Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may have negative effects on a company's capital requirements. Companies as well as national authorities thus have a strong interest in developing market risk models that correctly quantify certain key figures such as Value at Risk or Expected Shortfall. This paper presents several state of the art methods to evaluate the adequacy of almost any given market risk model. Existing models are enhanced by in-depth analysis and simulations of statistical properties revealing some previously unknown effects, most notably inconsistent behaviour of alpha and beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various market patterns demonstrates strenghts and weaknesses of each of the models presented under realistic conditions.
|Date of creation:||2012|
|Date of revision:|
|Contact details of provider:|| Postal: Sonnemannstraße 9-11, 60314 Frankfurt am Main|
Phone: 069 154008-0
Web page: http://www.frankfurt-school.de/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:zbw:fsfmwp:192. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.