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Deutscher Universitätsverlag Kointegrationskonzepte für die Kreditrisikomodellierung: Systematische Kreditrisiken und makroökonomische Theorienbildung

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£57.89 £55.00 £56.15 £57.31 £58.47 £59.63 £60.78 28 July 2026 07 August 2026 17 August 2026 27 August 2026 06 September 2026
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Most common price: £58 (41 days, 100.0%)

Price range: £58 - £58

Price levels: 1 different prices over 41 days

Description

In den letzten Jahren sind die Messung und die Steuerung von Kreditrisiken aufgrund der verschlechterten makroökonomischen Rahmenbedingungen und der daraus resultierenden Zunahme der Insolvenzen ins Zentrum des Interesses gerückt. Verstärkt wird diese Entwicklung durch die vom Baseler Ausschuss für Bankenaufsicht erarbeiteten Neuregelungen der Eigenkapitalausstattung von Kreditinstituten. Die Modellierung von Kreditportfoliorisiken mithilfe mathematisch-statistischer Analyseverfahren gewinnt vor diesem Hintergrund an Bedeutung. Matthias Wagatha erarbeitet ein bedingtes Modellgerüst für die Kreditrisikoanalyse, das eine explizite Verknüpfung zwischen systematischen Kreditrisiken und internationalen makroökonomischen Systemen herstellt. Hierzu werden anhand von vektorautoregressiven Modellen in Verbindung mit Kointegrationskonzepten makroökonomische Theorien aufgestellt und überprüft. Durch eine praktische Umsetzung wird der Zusammenhang von Kreditausfallzyklen und Konjunktur verdeutlicht.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
28 January 2005
Listed Since
04 April 2012

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No barcode data available

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