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Implementierung von Liquiditätsrisiken in den Value-at-Risk

Implementierung von Liquiditätsrisiken in den Value-at-Risk

          
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About the Book

Diplomarbeit aus dem Jahr 2009 im Fachbereich BWL - Investition und Finanzierung, Note: 1,3, Universität zu Köln (Wirtschafts- und Sozialwissenschaftliche Fakultät ), Veranstaltung: Finanzierungslehre, Sprache: Deutsch, Abstract: Illiquide Märkte, mit verursacht durch einen massiven Vertrauensverlust, bringen zurzeit ganze Banken und sogar Staaten in eine äußerst prekäre und nicht selten existenzbedrohende Situation. Ausgelöst durch eine Immobilienkrise in den USA wurde ein ganzes Marktsegment innerhalb kürzester Zeit unverkäuflich. Die zuvor als Geldmarktprodukte gehandelten Mortgage Backed Securities (MBS) liegen seit einigen Monaten unverkäuflich in den Bilanzen vieler Geldhäuser. Die fundamentalen Daten scheinen dabei keine Rolle mehr zu spielen. Scheinbar unabhängig von der Bonität des Kreditpools ist der gesamte Markt völlig illiquide geworden. Je nach Engagement führt dies zu einer ganz erheblichen Belastung einzelner Geldhäuser. Nicht nur die zu tätigenden Abschreibungen belasten die Liquidität, sondern auch die Unverkäuflichkeit der noch nicht ausgefallenen Subprime-Papiere. Ein erheblicher Vertrauensverlust zwischen den Banken ist die Folge. Das Vertrauen in die Liquidität der Kapitalmärkte spielt also eine entscheidende Rolle für alle Marktteilnehmer. Auch wenn eine Krise, wie die aktuelle, nicht mit Mitteln des Risikomanagements vorherzusehen ist, so ist es doch erstaunlich, dass Liquiditätsrisiken gegenüber Markt- oder Kreditrisiken eine eher untergeordnete Rolle zu spielen scheinen und kaum Berücksichtigung im Rahmen der gängigen Risikomodelle finden. Der Value-at-Risk (VaR) hat sich in den letzten Jahren trotz einiger Mängel zu dem Standardrisikomaß im Risikomanagement entwickelt. Im Zuge dieser Arbeit werden Möglichkeiten präsentiert, wie man sowohl endogene als auch exogene Liquiditätsrisiken für die im Rahmen der Marktrisikoanalyse durchgeführten VaR-Berechnungen berücksichtigen kann. Dabei wird als Resultat eine Gegenüberstellung der Perform


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Product Details
  • ISBN-13: 9783656310501
  • Publisher: Grin Publishing
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 7 mm
  • Width: 148 mm
  • ISBN-10: 3656310505
  • Publisher Date: 29 Nov 2012
  • Height: 210 mm
  • No of Pages: 110
  • Series Title: German
  • Weight: 154 gr


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