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.
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Grundke, P. (2006). On the Applicability of a Fourier Based Approach to Integrated Market and Credit Portfolio Models. In: Haasis, HD., Kopfer, H., Schönberger, J. (eds) Operations Research Proceedings 2005. Operations Research Proceedings, vol 2005. Springer, Berlin, Heidelberg . https://doi.org/10.1007/3-540-32539-5_34
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DOI: https://doi.org/10.1007/3-540-32539-5_34
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-32537-6
Online ISBN: 978-3-540-32539-0
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