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Value at Risk

Value at Risk


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About the Book

Gewinne zu erzielen ohne dabei ein Risiko einzugehen ist praktisch unmöglich! Thema dieses Buches ist es, dieses Risiko zu messen und zu bewerten. Dafür wird ein weitverbreitetes Risikomaß - der Value at Risk - verwendet. In einer einzigen Zahl vermittelt er dem Betrachter die gesamte Information über das vorhandene Risiko. Durch diese einfache Darstellung ist es Risikomanagern möglich den Überblick über den global vernetzten Finanzmarkt und ihre eigenen Produkte zu bewahren. In diesem Buch finden Sie drei mathematisch klar nachzuvollziehende Methoden zum Berechnen des Value at Risk. Der Fokus liegt auf dem stochastischen Zugang der Monte-Carlo Simulation. Anschließend wird die Thematik des Value at Risk an einem konkreten Beispiel getestet. Man möchte wissen, wie groß die Wahrscheinlichkeit ist, dass ein Portfolio aus Put-Optionen innerhalb kurzer Zeit große Verluste schreibt. Die Simulationen werden mit Hilfe des Computerprogramms "Mathematica" durchgeführt. Am Ende werden die erhaltenen Ergebnisse interpretiert und Schlüsse gezogen, welche Parameterkonstellationen gefährliche Szenarien implizieren könnten.


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Product Details
  • ISBN-13: 9783639791679
  • Publisher: AV Akademikerverlag
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 5 mm
  • Width: 152 mm
  • ISBN-10: 3639791673
  • Publisher Date: 10 Feb 2015
  • Height: 229 mm
  • No of Pages: 88
  • Series Title: German
  • Weight: 190 gr


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