Essays on Risk Assessment and Risk Management:
Diese Dissertation besteht aus drei Aufsätzen, welche Themen aus dem Bereich Risiko-Beurteilung und Risiko-Management behandeln. Der erste Aufsatz in Kapitel 1 analysiert die Risikodynamik von Hedge Funds, indem neue Faktoren zur Risikobeurteilung eingeführt werden. Der zweite Aufsatz in Kapitel 2 v...
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| Format: | Abschlussarbeit Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
2015
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| Online-Zugang: | kostenfrei |
| Zusammenfassung: | Diese Dissertation besteht aus drei Aufsätzen, welche Themen aus dem Bereich Risiko-Beurteilung und Risiko-Management behandeln. Der erste Aufsatz in Kapitel 1 analysiert die Risikodynamik von Hedge Funds, indem neue Faktoren zur Risikobeurteilung eingeführt werden. Der zweite Aufsatz in Kapitel 2 vergleicht die Leistungsfähigkeit von verschiedenen modernen Risikomodellen in Bezug auf die Schätzung von verschiedenen Risikomassen. Der dritte Aufsatz in Kapitel 3 untersucht, ob bekannte Portfolio Absicherungsstrategien im Kontext der Investmentrisikosteuerung einer Pensionskasse nutzenmaximierend sein können This thesis consists of three singled-authored essays which examine topics in risk assessment and risk management in three distinct fields. The first essay, presented in chapter 1, analyzes the risk dynamics of hedge funds by introducing new risk factors which are used to assess the risk of hedge funds. The second essay, presented in chapter 2, investigates the performance of a set of modern risk models at predicting different risk measures across static as well as dynamic indices. The third essay, presented in chapter 3, examines if common portfolio insurance strategies are beneficial in the context of managing the investment risk in a pension fund setting |
| Beschreibung: | 1 Online-Ressource |
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| 520 | |a Diese Dissertation besteht aus drei Aufsätzen, welche Themen aus dem Bereich Risiko-Beurteilung und Risiko-Management behandeln. Der erste Aufsatz in Kapitel 1 analysiert die Risikodynamik von Hedge Funds, indem neue Faktoren zur Risikobeurteilung eingeführt werden. Der zweite Aufsatz in Kapitel 2 vergleicht die Leistungsfähigkeit von verschiedenen modernen Risikomodellen in Bezug auf die Schätzung von verschiedenen Risikomassen. Der dritte Aufsatz in Kapitel 3 untersucht, ob bekannte Portfolio Absicherungsstrategien im Kontext der Investmentrisikosteuerung einer Pensionskasse nutzenmaximierend sein können | ||
| 520 | |a This thesis consists of three singled-authored essays which examine topics in risk assessment and risk management in three distinct fields. The first essay, presented in chapter 1, analyzes the risk dynamics of hedge funds by introducing new risk factors which are used to assess the risk of hedge funds. The second essay, presented in chapter 2, investigates the performance of a set of modern risk models at predicting different risk measures across static as well as dynamic indices. The third essay, presented in chapter 3, examines if common portfolio insurance strategies are beneficial in the context of managing the investment risk in a pension fund setting | ||
| 650 | 4 | |a Renditemessung; Risikomodelle; Risikomessung; Pensionskassen; Anlagestrategie; Portfolio Absicherungsstrategien; Prospect Theorie | |
| 650 | 4 | |a Risk management; Hedge funds; Performance measurement; Risk models; Risk measurement; Pension fund; Investment strategy; portfolio insurance strategies; Prospect theory | |
| 650 | 7 | |a Risikomanagement |2 gnd | |
| 650 | 7 | |a Hedge Fund |2 gnd | |
| 650 | 7 | |a Risiko |2 gnd | |
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| spelling | Althaus, Thomas Rolf Verfasser aut Essays on Risk Assessment and Risk Management by Thomas Rolf Althaus 2015 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier St. Gallen, Univ., Diss., 2015 4323 Diese Dissertation besteht aus drei Aufsätzen, welche Themen aus dem Bereich Risiko-Beurteilung und Risiko-Management behandeln. Der erste Aufsatz in Kapitel 1 analysiert die Risikodynamik von Hedge Funds, indem neue Faktoren zur Risikobeurteilung eingeführt werden. Der zweite Aufsatz in Kapitel 2 vergleicht die Leistungsfähigkeit von verschiedenen modernen Risikomodellen in Bezug auf die Schätzung von verschiedenen Risikomassen. Der dritte Aufsatz in Kapitel 3 untersucht, ob bekannte Portfolio Absicherungsstrategien im Kontext der Investmentrisikosteuerung einer Pensionskasse nutzenmaximierend sein können This thesis consists of three singled-authored essays which examine topics in risk assessment and risk management in three distinct fields. The first essay, presented in chapter 1, analyzes the risk dynamics of hedge funds by introducing new risk factors which are used to assess the risk of hedge funds. The second essay, presented in chapter 2, investigates the performance of a set of modern risk models at predicting different risk measures across static as well as dynamic indices. The third essay, presented in chapter 3, examines if common portfolio insurance strategies are beneficial in the context of managing the investment risk in a pension fund setting Renditemessung; Risikomodelle; Risikomessung; Pensionskassen; Anlagestrategie; Portfolio Absicherungsstrategien; Prospect Theorie Risk management; Hedge funds; Performance measurement; Risk models; Risk measurement; Pension fund; Investment strategy; portfolio insurance strategies; Prospect theory Risikomanagement gnd Hedge Fund gnd Risiko gnd Messung gnd (DE-588)4113937-9 Hochschulschrift gnd-content http://www1.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/4323 Verlag kostenfrei Volltext |
| spellingShingle | Althaus, Thomas Rolf Essays on Risk Assessment and Risk Management Renditemessung; Risikomodelle; Risikomessung; Pensionskassen; Anlagestrategie; Portfolio Absicherungsstrategien; Prospect Theorie Risk management; Hedge funds; Performance measurement; Risk models; Risk measurement; Pension fund; Investment strategy; portfolio insurance strategies; Prospect theory Risikomanagement gnd Hedge Fund gnd Risiko gnd Messung gnd |
| subject_GND | (DE-588)4113937-9 |
| title | Essays on Risk Assessment and Risk Management |
| title_auth | Essays on Risk Assessment and Risk Management |
| title_exact_search | Essays on Risk Assessment and Risk Management |
| title_full | Essays on Risk Assessment and Risk Management by Thomas Rolf Althaus |
| title_fullStr | Essays on Risk Assessment and Risk Management by Thomas Rolf Althaus |
| title_full_unstemmed | Essays on Risk Assessment and Risk Management by Thomas Rolf Althaus |
| title_short | Essays on Risk Assessment and Risk Management |
| title_sort | essays on risk assessment and risk management |
| topic | Renditemessung; Risikomodelle; Risikomessung; Pensionskassen; Anlagestrategie; Portfolio Absicherungsstrategien; Prospect Theorie Risk management; Hedge funds; Performance measurement; Risk models; Risk measurement; Pension fund; Investment strategy; portfolio insurance strategies; Prospect theory Risikomanagement gnd Hedge Fund gnd Risiko gnd Messung gnd |
| topic_facet | Renditemessung; Risikomodelle; Risikomessung; Pensionskassen; Anlagestrategie; Portfolio Absicherungsstrategien; Prospect Theorie Risk management; Hedge funds; Performance measurement; Risk models; Risk measurement; Pension fund; Investment strategy; portfolio insurance strategies; Prospect theory Risikomanagement Hedge Fund Risiko Messung Hochschulschrift |
| url | http://www1.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/4323 |
| work_keys_str_mv | AT althausthomasrolf essaysonriskassessmentandriskmanagement |