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Berechnung des Value at Risk mittels dem Varianz-Kovarianz-Ansatz, Cornish-Fisher Approximation und der historischen Simulation

Berechnung des Value at Risk mittels dem Varianz-Kovarianz-Ansatz, Cornish-Fisher Approximation und der historischen Simulation

          
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About the Book

Studienarbeit aus dem Jahr 2019 im Fachbereich BWL - Investition und Finanzierung, Note: 1,0, Philipps-Universität Marburg, Sprache: Deutsch, Abstract: Das Forschungsziel dieser empirischen Analyse wird mithilfe von zwei Betrachtungsweisen dargestellt. Zum einen wird untersucht, inwieweit sich die verschiedenen Schätzverfahren gesamt sowie in gewissen Unterperioden unterscheiden. Auf der anderen Seite soll festgestellt werden, welcher der Verfahren bessere Evaluationsergebnisse liefert. Spezifischer ausgedrückt, welche der Verfahren das Risiko adäquater wiedergibt. Im darauffolgenden Kapitel wird das Forschungsdesign dargestellt, wobei die generelle Vorgehensweise erläutert wird. Anschließend werden die Daten und die Datenaufbereitung präsentiert. Hier werden die verwendeten Daten, der Untersuchungszeitraum und die Aufbereitung beschrieben. In Kapitel 4 werden die zuvor aufgeführten Daten analysiert. Es werden die statistischen Besonderheiten von Finanzmarktzeitreihen erläutert und untersucht. Anschließend werden die verschiedenen empirischen Ergebnisse vorgeführt. Am Ende dieser Analyse werden die empirischen Ergebnisse nochmals zusammengefasst und betrachtet.


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Product Details
  • ISBN-13: 9783346150974
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Height: 210 mm
  • No of Pages: 40
  • Spine Width: 3 mm
  • Width: 148 mm
  • ISBN-10: 3346150976
  • Publisher Date: 25 Mar 2020
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Weight: 64 gr


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Berechnung des Value at Risk mittels dem Varianz-Kovarianz-Ansatz, Cornish-Fisher Approximation und der historischen Simulation
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