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Due to their business activities, banks are exposed to many
different risk types. Peter Grundke shows how various risk
exposures can be aggregated to a comprehensive risk position.
Furthermore, computational problems of determining a loss
distribution that comprises various risk types are analyzed.
Peter Grundke vergleicht die Bewertungsergebnisse verschiedener
Ansatze zur Bestimmung risikoadaquater Preise fur ausfallbedrohte
Finanztitel. Er analysiert zudem ratingbasierte Bewertungsmodelle,
entwickelt realitatsnahere Modellvarianten und bewertet innerhalb
dieser zahlreiche Kreditderivatformen. Um die Unterschatzung
unerwarteter Verluste eines Kreditportfolios zu vermeiden,
verknupft er daruber hinaus ratingbasierte Bewertungsmodelle mit im
Risikomanagement verwendeten Kreditportfoliomodellen.
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