Peter Grundke

University Osnabrück, Chair of Banking and Finance

Katharinenstraße 7

Osnabrück, 49069

Germany

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 30,068

SSRN RANKINGS

Top 30,068

in Total Papers Downloads

2,331

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Top-Down Versus Bottom-Up Approaches in Risk Management

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 13 Oct 2008
Peter Grundke
University Osnabrück, Chair of Banking and Finance
Downloads 1,666 (14,894)
Citation 2

Abstract:

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banking book, bottom-up approach, copula function, credit risk, goodness-of-fit test, integrated risk management, market risk, top-down approach

2.

How Important is the Modeling of Interest Rate and Credit Spread Risk in Standard and Non-Standard Credit Portfolio Models?

Number of pages: 61 Posted: 14 May 2004
Peter Grundke
University Osnabrück, Chair of Banking and Finance
Downloads 378 (109,784)
Citation 2

Abstract:

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credit risk, interest rate risk, credit spread risk, credit portfolio model, Value at Risk

3.

A Macroeconomic Reverse Stress Test

Bundesbank Discussion Paper No. 30/2015
Number of pages: 40 Posted: 21 Jun 2016
Peter Grundke and Kamil Pliszka
University Osnabrück, Chair of Banking and Finance and Deutsche Bundesbank
Downloads 201 (208,149)

Abstract:

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copula functions, extreme value theory, principal component analysis, reverse stress testing

4.

Model and Estimation Risk in Credit Risk Stress Tests

Deutsche Bundesbank Discussion Paper No. 09/2019
Number of pages: 44 Posted: 11 Apr 2019
Peter Grundke, Kamil Pliszka and Michael Tuchscherer
University Osnabrück, Chair of Banking and Finance, Deutsche Bundesbank and University of Osnabrück
Downloads 52 (510,199)

Abstract:

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credit risk, default probability, estimation risk, model risk, stress tests

5.

Ranking Consistency of Systemic Risk Measures: A Simulation-Based Analysis in a Banking Network Model

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 60 Posted: 03 Jun 2016 Last Revised: 02 Feb 2017
Peter Grundke
University Osnabrück, Chair of Banking and Finance
Downloads 34 (598,547)
Citation 1

Abstract:

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banking network model, credit risk, funding risk, market risk, systemic risk

6.

Risk Measurement with Integrated Market and Credit Portfolio Models

Posted: 25 Apr 2005
Peter Grundke
University Osnabrück, Chair of Banking and Finance

Abstract:

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Risk measurement, integrated market models, credit portfolio models, credit spread risk