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...

This paper compares the informational content of judgmentally determined sovereign ratings produced by a private sector bank and by the rating agency Standard and Poor's, with ratings derived from econometric analysis of sovereign default. We show that downgrades in both the bank and the agency...

Two main areas of application of mathematics in finance are the valuation of financial instruments and the quantification of risk inherent in portfolios consisting of financial instruments. The mathematical models used in both areas were criticized in the aftermath of the financial crisis, due...