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

In: Operations Research Proceedings 2005

Author

Listed:
  • Peter Grundke

    (University of cologne)

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.

Suggested Citation

  • Peter Grundke, 2006. "On the Applicability of a Fourier Based Approach to Integrated Market and Credit Portfolio Models," Operations Research Proceedings, in: Hans-Dietrich Haasis & Herbert Kopfer & Jörn Schönberger (ed.), Operations Research Proceedings 2005, pages 211-216, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-32539-0_34
    DOI: 10.1007/3-540-32539-5_34
    as

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