On the Applicability of a Fourier Based Approach to Integrated Market and Credit Portfolio Models

Peter Grundke ()
Additional contact information
Peter Grundke: University of cologne

A chapter in Operations Research Proceedings 2005, 2006, pp 211-216 from Springer

Abstract: Abstract Based on a version of the well-known credit portfolio model CreditMetrics extended by correlated interest rate and credit spread risk the application of a Fourier based method for calculating credit risk measures is demonstrated. The accuracy and speed of this method is compared with standard Monte Carlo simulation by means of numerical experiments.

Keywords: Credit Risk; Credit Spread; Credit Portfolio; Zero Coupon Bond; Numerical Integration Rule (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-540-32539-0_34

Ordering information: This item can be ordered from
http://www.springer.com/9783540325390

DOI: 10.1007/3-540-32539-5_34

Access Statistics for this chapter

More chapters in Operations Research Proceedings from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().