Die Zielgruppen Dozierende und Studierende der Wirtschaftswissenschaften mit Schwerpunkt Risk Management Praktiker in der …

Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi … anderer etablierter Märkte, auf denen das Kreditrisiko relevant ist, sowie dem des externen Rating gegenüber. Sie zeigt …

Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under … Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector … Concentration Risk in Credit Portfolios -- Conclusion …

and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade … ratio and the reward-to-VaR ratio are proposed for loan portfolios although it is not assessed whether their risk … optimal risk-return trade-offs of commercial banks and to compare them with those of reward-to-risk ratios. The risk …

The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of … of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story … mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference …

structures as well as for risk management and measurement applications involving the generation of scenarios for the complete … universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially …

Dimensionen Rendite und Risiko sind daher immer gemeinsam zu betrachten, um Fehlallokationen zu vermeiden. Jens Daum untersucht …

Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk … exposures can be aggregated to a comprehensive risk position. Furthermore, computational problems of determining a loss … distribution that comprises various risk types are analyzed. PD Dr. Peter Grundke habilitierte am Seminar für Allgemeine …