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

  • Grundke P
Springer Berlin Heidelberg, (2006), 211-216
DOI: 10.1007/3-540-32539-5_34
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Abstract

For calculating risk measures of credit portfolios, such as Value-at-Risk or ex- pected shortfall, a range of models have been developed. Most of them rely on Monte Carlo simulations for calculating the probability distribution of the

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Grundke, P. (2006). On the Applicability of a Fourier Based Approach to Integrated Market and Credit Portfolio Models. In Operations Research Proceedings 2005 (pp. 211–216). Springer Berlin Heidelberg. https://doi.org/10.1007/3-540-32539-5_34

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