Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds:
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|---|---|
| Format: | Thesis Book |
| Language: | English German |
| Published: |
Passau
2012
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VII, 122 Bl. Ill., graph. Darst. |
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| 100 | 1 | |a Kinateder, Harald |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds |c Harald Kinateder |
| 264 | 1 | |a Passau |c 2012 | |
| 300 | |a VII, 122 Bl. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Passau, Univ., Diss., 2012 | ||
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Record in the Search Index
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|---|---|
| adam_text | Inhaltsverzeichnis
Abkürzungsverzeichnis
V
1 Zusammenfassung 1
2 Market
Risk Prediction under Long Memory: When VaR is
Higher than Expected
8
2.1
Introduction
.............................. 8
2.2
Long Memory Review
......................... 13
2.2.1
Concept
.............................. 13
2.2.2
Evidence
............................. 14
2.3
Forecasting Market Risk
........................ 15
2.3.1
Single-Period Returns
...................... 15
2.3.2
Multiple-Period Returns
..................... 17
2.3.3
Multiple-Period Value at Risk
................. 18
2.3.4
Multiple-Period Volatility
.................... 19
2.3.5
Alternative Multiple-Period VaR Models
............ 24
2.4
Empirical Analysis
........................... 26
2.4.1
The Data and Preliminary Analysis
.............. 27
2.4.1.1
Dataset
and Descriptive Statistics
........... 27
2.4.1.2
Long Range Dependence
................ 27
2.4.1.3
Model Estimation
.................... 29
2.4.2
Out-of-Sample VaR Forecasts
.................. 30
2.4.2.1
Unconditional Coverage versus Conditional Coverage
. 34
2.4.2.2
Short-term versus Long-term Forecasts
........ 34
2.4.2.3
Symmetric versus Asymmetric GARCH Variance
... 37
2.4.3
Robustness Tests
......................... 38
2.4.3.1
VaR Forecasts under Normalized Unconditional VaR
. 38
2.4.3.2
Cornish-Fisher Quantiles
................ 41
2.4.4
Forecasting Illustrations
..................... 44
2.4.4.1
Predicted VaR during a Crisis Period
......... 44
2.4.4.2
Predicted Market Volatility at Different Horizons
... 44
III
Inhaltsverzeichnis
2.5
Conclusion
............................... 47
3
Multifractality and Value
at Risk Forecasting of Exchange
Rates
49
3.1
Introduction
.............................. 49
3.2
Multifractal Modeling of FX Returns
................. 53
3.2.1
Multifractality
.......................... 53
3.2.2
Multifractal Model of Asset Returns
.............. 55
3.3
MMAR Market Risk Estimation
................... 58
3.4
Empirical Analysis
........................... 59
3.4.1
Dataset
and Descriptive Statistics
............... 59
3.4.2
Evidence of Multifractality
................... 61
3.4.3
Out-of-Sample VaR Forecasts
.................. 65
3.4.4
Economic Implications
...................... 69
3.5
Conclusion
............................... 70
4 Produktspezifische Risiken von europäischen ETFs und An¬
sätze zur Risikominimierung 72
4.1 Einleitung................................ 72
4.2 Synthetische ETFs........................... 76
4.2.1 Produktspezifische Risikoquellen................ 78
4.2.1.1 Kontrahentenrisiko ................... 78
4.2.1.2 Art und Qualität der Wertpapiere im ETF Portfolio . 81
4.2.1.3 Liquiditätsrisiko..................... 83
4.2.1.4 Operationelles Risiko.................. 84
4.2.1.5 Gefahr für andere
Assetklassen
............. 84
4.2.2 Ansätze zur Reduzierung der Risiken.............. 85
4.2.2.1 Mehrere
Swap-Partner
.................. 85
4.2.2.2 Einführung einer Obergrenze für das Risiko des ETF
Portfolios......................... 86
4.2.2.3 Wahl von besicherten ETFs............... 89
4.3 Physische ETFs............................. 90
4.3.1 Produktspezifische Risikoquellen................ 91
4.3.1.1 Kontrahentenrisiko ................... 91
4.3.1.2 Liquiditätsrisiko..................... 95
4.3.1.3 Indexanpassungen und Dividendenzahlungen..... 96
4.3.2 Ansätze zur Reduzierung der Risiken.............. 97
4.3.2.1 Grenzen für Wertpapierleihgeschäfte.......... 97
4.3.2.2 Überbesicherung und Kriterien für Darlehensnehmer . 98
IV
Inhaltsverzeichnis
4.4 Zusammenfassung und Ausblick....................99
4.4.1 Zusammenfassung........................99
4.4.2 Ausblick .............................103
Literaturverzeichnis 104
Appendix 115
A R/ S
versus
Variance of Residuals Approach
.............115
B Backtesting VaR
............................116
B.I Unconditional Coverage
.....................116
B.2 Independence
...........................117
B.3 Conditional Coverage
......................118
С
ACFs of absolute and squared Index Returns
............119
C.I ACFs of absolute Index Returns
................119
C.2 ACFs of squared Index Returns
.................120
D
Konstruktionsarten synthetischer
ETFs
................121
D.I Unbesicherte (Unfunded) ETFs
.................121
D.2
Besicherte
(Funded) ETFs
....................121
D.3 Vollbesicherte (Fully-Funded) ETFs
..............122
V
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| indexdate | 2024-07-10T00:22:27Z |
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| language | English German |
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| spelling | Kinateder, Harald Verfasser aut Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds Harald Kinateder Passau 2012 VII, 122 Bl. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Passau, Univ., Diss., 2012 Value at Risk (DE-588)4519495-6 gnd rswk-swf Marktrisiko (DE-588)4506224-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Marktrisiko (DE-588)4506224-9 s Value at Risk (DE-588)4519495-6 s DE-604 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025214543&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kinateder, Harald Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds Value at Risk (DE-588)4519495-6 gnd Marktrisiko (DE-588)4506224-9 gnd |
| subject_GND | (DE-588)4519495-6 (DE-588)4506224-9 (DE-588)4143413-4 (DE-588)4113937-9 |
| title | Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds |
| title_auth | Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds |
| title_exact_search | Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds |
| title_full | Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds Harald Kinateder |
| title_fullStr | Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds Harald Kinateder |
| title_full_unstemmed | Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds Harald Kinateder |
| title_short | Three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds |
| title_sort | three essays on market risk prediction under long memory and multifractality as well as product risk of european exchange traded funds |
| topic | Value at Risk (DE-588)4519495-6 gnd Marktrisiko (DE-588)4506224-9 gnd |
| topic_facet | Value at Risk Marktrisiko Aufsatzsammlung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025214543&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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