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We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....
Persistent link: https://www.econbiz.de/10010311989
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We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....
Persistent link: https://www.econbiz.de/10009764769
Persistent link: https://www.econbiz.de/10000992214
This paper presents an analysis of tax clientele effects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from the viewpoint of a certain tax class, the estimation of tax-specific term...
Persistent link: https://www.econbiz.de/10009574878
Persistent link: https://www.econbiz.de/10009574288
Explicit guarantees are good for shareholders, policyholders and regulators: increased transparency. The risk management of capital market risks embedded in life (re) contracts is non-trivial. A bank-like operation (hedging platform) is needed for quantification, hedge design and controlling of...
Persistent link: https://www.econbiz.de/10008641379
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