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Focusing on the measurement of credit risk in the German banking sector, this essay explores various Value at Risk (VaR) approaches and models for quantifying credit risk. It analyzes the tools employed in the industry and provides a detailed explanation of the Monte Carlo method using an Excel example. The article culminates in a critical assessment of the efficiency of these risk measurement techniques in light of the ongoing financial crisis in Germany, highlighting the relevance of these methods in contemporary banking practices.
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The Monte Carlo Simulation in Banks, Svend Reuse
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- 2010
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