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Persistent link: https://www.econbiz.de/10013261092
Diese Anmerkung zeigt, dass das reale Bruttoinlandsprodukt der Bundesrepublik Deutschland einem trendstationären Prozess folgt. Dabei werden sowohl ökonometrische Tests, bei denen die Trendstationarität die Alternativhypothese ist, eingesetzt als auch solche, bei denen sie die Nullhypothese...
Persistent link: https://www.econbiz.de/10011495591
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
This note shows that German real GDP follows a trend-stationary process. Both tests which have trend-stationarity as the alternative hypothesis as well as tests that have it under the null hypothesis prefer the trend-stationary model. Explicit consideration of breaks in the trend is not...
Persistent link: https://www.econbiz.de/10010265453
A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...
Persistent link: https://www.econbiz.de/10010307938
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010331352
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010237661
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
Viele Informations- und Kommunikationsprozesse des öffentlichen, wirtschaftlichen undprivaten Lebens sind heute ohne Informations- und Telekommunikationstechnologiennicht mehr denkbar. Rund 1,2 Mrd. Menschen nutzen heute das Internet für wirtschaftlicheund private Zwecke. Vertraulichkeit,...
Persistent link: https://www.econbiz.de/10005862419
Mit dem angedachten Solvabilitätssystem Solvency II werden Versicherer das erforderliche Solvenzkapital anhandihrer tatsächlichen Risikosituation ermitteln müssen. Um diese zu bestimmen und zu quantifizieren, ist dieBerücksichtigung der Abhängigkeiten zwischen den Risiken verschiedener...
Persistent link: https://www.econbiz.de/10005868178