Risikomanagement für heterogene Finanzportfolios:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | German |
| Veröffentlicht: |
Hamburg
Verlag Dr. Kovač
2018
|
| Schriftenreihe: | Finanzmanagement
Band 129 |
| Schlagworte: | |
| Online-Zugang: | Ausführliche Beschreibung Inhaltsverzeichnis |
| Beschreibung: | XXIV, 306 Seiten Diagramme 21 cm x 14.8 cm, 435 g |
| ISBN: | 9783830097679 3830097670 |
Internformat
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| 490 | 1 | |a Finanzmanagement |v Band 129 | |
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Datensatz im Suchindex
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| adam_text | Inhaltsverzeichnis
Abbildungsverzeichnis
Tabellenverzeichnis
Abkürzungsverzeichnis
1 Einleitung
1.1 Motivation der Arbeit........................
1.2 Beitrag dieser Arbeit........................
1.3 Aufbau der Arbeit............................
2 Value-at-Risk Backtesting
2.1 Motivation...................................
2.2 Value-at-Risk ...............................
2.2.1 Grundlagen ...........................
2.2.2 Regulatorische Anforderungen..........
2.3 Backtesting Value-at-Risk....................
2.3.1 Grundlagen ...........................
2.3.2 Regulatorisches Backtesting...........
2.3.3 Frühe Verfahren.......................
2.3.4 Regressionbasierte Verfahren..........
2.3.5 Durationsbasierte Verfahren ..........
2.3.5.1 Grundidee.....................
2.3.5.2 Likelihoodbasierte Durationstests
2.3.5.3 GMM-basierte Durationstests .
2.3.6 Monte-Carlo-Duration-Test.............
2.3.7 Berücksichtigung des small-sample-bias .
2.3.8 Bewertung der Backtest ingansätze ....
XIII
XVII
XXI
1
1
. 5
. 8
13
. 13
. 16
. 16
. 17
. 19
. 19
. 22
. 24
. 28
. 32
32
. 35
. 40
, 45
51
. 53
X
In h ai ts verzei ch n is
2.4 Empirische Untersuchung I.................................. 57
2.4.1 Simulatioiisstrategien................................ 57
2.4.1.1 Distribution Based Simulation Strategy: GEO 59
2.4.1.2 Volatility Based Simulation Strategy: GARCH 62
2.4.1.3 Real Data Based Simulation Strategy: REAL 63
2.4.1.4 Conditional coverage Simulation Design: HS . 64
2.4.2 Ergebnisse Simulation................................. 67
2.4.2.1 Ergebnisse Independence...................... 68
2.4.2.2 Ergebnisse Conditional coverage.............. 87
2.5 Kritische Würdigung.......................................... 94
2.6 Fazit........................................................ 96
3 Heterogene Portfolios 101
3.1 Motivation...................................................101
3.2 Selektion der Anlageklassen..................................104
3.2.1 Traditionelle Anlagen.................................105
3.2.2 Hegde und safe haven..................................110
3.2.2.1 Edelmetalle und Diamanten ...................111
3.2.2.2 Währungen....................................116
3.2.2.3 Weitere Anlagen..............................117
3.2.2.4 GARCHX-Regression............................119
3.3 Univariate Verteilungen......................................121
3.3.1 Normal Verteilung.....................................126
3.3.2 Student t.............................................127
3.3.3 Skewed-1 Verteilung...................................129
3.3.4 Extreme Value Theory .................................131
3.4 Multivariate Modellierung................................. . 140
3.4.1 Grundlagen Copula.....................................148
3.4.2 Elliptische Copulas ..................................155
3.4.3 Archimedische Copula..................................162
3.4.4 Vine Copula...........................................165
3.4.5 Schätzverfahren Copula................................176
3.5 VaR-Backtestingbasierter Selektionsalgorithmus...............179
3.5.1 Grundidee.............................................179
Inhaltsverzeichnis
XI
3.5.2 Aiisgewählte univariate VaR-Modelle................182
3.5.2.1 Parametrischer VaR.........................182
3.5.2.2 Semi-pararnetrisolier EVT-VaR..............185
3.5.3 Selektionsmcchanismus..............................187
3.5.4 Copula-VaR.........................................190
3.6 Empirische Untersuchung II...............................191
3.6.1 Vorgehens weise ...................................191
3.6.2 Daten .............................................193
3.6.2.1 Auswahl der Anlageklassen..................193
3.6.2.2 Beschreibung der ausgewählten Anlageklassen 204
3.6.3 Ergebnisse.........................................210
3.7 Fazit....................................................224
4 Zusammenfassung und Ausblick 229
Literaturverzeichnis 237
Anhang
A Backtesting 271
A.l Übersicht Backtestingverfahren...........................271
A.2 Ergebnisse s?Te-Eigenschaft........................... 273
A. 3 Ergebnisse power-Eigenschaft.............................281
B Heterogene Portfolios 295
B. l Streunungsdiagramme......................................295
B.2 Kategorisierung von Diamanten ...........................297
B.3 DCC-Modelle..............................................298
B.4 Andersen-Darling-Test ...................................299
B.5 Vine-Copulas ............................................300
B.6 Rand Verteilungen Mixed-Copula-Modelle ..................301
|
| any_adam_object | 1 |
| author | Moys, Gunnar |
| author_GND | (DE-588)1155501659 |
| author_facet | Moys, Gunnar |
| author_role | aut |
| author_sort | Moys, Gunnar |
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| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 650 - Management and auxiliary services |
| dewey-raw | 650 |
| dewey-search | 650 |
| dewey-sort | 3650 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-07-10T08:03:03Z |
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| institution_GND | (DE-588)16100321-7 |
| isbn | 9783830097679 3830097670 |
| language | German |
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| physical | XXIV, 306 Seiten Diagramme 21 cm x 14.8 cm, 435 g |
| publishDate | 2018 |
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| publisher | Verlag Dr. Kovač |
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| series | Finanzmanagement |
| series2 | Finanzmanagement |
| spelling | Moys, Gunnar Verfasser (DE-588)1155501659 aut Risikomanagement für heterogene Finanzportfolios Gunnar Moys Hamburg Verlag Dr. Kovač 2018 XXIV, 306 Seiten Diagramme 21 cm x 14.8 cm, 435 g txt rdacontent n rdamedia nc rdacarrier Finanzmanagement Band 129 Dissertation Universität Bremen 2017 Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf Simulation (DE-588)4055072-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s Simulation (DE-588)4055072-2 s Value at Risk (DE-588)4519495-6 s b DE-604 Verlag Dr. Kovač (DE-588)16100321-7 pbl Finanzmanagement Band 129 (DE-604)BV013087358 129 X:MVB text/html http://www.verlagdrkovac.de/978-3-8300-9767-9.htm Ausführliche Beschreibung Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030253200&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Moys, Gunnar Risikomanagement für heterogene Finanzportfolios Finanzmanagement Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Value at Risk (DE-588)4519495-6 gnd Simulation (DE-588)4055072-2 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4046834-3 (DE-588)4519495-6 (DE-588)4055072-2 (DE-588)4113937-9 |
| title | Risikomanagement für heterogene Finanzportfolios |
| title_auth | Risikomanagement für heterogene Finanzportfolios |
| title_exact_search | Risikomanagement für heterogene Finanzportfolios |
| title_full | Risikomanagement für heterogene Finanzportfolios Gunnar Moys |
| title_fullStr | Risikomanagement für heterogene Finanzportfolios Gunnar Moys |
| title_full_unstemmed | Risikomanagement für heterogene Finanzportfolios Gunnar Moys |
| title_short | Risikomanagement für heterogene Finanzportfolios |
| title_sort | risikomanagement fur heterogene finanzportfolios |
| topic | Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Value at Risk (DE-588)4519495-6 gnd Simulation (DE-588)4055072-2 gnd |
| topic_facet | Risikomanagement Portfolio Selection Value at Risk Simulation Hochschulschrift |
| url | http://www.verlagdrkovac.de/978-3-8300-9767-9.htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030253200&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV013087358 |
| work_keys_str_mv | AT moysgunnar risikomanagementfurheterogenefinanzportfolios AT verlagdrkovac risikomanagementfurheterogenefinanzportfolios |