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Title:Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall PDF Logo
Authors:Mehmke, Fabian
Cremers, Heinz
Packham, Natalie
Issue Date:2012
Series/Report no.:Working Paper series, Frankfurt School of Finance & Management 192
Abstract (Translated):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 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.
Subjects:Backtesting
Market Risk
Value at Risk
Expected Shortfall
Validation
Alpha Error
Beta Error
Time Until First Failure
Proportion of Failure
Traffic Light Approach
Magnitude of Loss Function
Markow-Test
Gauss-Test
Rosenblatt
Kuiper
Kolmogorov-Smirnov
Jarque-Bera
Regression
Likelihood Ratio
Truncated Distribution
Censored Distribution
Simulation
JEL:C01
C02
C12
C13
C14
C15
C32
G32
G38
Document Type:Working Paper
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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