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dc.contributor.authorMehmke, Fabianen_US
dc.contributor.authorCremers, Heinzen_US
dc.contributor.authorPackham, Natalieen_US
dc.date.accessioned2012-08-15en_US
dc.date.accessioned2012-08-17T12:53:45Z-
dc.date.available2012-08-17T12:53:45Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/60503-
dc.language.isogeren_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesWorking Paper series, Frankfurt School of Finance & Management 192en_US
dc.subject.jelC01en_US
dc.subject.jelC02en_US
dc.subject.jelC12en_US
dc.subject.jelC13en_US
dc.subject.jelC14en_US
dc.subject.jelC15en_US
dc.subject.jelC32en_US
dc.subject.jelG32en_US
dc.subject.jelG38en_US
dc.subject.ddc330en_US
dc.subject.keywordBacktestingen_US
dc.subject.keywordMarket Risken_US
dc.subject.keywordValue at Risken_US
dc.subject.keywordExpected Shortfallen_US
dc.subject.keywordValidationen_US
dc.subject.keywordAlpha Erroren_US
dc.subject.keywordBeta Erroren_US
dc.subject.keywordTime Until First Failureen_US
dc.subject.keywordProportion of Failureen_US
dc.subject.keywordTraffic Light Approachen_US
dc.subject.keywordMagnitude of Loss Functionen_US
dc.subject.keywordMarkow-Testen_US
dc.subject.keywordGauss-Testen_US
dc.subject.keywordRosenblatten_US
dc.subject.keywordKuiperen_US
dc.subject.keywordKolmogorov-Smirnoven_US
dc.subject.keywordJarque-Beraen_US
dc.subject.keywordRegressionen_US
dc.subject.keywordLikelihood Ratioen_US
dc.subject.keywordTruncated Distributionen_US
dc.subject.keywordCensored Distributionen_US
dc.subject.keywordSimulationen_US
dc.titleValidierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfallen_US
dc.typeWorking Paperen_US
dc.identifier.ppn721270417en_US
dc.description.abstracttransMarket 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 have negative effects on a company's capital requirements. Companies as well as national authorities thus have a strong interest in developing market risk models that correctly quantify certain key figures such as Value at Risk or Expected Shortfall. This paper presents several state of the art methods to evaluate the adequacy of almost any given market risk model. Existing models are enhanced by in-depth analysis and simulations of statistical properties revealing some previously unknown effects, most notably inconsistent behaviour of alpha and beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various market patterns demonstrates strenghts and weaknesses of each of the models presented under realistic conditions.en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:fsfmwp:192-
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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