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Quantifizierbarkeit von Risiken auf Finanzmärkten

Author

Listed:
  • Wolfgang Karl Härdle
  • Christian Friedrich Wolfgang Kirchner

Abstract

Die Krise der internationalen Finanzmärkte hat die allgemeine Wahrnehmung für die in diesen Märkten inhärenten Risiken merklich verändert. Glaubten manche Anleger in den Boomphasen der Finanzmärkte, dass sich eine hohe Kapitalrendite mit geringem Risiko verbinden ließe, wenn man nur die Finanzprodukte entsprechend gestaltete, hat sich diese Wahnvorstellung zwischenzeitlich verflüchtigt. Will man vernünftig mit diesen Risiken umgehen, ist es notwendig, diese quantifizieren zu können. Hier gilt es, eine Reihe methodischer Probleme zu bewältigen, da sich einfache statistische Methodiken als nicht adäquat für die vielschichtigen Finanzmarktrisiken erweisen. Die Vielschichtigkeit dieser Risiken hat in den letzten Jahrzehnten zugenommen, insbesondere seitdem hypothekengesicherte Darlehen in verbriefter und verpackter Form auf Finanzmärkten abgesetzt wurden. Der Fokus der folgenden Ausführungen liegt bei der Quantifizierung der Risikoeinschätzungen, und zwar unter Beachtung von Wahrnehmungsproblemen, wie sie in der modernen Verhaltensökonomik erörtert werden. Daneben werden aber auch Probleme des demographischen Risikos angesprochen.

Suggested Citation

  • Wolfgang Karl Härdle & Christian Friedrich Wolfgang Kirchner, 2009. "Quantifizierbarkeit von Risiken auf Finanzmärkten," SFB 649 Discussion Papers SFB649DP2009-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Handle: RePEc:hum:wpaper:sfb649dp2009-045
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    More about this item

    Keywords

    pricing kernels; risk aversion; risk neutral density;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law

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