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Zeitabhngige Kreditportfoliomodelle

Zeitabhngige Kreditportfoliomodelle

Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783824475087
Condition
New
Product Description

Vernderungen der Wirtschaftsstrukturen, z. B. eine deutliche Zunahme der Unternehmensinsolvenzen, und neue Rahmenbedingungen an den internationalen Finanzmrkten verstrken im Kreditgeschft der Finanzinstitute den Druck, verfeinerte Risikomessmethoden zu entwickeln und Kreditrisiken aktiv zu steuern. Michael Knapp zeigt vor diesem Hintergrund Mglichkeiten einer zeitabhngigen, im Sinne der Baseler Terminologie "bedingten Modellierung" des Kreditportfoliorisikos auf. Dabei erfolgt die Entwicklung des methodischen Grundkonzepts zur dynamischen Modellierung insbesondere fr die zentralen Risikodeterminanten Ausfallwahrscheinlichkeit und Ausfallkorrelation. In mehreren Simulationsstudien wird der entwickelte Modellansatz berprft.

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