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Vergleich von alternativen Verfahren zur Berechnung des Value-at-Risk anhand internationaler Aktienindizes by Okhotnikov, Max

Vergleich von alternativen Verfahren zur Berechnung des Value-at-Risk anhand internationaler Aktienindizes

by Max Okhotnikov
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Book cover type: Paperback
  • ISBN13: 9783656334262
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Publication Date:
  • Pages: 64
  • Original Price: USD 39.5
  • Language: German
  • Edition: 2. Auflage
  • Item Weight: 96 grams
  • BISAC Subject(s): Industries / General

Bachelorarbeit aus dem Jahr 2011 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 1,3, Universität Passau, Veranstaltung: Quantitave Risk Management, Sprache: Deutsch, Abstract: Abstract: Eine genaue Abschätzung bestehender Marktrisiken ist ausschlaggebend für eine adäquate Beurteilung der Risikosituation eines Finanzinstituts. Um die Stabilität des Finanzsystems zu gewährleisten, gibt der Basler Ausschuss für Bankenaufsicht einen regulatorischen Rahmen zur Abschätzung von Marktrisiken vor. Hierfür liefert die empirische Vergleichsstudie in der vorliegenden Arbeit eine umfassende Analyse alternativer Ansätze zur Berechnung der Risikoma zahl "Value-at-Risk" (VaR). Um einen Bezug zwischen Theorie und Praxis herzustellen, werden in der Vergleichsstudie alternative VaR-Ansätze anhand von vier internationalen Aktienindizes analysiert. Dabei liegt die wissenschaftliche Besonderheit dieser Simulationsstudie im Vergleich der Prognosegüte dreier verschiedener Arten von Ansätzen: Es werden parametrische, nicht parametrische und semi-parametrische Ansätze verglichen. Vor allem folgt der Beweis, dass die Anwendung von nicht parametrischen Ansätzen zu einer sehr starken Unterschätzung des Marktrisikos führen kann. Überaus gute Ergebnisse dagegen erzielen die GARCH-Ansätze, welche durch die Modellierung der zeitveränderlichen Volatilität eine genaue Prognostizierung der Risiken gewährleisten. Besonders hervorgehoben wird der Ansatz der gefilterten historischen Simulation (FHS), da er trotz einer sparsameren Parametrisierung sehr gute Ergebnisse liefert.

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