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Extremwertstatistik und Numerik von Lévy Flights in der Praxis: Anwendung für Stresstests und Barrier Optionen im Risikomanagement

Extremwertstatistik und Numerik von Lévy Flights in der Praxis: Anwendung für Stresstests und Barrier Optionen im Risikomanagement

          
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About the Book

Die Europäische Bankenaufsicht führte im Oktober 2014 zum ersten Mal einen umfassenden Stresstest aller systemrelevanten Banken durch. Im modernen Risikomanagement spielt die Verwendung von Stresstests eine immer wichtigere Rolle und löst damit zunehmend den Value at Risk ab. Unter den Basel III-Regularien wurde der sogenannte stressed Value at Risk eingeführt um auch hier eine Verbesserung des Value at Risk durch die nützlichen Eigenschaften von Stresstests zu implementieren. In diesem Buch untersucht der Autor die Extremwertstatistik eines stochastischen Prozesses mit den neusten Methoden aus der Statistischen Physik und Numerik. Neben einer Definition der Stress-Szenarien für beliebige Risikofaktoren lassen sich die Ergebnisse auch zur Berechnung von Barrier Optionen und hochkomplexen pfadabhängigen Derivaten nutzen.
About the Author: Thomas Schwiertz ist Physiker und Risk Officer bei der Deutschen Börse. Seit April 2013 ist er in dieser Funktion für die Handelsunterstützung im OTC-Umfeld und im Default Management der Eurex Clearing AG für die Liquidationsgruppe Fixed Income zuständig. Nachdem der Autor als freier Berater für verschiedene Unternehmen und Projekte tätig war, gründete er im Jahr 2012 seine Beratungsfirma CVA Services.


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Product Details
  • ISBN-13: 9783958508644
  • Publisher: Diplomica Verlag Gmbh
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 5 mm
  • Weight: 127 gr
  • ISBN-10: 3958508642
  • Publisher Date: 10 Feb 2015
  • Height: 210 mm
  • No of Pages: 96
  • Series Title: German
  • Sub Title: Anwendung für Stresstests und Barrier Optionen im Risikomanagement
  • Width: 148 mm


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Extremwertstatistik und Numerik von Lévy Flights in der Praxis: Anwendung für Stresstests und Barrier Optionen im Risikomanagement
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Extremwertstatistik und Numerik von Lévy Flights in der Praxis: Anwendung für Stresstests und Barrier Optionen im Risikomanagement
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