We present an analysis of the VaR forecasts and the P&L series of all 12 German banks that used internal models for regulatory purposes throughout the period from the beginning of 2001 to the end of 2004. One task of a supervisor is to estimate the 'recalibration factor', i.e. by how much a bank...

We derive results on the asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta-gamma models in financial risk management approximating portfolio returns. Quantile estimation corresponds to the estimation of the Value-at-Risk, which...

Abstract In diesem Beitrag wird empirisch untersucht, ob in Deutschland wie in den USA das Phänomen zu beobachten ist, daß Aktien mit niedriger Marktkapitalisierung im Schnitt höhere Renditen erzielen als das Sharpe/Lintner-Modell prognostiziert, Aktien mit hoher Marktkapitalisierung...

The paper presents a consistent approach to the modeling of general and specific market risk as defined in regulatory documents. It compares the statistically based beta-factor model with a class of benchmark models that use a broadly based index as major building block for modeling. The...