Using value-at-risk methodologies in portfolio management: the case of Swiss private banking
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2008
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 151 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | USING VALUE-AT-RISK METHODOLOGIES IN PORTFOLIO MANAGEMENT - THE CASE OF
SWISS PRIVATE BANKING VON DER CARL-VON-OSSIETZKY UNIVERSITAT OLDENBURG
FAKULTAT II INFORMATIK, WIRTSCHAFTS- UND RECHTSWISSENSCHAFTEN ZUR
ERLANGUNG DES GRADES EINES DOKTORS DER WIRTSCHAFTSWISSENSCHAFTEN (DR.
RER. POL.) GENEHMIGTE DISSERTATION VON HERRN ANDREY Y. ROGACHEV GEBOREN
AM 18. JANUAR 1976 IN NOVOSIBIRSK (RUSSLAND) CONTENTS CONTENTS I LIST OF
FIGURES V LIST OF TABLES VII LIST OF ABBREVIATIONS, SYMBOLS AND
FUNCTIONS VIII PREFACE XII CHAPTER I INTRODUCTION L 1 MOTIVATION....,: 2
1.1 RISK MEASUREMENT IN PORTFOLIO MANAGEMENT 2 1.2 PORTFOLIO RISK 3 1.3
DEFINITION OF THE PROBLEM 6 2 VALUE-AT-RISK DISCUSSIONS 8 3 IDEA OF
VALUE-AT-RISK DYNAMISM 10 4 OBJECTIVES AND RESEARCH QUESTIONS 12 5
METHODOLOGY 14 5.1 QUANTITATIVE ANALYSIS 14 5.2 QUALITATIVE METHODS 15
5.3 METHODOLOGICAL REQUIREMENTS 17 6 GENERAL STRUCTURE 18 CHAPTER II
VALUE-AT-RISK THEORY 22 7 VALUE-AT-RISK CONCEPT 23 8 ESTIMATION METHODS
OF VALUE-AT-RISK 27 8.1 HISTORICAL SIMULATION 27 8.2 VARIANCE-COVARIANCE
APPROACH 29 8.3 MONTE-CARLO TECHNIQUE 30 8.4 SCENARIO SIMULATION 33 9
VALUE-AT-RISK MODELS 35 9.1 SIMPLE MODEL 35 9.2 CONDITIONAL
VALUE-AT-RISK 36 9.3 SWITCHING REGIME MODEL 38 10 EXTREME VALUE THEORY
AND VALUE-AT-RISK 40 CHAPTER III VALUE-AT-RISK AND NON-LINEARITY 43 11
PORTFOLIO VALUE-AT-RISK 44 11.1 DEFINITIONS 44 11.2 PROBLEMS OF
PORTFOLIO RISK 46 12 NON-LINEARITY OF DERIVATIVES 49 12.1 RESEARCH GAPS
49 12.2 QUALITATIVE RESEARCH 52 CHAPTER IV VALUE-AT-RISK AND LIMITATION
RULES 56 13 RISK POLICY AND CONTROL SYSTEM 57 14 LIMITS SYSTEM T~ 59 15
VALUE-AT-RISK SCENARIOS 62 16 FINANCIAL DATA 64 17 ADAPTATION MODEL , 67
18 VALUE-AT-RISK SIMULATIONS. . 70 18.1 HISTORICAL SIMULATION 70 18.2
MONTE-CARLO METHOD 73 18.3 FAT TAILS 75 18.4 ANALYSING RESULTS 78 19
FURTHER RESEARCH STEPS 79 CHAPTER V VALUE-AT-RISK CONCEPT IN PRACTICE 82
20 THE SWISS BANKING INDUSTRY. 83 21 VALUE-AT-RISK CONCEPT BY SWISS
PRIVATE BANKS 86 22 SOME SPECIAL CASES 91 22.1 BANK WEGELIN & CO 91 22.2
BANK VONTOBEL AG /. 94 23 DYNAMIC VALUE-AT-RISK STRATEGY...: 97 CHAPTER
VI THE DYNAMIC VALUE-AT-RISK MODEL 99 24 MODEL 100 24.1 CHOLESKY
DECOMPOSITION 100 24.2 VALUE-AT-RISK GENERATING 102 25 DATA AND DATA
ERROR 105 26 SIMULATION PROCESS NO 27 TESTING AND RESULTS 113 28
ANALYSIS AND CONCLUDING REMARKS 117 CHAPTER VII CONCLUSION 120 29 PRO
AND CONTRA 121 30 CONTRIBUTION TO THE LITERATURE 122 T 31
VALUE-AT-RISK PRACTICAL IMPLEMENTATION 125 32 THE ECONOMIC IMPORTANCE OF
VALUE-AT-RISK 126 APPENDIX A STATISTICS OF VALUE-AT-RISK 128 APPENDIX B
INTERVIEW BY A SWISS PRIVATE BANK 136 APPENDIX C INTERVIEW OF SWISS
ASSET MANAGERS 140 REFERENCES 143
|
| any_adam_object | 1 |
| author | Rogačev, Andrej J. 1976- |
| author_GND | (DE-588)138931704 |
| author_facet | Rogačev, Andrej J. 1976- |
| author_role | aut |
| author_sort | Rogačev, Andrej J. 1976- |
| author_variant | a j r aj ajr |
| building | Verbundindex |
| bvnumber | BV035675112 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)552002759 (DE-599)GBV584746067 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| genre_facet | Hochschulschrift |
| geographic | Schweiz (DE-588)4053881-3 gnd |
| geographic_facet | Schweiz |
| id | DE-604.BV035675112 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:43:03Z |
| institution | BVB |
| language | English |
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| physical | XII, 151 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
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| spelling | Rogačev, Andrej J. 1976- Verfasser (DE-588)138931704 aut Using value-at-risk methodologies in portfolio management the case of Swiss private banking von Andrey Y. Rogachev 2008 XII, 151 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Oldenburg, Univ., Diss., 2008 Portfolio-Management stw Privatbank stw Schweiz stw Value at Risk stw Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf Private Banking (DE-588)4833663-4 gnd rswk-swf Schweiz (DE-588)4053881-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Schweiz (DE-588)4053881-3 g Private Banking (DE-588)4833663-4 s Portfolio Selection (DE-588)4046834-3 s Value at Risk (DE-588)4519495-6 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017729326&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rogačev, Andrej J. 1976- Using value-at-risk methodologies in portfolio management the case of Swiss private banking Portfolio-Management stw Privatbank stw Schweiz stw Value at Risk stw Portfolio Selection (DE-588)4046834-3 gnd Value at Risk (DE-588)4519495-6 gnd Private Banking (DE-588)4833663-4 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4519495-6 (DE-588)4833663-4 (DE-588)4053881-3 (DE-588)4113937-9 |
| title | Using value-at-risk methodologies in portfolio management the case of Swiss private banking |
| title_auth | Using value-at-risk methodologies in portfolio management the case of Swiss private banking |
| title_exact_search | Using value-at-risk methodologies in portfolio management the case of Swiss private banking |
| title_full | Using value-at-risk methodologies in portfolio management the case of Swiss private banking von Andrey Y. Rogachev |
| title_fullStr | Using value-at-risk methodologies in portfolio management the case of Swiss private banking von Andrey Y. Rogachev |
| title_full_unstemmed | Using value-at-risk methodologies in portfolio management the case of Swiss private banking von Andrey Y. Rogachev |
| title_short | Using value-at-risk methodologies in portfolio management |
| title_sort | using value at risk methodologies in portfolio management the case of swiss private banking |
| title_sub | the case of Swiss private banking |
| topic | Portfolio-Management stw Privatbank stw Schweiz stw Value at Risk stw Portfolio Selection (DE-588)4046834-3 gnd Value at Risk (DE-588)4519495-6 gnd Private Banking (DE-588)4833663-4 gnd |
| topic_facet | Portfolio-Management Privatbank Schweiz Value at Risk Portfolio Selection Private Banking Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017729326&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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