Advanced Search
MyIDEAS: Login to save this paper or follow this series

Modellierung des Kreditrisikos im Portfoliofall

Contents:

Author Info

  • Cremers, Heinz
  • Walzner, Jens
Registered author(s):

    Abstract

    The current financial market crisis has impressively demonstrated the importance of an effective credit risk management for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised as a result of the crisis. Over the past decade, credit derivatives emerged as an important part of credit risk management as these offer a broad range of possibilities to reduce credit risk through active credit portfolio management. This has represented a quantum leap in the further development of credit risk management. Credit risk management without using credit derivatives no longer seems to be an appropriate alternative. However, correct valuation of these derivatives is still challenging. The crisis has demonstrated that the issue is less about using credit derivatives than about developing valid valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These models are the key focus of this working paper. --

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://econstor.eu/bitstream/10419/27933/1/608554499.PDF
    Download Restriction: no

    Bibliographic Info

    Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 127.

    as in new window
    Length:
    Date of creation: 2009
    Date of revision:
    Handle: RePEc:zbw:fsfmwp:127

    Contact details of provider:
    Postal: Sonnemannstra├če 9-11, 60314 Frankfurt am Main
    Phone: 069 154008-0
    Web page: http://www.frankfurt-school.de/
    More information through EDIRC

    Related research

    Keywords: Credit risk pricing models; asset-based models; asset-value models; structural models; intensity-based models; reduced-form models; credit derivatives; credit default swap; pricing; valuation; default spread; risk management; credit portfolio management;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:zbw:fsfmwp:127. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.