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Marktpreisrisiko-Reporting bei Nichtfinanzinstituten nach IFRS 7: empirische Befunde zum Einsatz von Value at Risk und Sensitivitätsanalysen bei kapitalmarktorientierten Unternehme...
Fürst, Benedikt; Henselmann, Klaus; Klein, Martin - 2009
The paper shows the ways of disclosing financial risks by IFRS 7 and certain types of sensitivity analysis. The different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for reporting are faced critically. Following, the manner of...
Persistent link: https://www.econbiz.de/10010299998
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Potentielle Risikofaktoren für die Erhöhung der Betriebsprüfungswahrscheinlichkeit - Eine analytische und empirische Untersuchung auf Basis der E-Bilanz-Taxonomie 6.0 -
Henselmann, Klaus; Haller, Stefanie - 2017
Daten der sog. E-Bilanz (§ 5b EStG) in ihrem fiskalischen Risikomanagement-System auszuwerten. Dies kann zur gezielten … Auswahl von Unternehmen für eine spätere Betriebsprüfung genutzt werden. Details zur Ausgestaltung des Risikomanagement … Auftreten in einer vom Steuerpflichtigen einge¬reichten E-Bilanz dazu führen könnte, dass sein Unternehmen im Risikomanagement …
Persistent link: https://www.econbiz.de/10011720942
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Marktpreisrisiko-Reporting bei Nichtfinanzinstituten nach IFRS 7: empirische Befunde zum Einsatz von Value at Risk und Sensitivitätsanalysen bei kapitalmarktorientierten Unternehme...
Fürst, Benedikt; Henselmann, Klaus; Klein, Martin - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2009
The paper shows the ways of disclosing financial risks by IFRS 7 and certain types of sensitivity analysis. The different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for reporting are faced critically. Following, the manner of...
Persistent link: https://www.econbiz.de/10008479029
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Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
Dumitrescu, Elena-Ivona; Hurlin, Christophe; Pham, Vinson - HAL - 2012
In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the...
Persistent link: https://www.econbiz.de/10009651571
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Backtesting VaR Accuracy: A New Simple Test
Hurlin, Christophe; Tokpavi, Sessi - HAL - 2006
This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that the sequence of VaR violations (Hit function) - taking value 1-α, if there is a violation, and -α otherwise - for a nominal coverage rate α verifies the properties of a martingale difference if...
Persistent link: https://www.econbiz.de/10008794257
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Disentangling crashes from tail events
Aboura, Sofiane - HAL - 2010
The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an...
Persistent link: https://www.econbiz.de/10010899911