

(10)

• Adaptive integration for multi-factor portfolio credit loss models
• Computational issues in stress testing
• On the applicability of a Fourier based approach to integrated market and credit portfolio models
• Computational techniques for basic affine models of portfolio credit risk
• scientific article; zbMATH DE number 2151377 (Why is no real title available?)
• scientific article; zbMATH DE number 2151386 (Why is no real title available?)
• scientific article; zbMATH DE number 7450011 (Why is no real title available?)
• Measuring marginal risk contributions in credit portfolios
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