Within an internal model the Economic Scenario Generator (ESG) is an important component. In order to get a regulatory approval of an internal model it is required that the implemented models (must be) passed a rigorous validation process, see Ceiops [2009]. In this paper we focus on the...

Model risk as part of the operational risk is a serious problem for financial institutions. As the pricing of derivatives as well as the computation of the market or credit risk of an institution depend on statistical models the application of a wrong model can lead to a serious over- or...

Stochastische Grundlagen für das Risikomanagement von Kreditportfolien Neuere Entwicklungen im Portfolio- und Risikomanagement sind von der Suche nach quantitativen Modellen für die Risikobeurteilung motiviert. Mertons Firmenwertmodell wird in einem Portfoliokontext dargestellt. In diesem...