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We present an analysis of VaR forecasts and Pamp;L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. We introduce the notion of well-behaved forecast systems, that allows to use more powerful inference on the level of conservativenessof VaR...
Persistent link: https://www.econbiz.de/10012737509
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...
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We present an analysis of the VaR forecasts and the P&L series of all 12 German banks that used internal models for regulatory purposes throughout the period from the beginning of 2001 to the end of 2004. One task of a supervisor is to estimate the 'recalibration factor', i.e. by how much a bank...
Persistent link: https://www.econbiz.de/10005495737
Model risk as part of the operational risk is a serious problem for financial institutions. As the pricing of derivatives as well as the computation of the market or credit risk of an institution depend on statistical models the application of a wrong model can lead to a serious over- or...
Persistent link: https://www.econbiz.de/10005464745
The paper presents a consistent approach to the modeling of general and specific market risk as defined in regulatory documents. It compares the statistically based beta-factor model with a class of benchmark models that use a broadly based index as major building block for modeling. The...
Persistent link: https://www.econbiz.de/10011241300
VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...
Persistent link: https://www.econbiz.de/10010983815