Risikomanagement für heterogene Finanzportfolios:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | German |
| Published: |
Hamburg
Verlag Dr. Kovač
2018
|
| Series: | Finanzmanagement
Band 129 |
| Subjects: | |
| Online Access: | Ausführliche Beschreibung Inhaltsverzeichnis |
| Physical Description: | XXIV, 306 Seiten Diagramme 21 cm x 14.8 cm, 435 g |
| ISBN: | 9783830097679 3830097670 |
Staff View
MARC
| LEADER | 00000nam a22000008cb4500 | ||
|---|---|---|---|
| 001 | BV044858454 | ||
| 003 | DE-604 | ||
| 005 | 20180605 | ||
| 007 | t | ||
| 008 | 180308s2018 gw |||| m||| 00||| ger d | ||
| 015 | |a 18,N02 |2 dnb | ||
| 016 | 7 | |a 1149714476 |2 DE-101 | |
| 020 | |a 9783830097679 |c : EUR 99.80 (DE), EUR 102.60 (AT) |9 978-3-8300-9767-9 | ||
| 020 | |a 3830097670 |9 3-8300-9767-0 | ||
| 024 | 3 | |a 9783830097679 | |
| 035 | |a (OCoLC)1029455016 | ||
| 035 | |a (DE-599)DNB1149714476 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a ger | |
| 044 | |a gw |c XA-DE-HH | ||
| 049 | |a DE-384 |a DE-945 |a DE-634 |a DE-355 |a DE-188 | ||
| 082 | 0 | |a 650 |2 23 | |
| 084 | |a QK 810 |0 (DE-625)141682: |2 rvk | ||
| 084 | |a 650 |2 sdnb | ||
| 100 | 1 | |a Moys, Gunnar |e Verfasser |0 (DE-588)1155501659 |4 aut | |
| 245 | 1 | 0 | |a Risikomanagement für heterogene Finanzportfolios |c Gunnar Moys |
| 264 | 1 | |a Hamburg |b Verlag Dr. Kovač |c 2018 | |
| 300 | |a XXIV, 306 Seiten |b Diagramme |c 21 cm x 14.8 cm, 435 g | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Finanzmanagement |v Band 129 | |
| 502 | |b Dissertation |c Universität Bremen |d 2017 | ||
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Value at Risk |0 (DE-588)4519495-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Simulation |0 (DE-588)4055072-2 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Portfolio Selection |0 (DE-588)4046834-3 |D s |
| 689 | 0 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | 2 | |a Simulation |0 (DE-588)4055072-2 |D s |
| 689 | 0 | 3 | |a Value at Risk |0 (DE-588)4519495-6 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 710 | 2 | |a Verlag Dr. Kovač |0 (DE-588)16100321-7 |4 pbl | |
| 830 | 0 | |a Finanzmanagement |v Band 129 |w (DE-604)BV013087358 |9 129 | |
| 856 | 4 | 2 | |m X:MVB |q text/html |u http://www.verlagdrkovac.de/978-3-8300-9767-9.htm |3 Ausführliche Beschreibung |
| 856 | 4 | 2 | |m Digitalisierung UB Augsburg - ADAM Catalogue Enrichment |q application/pdf |u 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 |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-030253200 | ||
Record in the Search Index
| _version_ | 1804178380427362304 |
|---|---|
| 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 |
| author_variant | g m gm |
| building | Verbundindex |
| bvnumber | BV044858454 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)1029455016 (DE-599)DNB1149714476 |
| dewey-full | 650 |
| 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 |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02281nam a22005418cb4500</leader><controlfield tag="001">BV044858454</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20180605 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">180308s2018 gw |||| m||| 00||| ger d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">18,N02</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">1149714476</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783830097679</subfield><subfield code="c">: EUR 99.80 (DE), EUR 102.60 (AT)</subfield><subfield code="9">978-3-8300-9767-9</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3830097670</subfield><subfield code="9">3-8300-9767-0</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9783830097679</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1029455016</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB1149714476</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">ger</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE-HH</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-634</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">650</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 810</subfield><subfield code="0">(DE-625)141682:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">650</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Moys, Gunnar</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1155501659</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Risikomanagement für heterogene Finanzportfolios</subfield><subfield code="c">Gunnar Moys</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hamburg</subfield><subfield code="b">Verlag Dr. Kovač</subfield><subfield code="c">2018</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XXIV, 306 Seiten</subfield><subfield code="b">Diagramme</subfield><subfield code="c">21 cm x 14.8 cm, 435 g</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Finanzmanagement</subfield><subfield code="v">Band 129</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="b">Dissertation</subfield><subfield code="c">Universität Bremen</subfield><subfield code="d">2017</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Simulation</subfield><subfield code="0">(DE-588)4055072-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Simulation</subfield><subfield code="0">(DE-588)4055072-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="710" ind1="2" ind2=" "><subfield code="a">Verlag Dr. Kovač</subfield><subfield code="0">(DE-588)16100321-7</subfield><subfield code="4">pbl</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Finanzmanagement</subfield><subfield code="v">Band 129</subfield><subfield code="w">(DE-604)BV013087358</subfield><subfield code="9">129</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">X:MVB</subfield><subfield code="q">text/html</subfield><subfield code="u">http://www.verlagdrkovac.de/978-3-8300-9767-9.htm</subfield><subfield code="3">Ausführliche Beschreibung</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Augsburg - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">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</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-030253200</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV044858454 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:03:03Z |
| institution | BVB |
| institution_GND | (DE-588)16100321-7 |
| isbn | 9783830097679 3830097670 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030253200 |
| oclc_num | 1029455016 |
| open_access_boolean | |
| owner | DE-384 DE-945 DE-634 DE-355 DE-BY-UBR DE-188 |
| owner_facet | DE-384 DE-945 DE-634 DE-355 DE-BY-UBR DE-188 |
| physical | XXIV, 306 Seiten Diagramme 21 cm x 14.8 cm, 435 g |
| publishDate | 2018 |
| publishDateSearch | 2018 |
| publishDateSort | 2018 |
| publisher | Verlag Dr. Kovač |
| record_format | marc |
| 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 |