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On the applicability of a fourier based approach to integrated market and credit portfolio models
Grundke, Peter - In: Operations research proceedings 2005 : selected papers …, (pp. 211-216). 2006
Persistent link: https://www.econbiz.de/10003347533
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Importance sampling for integrated market and credit portfolio models
Grundke, Peter - In: European journal of operational research : EJOR 194 (2009) 1, pp. 206-226
Persistent link: https://www.econbiz.de/10003835434
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Computational aspects of integrated market and credit portfolio models
Grundke, Peter - In: OR spectrum : quantitative approaches in management 29 (2007) 2, pp. 259-294
Persistent link: https://www.econbiz.de/10003464172
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Die Messung der Kreditportfoliorisiken bei Banken
Grundke, Peter - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 37 (2008) 4, pp. 538-550
Persistent link: https://www.econbiz.de/10003683983
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On the reliability of integrated risk measurement in practice
Grundke, Peter - In: Journal of risk 15 (2012/13) 3, pp. 87-110
Persistent link: https://www.econbiz.de/10009732826
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Reverse Stresstests mit integrierten Risikomanagementansätzen : Bottom-up-Ansätze bieten geeigneten Modellrahmen
Grundke, Peter - In: Finanzierung, Leasing, Factoring : FLF 58 (2011) 1, pp. 38-41
Persistent link: https://www.econbiz.de/10008772560
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Risk aggregation and computation of total economic capital
Grundke, Peter - In: The VaR implementation handbook, (pp. 229-251). 2009
Persistent link: https://www.econbiz.de/10003827006
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Ranking consistency of systemic risk measures : a simulation-based analysis in a banking network model
Grundke, Peter - In: Review of quantitative finance and accounting 52 (2019) 4, pp. 953-990
Persistent link: https://www.econbiz.de/10012172866
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Approaches to generate the loss distribution
Grundke, Peter; Moosbrucker, Thomas - In: The definitive guide to CDOs : market, application, …, (pp. 161-185). 2008
Persistent link: https://www.econbiz.de/10003918685
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Integrated market and credit portfolio models : risk measurement and computational aspects
Grundke, Peter - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003631757