Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25086 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2006,003
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index, the principal components model and the model with equally correlated risk factors. The comparison of these models in Chapter 3 is based on the literatere on the verification of weather forecasts (Murphy and Winkler 1992, Murphy 1997). Some considerations on the quantitative analysis are presented in the fourth chapter. In the last chapter, we present empirical analysis of the DAX data using XploRe.
Schlagwörter: 
Value-at-Risk
market index model
principal components
random effects model
probability forecast.
JEL: 
C51
C52
G20
Dokumentart: 
Working Paper

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