Value at Risk Book by David Winterhalter - Bookswagon
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Value at Risk

Value at Risk


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About the Book

Inhaltsangabe: Einleitung: „In the financial universe, risk and return are two sides of the same coin." Stellt man dieser Aussage die aktuelle Lage der Finanzdienstleister gegenüber, wird deutlich, welch enorme Bedeutung das Risikomanagement und damit auch die Modelle zur Messung des Value at Risk einnehmen. Daher befasst sich die vorliegende Arbeit mit den Grundlagen zur Ermittlung des Value at Risk, der Anwendung der Risikoanalysemodelle auf ein aus Aktien bestehendes Portfolio, deren kritische Würdigung und der Vorstellung einer Auswahl an Optimierungsmöglichkeiten. Es soll ausdrücklich darauf hingewiesen werden, dass das Musterportfolio nur hinsichtlich der Berechnung des Value at Risk im Rahmen der Betrachtung der Risikoanalysemodelle zur Anwendung kommt. Der Aufbau der Arbeit wird nachfolgend beschrieben. In Kapitel 1 wird die Entwicklung an den Finanzmärkten und bestimmten Regelungswerken aufgezeigt, die zur Notwendigkeit der Quantifizierung der Marktpreisrisiken führten. Im 2. Kapitel werden die Begriffe Marktpreisrisiko und Market-to-Market Bewertung definitorisch abgegrenzt, sowie der Random Walk als Modell für Marktpreisänderungen und das den Berechnungen zugrunde liegende Portfolio dargestellt. Das 3. Kapitel definiert den Value at Risk als Begriff und in mathematischer Schreibweise. In Kapitel 4 werden im Rahmen der mathematischen Grundlagen die Momentmethode, Korrelation/Kovarianz sowie die Normal- und Standardnormalverteilung aufgezeigt. Die Definitionen und Anwendungen der Risikoanalysemodelle Varianz-Kovarianz-Modell, Historische Simulation und Monte Carlo Simulation findet man in Kapitel 5 wieder. Die kritische Würdigung der Risikoanalysemodelle und ein exemplarisches Back-Testing folgen in Kapitel 6. Die Lösungsansätze zur Optimierung der Modelle werden im 7. Kapitel behandelt, wobei zuerst auf alternative theoretische Verteilungen zur Normalverteilung eingegangen wird. Dem schließt sich die Approximation der Normalverteilung durch Elimination v


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Product Details
  • ISBN-13: 9783838682532
  • Publisher: Diplom.de
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 8 mm
  • Weight: 227 gr
  • ISBN-10: 383868253X
  • Publisher Date: 07 Sep 2004
  • Height: 210 mm
  • No of Pages: 130
  • Series Title: German
  • Sub Title: Grundlagen, Anwendung der Risikoanalysemodelle auf ein Aktien-Portfolio sowie deren kritische Würdigung und Lösungsansätze zur Optimierung
  • Width: 148 mm


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