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dc.contributor.authorMehmke, Fabianen
dc.contributor.authorCremers, Heinzen
dc.contributor.authorPackham, Natalieen
dc.date.accessioned2012-08-15-
dc.date.accessioned2012-08-17T12:53:45Z-
dc.date.available2012-08-17T12:53:45Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/60503-
dc.language.isogeren
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt a. M.en
dc.relation.ispartofseries|aFrankfurt School - Working Paper Series |x192en
dc.subject.jelC01en
dc.subject.jelC02en
dc.subject.jelC12en
dc.subject.jelC13en
dc.subject.jelC14en
dc.subject.jelC15en
dc.subject.jelC32en
dc.subject.jelG32en
dc.subject.jelG38en
dc.subject.ddc330en
dc.subject.keywordBacktestingen
dc.subject.keywordMarket Risken
dc.subject.keywordValue at Risken
dc.subject.keywordExpected Shortfallen
dc.subject.keywordValidationen
dc.subject.keywordAlpha Erroren
dc.subject.keywordBeta Erroren
dc.subject.keywordTime Until First Failureen
dc.subject.keywordProportion of Failureen
dc.subject.keywordTraffic Light Approachen
dc.subject.keywordMagnitude of Loss Functionen
dc.subject.keywordMarkow-Testen
dc.subject.keywordGauss-Testen
dc.subject.keywordRosenblatten
dc.subject.keywordKuiperen
dc.subject.keywordKolmogorov-Smirnoven
dc.subject.keywordJarque-Beraen
dc.subject.keywordRegressionen
dc.subject.keywordLikelihood Ratioen
dc.subject.keywordTruncated Distributionen
dc.subject.keywordCensored Distributionen
dc.subject.keywordSimulationen
dc.titleValidierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall-
dc.typeWorking Paperen
dc.identifier.ppn721270417en
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
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:fsfmwp:192en

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