Integrated Market and Credit Risk Management of Fixed Income Portfolios

Roger Walder
Additional contact information
Roger Walder: University of Lausanne, FAME and Banque Cantonale Vaudoise

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: In this paper, we present an integrated framework for the measurement and management of market and credit risk in fixed income portfolios. The framework based on the Mark-to-Future approach promoted by Algorithmics is used to analyze the contribution of market and credit risk to portfolio risk and determine the possible benefits of integration. The bonds and derivatives in the portfolio are priced using an affine term structure model where default risk is modeled with the intensity approach. The economic analysis of the market and credit risk integration delivers useful implications for the management of fixed income portfolios and the determination of regulatory capital requirements.

Keywords: Risk Management; Credit Risk Modeling; Default Correlation (search for similar items in EconPapers)
JEL-codes: G2 G28 G33 (search for similar items in EconPapers)
Date: 2002-11
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.fame.ch/library/EN/RP62.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.fame.ch/library/EN/RP62.pdf [301 Moved Permanently]--> http://fame.ch/library/EN/RP62.pdf)

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:fam:rpseri:rp62

Access Statistics for this paper

More papers in FAME Research Paper Series from International Center for Financial Asset Management and Engineering Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().