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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …
Persistent link: https://www.econbiz.de/10010331352
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Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
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...
Persistent link: https://www.econbiz.de/10010309829
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Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
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...
Persistent link: https://www.econbiz.de/10009575075
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …
Persistent link: https://www.econbiz.de/10010237661
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Comparing different methods for the estimation of interbank intraday yield curves
Jeleskovic, Vahidin; Demertzidis, Anastasios - 2018
-Li model, for the estimation of an intraday yield curve on the Italian interbank credit market e-MID. Using a sample which … estimation of an intraday yield curve providing superior empirical results when compared with similar works on e-MID. The second …
Persistent link: https://www.econbiz.de/10011954912
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Das Testen der Martingaleigenschaft
Wittmann, Philippe - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008809144
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Multiple Tests für die Evaluation von Prognosemodellen : eine Analyse am Beispiel der Prognose von Vermögenspreisen
Fan, Sue Man - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008856258
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Simulative Untersuchung der Eigenschaften von Testverfahren auf Elliptizität mit Anwendung auf Finanzmarktdaten
Gogokhia, Lia - 2008
Persistent link: https://www.econbiz.de/10003672746