This paper first provides a simple but very general framework for credit portfolio modellingwhich is based on the distinction between systematic and unsystematic risk. Unsystematicor borrower-specific risk vanishes through diversification in a very large, infinitelyfine-grained portfolio. The...

Value at risk (VaR) is today the standard tool in risk management for banks and other financial institutions. It is defined as the worst loss for a given confidence level: For a confidence level of e.g. p=99%, one is 99% certain that at the end of a chosen risk horizon there will be no greater...

Die offensichtlich zunehmende Volatilität an den Finanzmärkten verbunden mit immer häufiger auftretenden extremen Ausschlägen sind der Grund für die wachsende Bedeutung des finanziellen Risikomanagements. In den letzten Jahren hat sich die Value-at-Risk-Methodik in diesem Zusammenhang als...