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Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - Frankfurt School of Finance and Management - 2012
beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various …
Persistent link: https://www.econbiz.de/10010957485
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010331352
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010237661
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010985133
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Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various …. -- Backtesting ; Market Risk ; Value at Risk ; Expected Shortfall ; Validation ; Alpha Error ; Beta Error ; Time Until First Failure … ; Proportion of Failure ; Traffic Light Approach ; Magnitude of Loss Function ; Markow-Test ; Gauss-Test ; Rosenblatt ; Kuiper …
Persistent link: https://www.econbiz.de/10009575075
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Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)
Malhotra, Yogesh - 2015
[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...
Persistent link: https://www.econbiz.de/10013024329
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Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management : Managing Risk for Hedge Funds
Malhotra, Yogesh - 2023
In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...
Persistent link: https://www.econbiz.de/10014263882
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Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management : How to Manage Risk (After Risk Management Has Failed) for Hedge Funds
Malhotra, Yogesh - 2015
In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...
Persistent link: https://www.econbiz.de/10013031477
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Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen
Lang, Michael; Cremers, Heinz; Hentze, Rainald - 2010
) transactions and demon-strates the implementation of a new rating method based on a logistic regression (logit func-tion), a rating … when this method is em-ployed. The validation results demonstrate a very good calibration and discriminatory power between …
Persistent link: https://www.econbiz.de/10010299985
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Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen
Lang, Michael; Cremers, Heinz; Hentze, Rainald - Frankfurt School of Finance and Management - 2010
) transactions and demon-strates the implementation of a new rating method based on a logistic regression (logit func-tion), a rating … method is em-ployed. The validation results demonstrate a very good calibration and discriminatory power between defaulting …
Persistent link: https://www.econbiz.de/10008556000