IDEAS home Printed from https://ideas.repec.org/p/zbw/cfswop/199702.html
   My bibliography  Save this paper

Value-at-Risk-Limitstrukturen zur Steuerung und Begrenzung von Marktrisiken im Aktienbereich

Author

Listed:
  • Beeck, Helmut
  • Johanning, Lutz
  • Rudolph, Bernd

Abstract

Ein Value-at-Risk-Limit wird als DM-Betrag gekennzeichnet, der von den tatsächlichen Handelsverlusten innerhalb einer bestimmten Zeitdauer nur mit geringer Wahrscheinlichkeit überschritten werden darf. Da der Bankvorstand i.d.R. Jahres-Value-at-Risk-Limite beschließt, im Handelsbereich die Geschäfte aber für einen kurzfristigen - unterstellt wird ein eintägiger - Planungshorizont abgeschlossen werden, ist zu klären, wie Jahres-Limite in Tages-Limite umgerechnet und während des Jahres realisierte Gewinne und Verluste auf die Limite angerechnet werden können. Auf der Grundlage des Umrechnungsverfahrens nach der Quadratwurzel-T-Formel lassen sich drei Verfahren für die Ermittlung des Tages-Limits unterscheiden: 1. Realisierte Gewinne und Verluste werden nicht angerechnet (starres Limit). 2. Bei Verlusteintritt vermindert sich das Tages-Limit für die Restperiode, realisierte Gewinne machen Kürzungen rückgängig (Verlustbegrenzungslimit). 3. Tages-Limite werden um Gewinne und Verluste angepaßt, wodurch eine Erweiterung des Handlungsspielraumes möglich ist (dynamisches Limit). Die drei Limite werden in einem Simulationsmodell gegeneinander abgewogen, wobei unterstellt wird, ein Händler handle nur eine einzige Aktie und antizipiere in 55% der Fälle die Kursrichtung. Die Simulationsergebnisse sind bei den unterstellten Renditeprozessen (geometrische Brownsche Bewegung und reale Renditen von 77 deutschen Aktien für die Zeit vom 01.01.1974 bis 31.12.1995) weitgehend identisch. Das dynamische Limit produziert deutlich höhere durchschnittliche Ergebnisse als das starre Limit und das Verlustbegrenzungslimit. Überschreitungen des Jahres-Limits treten nur beim starren Verfahren auf, die Häufigkeit ist allerdings wesentlich geringer als die zulässige Wahrscheinlichkeit von 1 %.

Suggested Citation

  • Beeck, Helmut & Johanning, Lutz & Rudolph, Bernd, 1997. "Value-at-Risk-Limitstrukturen zur Steuerung und Begrenzung von Marktrisiken im Aktienbereich," CFS Working Paper Series 1997/02, Center for Financial Studies (CFS).
    • Handle: RePEc:zbw:cfswop:199702
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/78099/1/755485165.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Bruce D. Grundy & Zvi Wiener, "undated". "The Analysis of VAR, Deltas and State Prices: A New Approach," Rodney L. White Center for Financial Research Working Papers 11-96, Wharton School Rodney L. White Center for Financial Research.
    2. Johanning Lutz, 1996. "Value-at-Risk-Modelle zur Ermittlung der bankaufsichtlichen Eigenkapitalunterlegung beim Marktrisiko im Handelsbereich," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 8(4), pages 287-303, December.
    3. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Apr), pages 39-69.
    4. Christopher James, 1996. "RAROC Based Capital Budgeting and Performance Evaluation: A Case Study of Bank Capital Allocation," Center for Financial Institutions Working Papers 96-40, Wharton School Center for Financial Institutions, University of Pennsylvania.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Judy Hsu & Kuo-An Li, 2013. "Performance assessments of Taiwan’s financial holding companies," Journal of Productivity Analysis, Springer, vol. 40(1), pages 137-151, August.
    2. de Fontnouvelle, Patrick & Dejesus-Rueff, Virginia & Jordan, John S. & Rosengren, Eric S., 2006. "Capital and Risk: New Evidence on Implications of Large Operational Losses," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1819-1846, October.
    3. Dimitrakopoulos, Dimitris N. & Kavussanos, Manolis G. & Spyrou, Spyros I., 2010. "Value at risk models for volatile emerging markets equity portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 515-526, November.
    4. Evangelos Vasileiou, 2022. "Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1155-1171, March.
    5. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
    6. Jose A. Lopez & Christian Walter, 1997. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper 9730, Federal Reserve Bank of New York.
    7. Stoughton, Neal M. & Zechner, Josef, 2007. "Optimal capital allocation using RAROC(TM) and EVA(R)," Journal of Financial Intermediation, Elsevier, vol. 16(3), pages 312-342, July.
    8. Kamila Sommer, 2014. "Fertility Choice in a Life Cycle Model with Idiosyncratic Uninsurable Earnings Risk," Finance and Economics Discussion Series 2014-32, Board of Governors of the Federal Reserve System (U.S.).
    9. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 323-333, December.
    10. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
    11. Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016. "Model risk of risk models," Journal of Financial Stability, Elsevier, vol. 23(C), pages 79-91.
    12. Mei-Ling Tang & Trung K. Do, 2019. "In search of robust methods for multi-currency portfolio construction by value at risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 107-126, March.
    13. de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
    14. Ryohei Kawata & Masaaki Kijima, 2007. "Value-at-risk in a market subject to regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 609-619.
    15. Young, Virginia R. & Zariphopoulou, Thaleia, 2000. "Computation of distorted probabilities for diffusion processes via stochastic control methods," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 1-18, August.
    16. Goel, Tirupam & Lewrick, Ulf & Tarashev, Nikola, 2020. "Bank capital allocation under multiple constraints," Journal of Financial Intermediation, Elsevier, vol. 44(C).
    17. Wai Yan Cheng & Michael Chak Sham Wong & Clement Yuk Pang Wong, 2003. "Market risk management of banks: implications from the accuracy of Value-at-Risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 23-33.
    18. Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
    19. Marios Nerouppos & David Saunders & Costas Xiouros & Stavros A. Zenios, 2006. "Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests," Multinational Finance Journal, Multinational Finance Journal, vol. 10(3-4), pages 179-221, September.
    20. Manfredo, Mark R. & Leuthold, Raymond M., 1999. "Measuring Market Risk Of The Cattle Feeding Margin: An Application Of Value-At-Risk Analysis," 1999 Annual meeting, August 8-11, Nashville, TN 21628, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:cfswop:199702. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/ifkcfde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.