they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a …This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory …

Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting …Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the … asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the …

Als Reaktion auf die Schwächen des Value-at-Risk-Konzeptes wurden in der Literatur axiomatische Risikomessansätze als …

Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under … Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector … for the measurement of concentration risk are modified to be consistent with Basel II and their performance is compared …

Portfoliotheorie -- Arbitragefreie Ein-Perioden-Modelle und CAPM -- Value at Risk -- Kohärente Risikomaße und der … Rendite versprechen. Risiko wird hier definiert als die Standardabweichung der Portfoliorendite. Für arbitragefreie Ein … Value at Risk vorgestellt, das den größten Verlust eines Portfolios quantifiziert, der mit einer vorgegebenen …

Einführung -- Downside-Risiko-Kriterien -- Downside-minimale Portfolios -- Downside-Restriktionen -- Downside … Frage. Der Inhalt • Downside-Risiko-Kriterien • Downside-minimale Portfolios • Downside-Restriktionen • Downside …

Value-at-Risk -- Volatilität und Interdependenz -- Neuere Value-at-Risk Ansätze -- Empirische Vergleichsstudie … Value-at-Risk ist in diesem Zusammenhang von großer Bedeutung. Jens Fricke untersucht die theoretischen Grundlagen der … verschiedenen Value-at-Risk Ansätze. Besonderen Wert legt er dabei auf die Darlegung neuerer Ansätze sowie die konsequente …

This book is a comprehensive guide to several aspects of risk, including information systems, disaster management … operations research models that have been (or could be) applied to enterprise supply risk management, especially from the supply …, definitions and discussion notes. This book comes at a time when the world is increasingly challenged by different forms of risk …

theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new … theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new …Christian Hugo Hoffmann undermines the citadel of risk assessment and management, arguing that classical probability …