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Modellierung von Risiken in Kreditinstituten auf der Basis von Value at Risk. Die Extreme Value Theory im Rahmen von Basel III

Modellierung von Risiken in Kreditinstituten auf der Basis von Value at Risk. Die Extreme Value Theory im Rahmen von Basel III

          
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About the Book

Bachelorarbeit aus dem Jahr 2018 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 1,0, Technische Hochschule Köln, ehem. Fachhochschule Köln, Sprache: Deutsch, Abstract: In dieser Arbeit habe ich ausgehend von einer knappen Darstellung der Risikomaße die Copula-Modelle und POT-Modelle für EVT orientiert an dem bei Kreditinstituten vorgestellt. Daneben habe ich Basel 3 und Rating berücksichtigt. Zunächst habe ich kurz theoretisch in die POT-Methode mit ihren wichtigen Punkten für die praktische Modellierung eingeführt. Im empirischen Teil wurde aufgezeigt, dass eine systematische Schwellenauswahl dazu beitragen kann, die Auswahl einer geeigneten Schwelle für die GPD-Approximation zur Risikoanalyse zu objektivieren. Ich habe versucht EVT mit vielen verschiedenen Modellen betrachten, und die Vorteile von diesen Modellen am Ende nennen und vergleichen. Für alle Modelle habe ich beispielsweise US-amerikanische Aktien, -Aktienindex und Schweizer Aktien genommen. Als (zum Beispiel) das Block Maxima Modell heute ein Tag mit hohe Varianz vorliegt und auch in der Zukunft mit hohe Varianz prognostiziert, geht das GARCH-Modell realistisch aus, die Varianz in der Zukunft zurückzukehrten. Bei Nichtnormalverteilung von Portpoliorenditen wurde in Histogramm der täglichen Rendite gezeigt und auch als letztes Normalverteilung mit EVT in Schwankungsverteilungsdiagramm verdeutlicht. Mit der Verwendung von Copula wurde die Verteilung von Rändern verfeinert und Lösungen ermöglicht. Basel III orientierte sich grundsätzlich auf Kapital von Kreditinstituten und dazu Kapitalpuffer, um sie sich in schweren Zeiten in den nächsten Jahren immer stärker Überlebenschancen zu haben. Für zukünftige Risiken und Insolvenzwahrscheinlichkeit wurde in Baselwelt und Ratingagenturen eine mögliche Lösung durch innovative auch gesetzliche Regelungen überlegt. Viele sinnvolle Maßnahmen der Stärkung des Unternehmens(z.B. Verbesserung des Vertriebs, Steigerung der Prozessoptimierung, usw.) tragen auc


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Product Details
  • ISBN-13: 9783668720213
  • Publisher: Bod Third Party Titles
  • Publisher Imprint: Grin Verlag
  • Height: 210 mm
  • No of Pages: 56
  • Spine Width: 3 mm
  • Width: 148 mm
  • ISBN-10: 3668720215
  • Publisher Date: 14 Jun 2018
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Weight: 86 gr


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