search query: @indexterm Risk analysis / total: 590
reference: 64 / 590
Author: | Grundke, P. |
Title: | Berucksichtigung des Zinsanderungsrisikos bei der Neubewertung am Risikohorizont in Kreditportfoliomodellen |
Journal: | Zeitschrift für Betriebswirtschaft
2002 : DEC, VOL. 72:12, p. 1241-1268 |
Index terms: | INTEREST RATES RISK ANALYSIS MODELS FINANCE |
Language: | ger |
Abstract: | At first, typical shortcomings of the revaluation process at the risk horizon, which can be found in most credit risk models, are analyzed. These deficits are due to a lack of stochastic modeling of risk factors, such as interest rates or rating specific spreads. Within the simple credit risk model of the IRB-approach with additional interest rate risk the effect of a disregard of the stochastic nature of market risk factors is shown for a homogeneous portfolio of defaultable zero coupon bonds. As expected, the consequence of ignoring interest rate risk can be that not enough capital is allocated as a protection against an un expected deterioration of the portfolio's value. The difference between the VaR with and without considering interest rate risk is especially high for low correlations o asset returns and for low probabilities of default (original in German). |
SCIMA