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Wann sind falsche VaR-Modelle dennoch adäquat?

Listed author(s):
  • Härdle, Wolfgang Karl
  • Hlávka, Zdeněk
  • Stahl, G.

Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse und statistische Adäquanz des Modells. Im Kapitel 2 stellen wir drei gängige Mappingverfahren vor: das Marktindexmodell, das Hauptkomponentenmodell und das Modell mit gleichkorrelierten Risikofaktoren. Impulse für Methoden zum Vergleich dieser Modelle im Kapitel 3 kamen vor allem aus der Literatur zur Praxis der Beurteilung von Wetterprognosen (Murphy und Winkler 1992, Murphy 1997). Umfangreiche Überlegungen zu einer quantitativen Analyse werden im vierten Kapitel dieser Arbeit vorgestellt. Die empirische Analyse der DAX Daten wird abschließend mit XploRe durchgeführt.

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Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2003,14.

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Date of creation: 2003
Handle: RePEc:zbw:sfb373:200314
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  1. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
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