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Ansätze zur Validierung von Marktrisikomodellen : Systematisierung, Anwendungsmöglichkeiten und Grenzen der Verfahren

Wehn, Carsten - 2005

Persistent link: https://www.econbiz.de/10003280464

Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice

Wehn, Carsten - In: The journal of risk model validation 12 (2018) 4, pp. 17-39

Persistent link: https://www.econbiz.de/10011992015

Aspekte ökonomischer Kapitalsteuerungsmodelle zur Gewinnung angemessener Risikomesszahlen

Wehn, Carsten - In: Handbuch ökonomisches Kapitel, (pp. 215-243). 2008

Persistent link: https://www.econbiz.de/10003751760

Supervisor's portfolio : the market price risk of German banks from 2001 to 2004 ; analysis and models for risk aggregation

Memmel, Christoph; Wehn, Carsten - In: Journal of banking regulation 7 (2006) 3/4, pp. 310-325

Persistent link: https://www.econbiz.de/10003370070

Marktrisikoregulierung im Umbruch

Quell, Peter (ed.); Wehn, Carsten (ed.) - 2016 - 1. Auflage 2016

Persistent link: https://www.econbiz.de/10011572643

The supervisors portfolio : the market price risk of German banks from 2001 to 2003 ; analysis and models for risk aggregation

Memmel, Christoph (contributor); Wehn, Carsten (contributor) - 2005

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio’s components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...

Persistent link: https://www.econbiz.de/10002844479

The Supervisor's Portfolio : The Market Price Risk of German Banks from 2001 to 2003 - Analysis and Models for Risk Aggregation

Memmel, Christoph - 2016

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...

Persistent link: https://www.econbiz.de/10012989328

Regulatorische versus ökonomische Messung von Markt- und Kreditrisiken

Gruber, Walter - In: Handbuch MaRisk : Mindestanforderungen an das …, (pp. 245-264). 2006

Persistent link: https://www.econbiz.de/10003343387

Handbuch Bankenaufsicht und interne Risikosteuerungsmodelle : Quantifizierung und Analyse von Risiken mit bankinternen Modellen, bankaufsichtliche Anforderungen

Eller, Roland (ed.); Gruber, Walter (ed.); Reif, Markus (ed.) - 1999 - 1. Auflage

Persistent link: https://www.econbiz.de/10001379221