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Risikomanagement von Banken: Stresstest-Methoden vor und nach der Finanzkrise: Ansatz zur Implementierung eines inversen Stresstests im Kreditrisiko

Risikomanagement von Banken: Stresstest-Methoden vor und nach der Finanzkrise: Ansatz zur Implementierung eines inversen Stresstests im Kreditrisiko

          
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About the Book

Die Finanzkrise offenbarte, dass die in den Banken bereits etablierten Stresstests keine ausreichende Vorbereitung auf die Krise boten. Das schlechte Abschneiden der Risikomanagementsysteme konnte unter anderem auf die mangelnde Integration der Stresstests in die Risikosteuerung sowie die Fokussierung auf historischen Daten zurückgeführt werden, wodurch wesentliche Risiken nicht adäquat berücksichtigt wurden. Mit dem Ziel für künftige Krisen besser gerüstet zu sein, wurde daher durch die Aufsichtsbehörden mit dem inversen Stresstest eine völlig neue Methode zur Modellierung von Stressszenarien geschaffen. Die Umsetzung inverser Stresstests ist jedoch aufgrund der Vielzahl möglicher Szenarien entsprechend komplex und im Vergleich zu konventionellen Stresstests noch wenig erforscht. Deshalb wird im analytischen Teil dieses Fachbuches ein inverses Stressverfahren vorgestellt, das ohne iterative Berechnung unzähliger Szenarien, die rasche Identifikation der relevanten Parameterveränderungen ermöglicht.
About the Author: Mag. Walter Hatak, M.A. ist seit 2012 im strategischen Risikomanagement einer österreichischen Bank tätig. Seine berufliche Laufbahn im Banken-Risikomanagement begann er 2009 nach dem Diplomstudium der IBW, das er an der Universität Wien abschloss. Bereits während seines Studiums, das er zu einem Teil in Helsinki absolvierte, entstand sein Interesse im Bereich der Finanzwissenschaft. Dementsprechend wählte er seine Spezialisierung in der Investment Analyse und setzte sich im Rahmen seiner Diplomarbeit mit dem Nutzen von Portfolio Insurance Strategien zur Absicherung vor Kursverlusten auseinander. 2011 startete der Autor ein berufsbegleitendes Masterstudium in Financial Management, um sein Wissen im Bereich des Risikomanagements weiter vertiefen zu können. Im Zuge dieses Studiums, das zu einem Teil an der FH Wien und zu einem Teil an der University of Texas in den USA absolviert wurde, verfasste der Autor seine Masterarbeit über den Einsatz von Stresstests im Risikomanagement von Banken. Das vorliegende Fachbuch widmet sich ebenfalls dieser Thematik, wobei besonders die Auseinandersetzung mit den neuen Stresstestmethoden wie dem inversen Stresstest sowie die mögliche Umsetzung in der Praxis im Mittelpunkt steht.


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Product Details
  • ISBN-13: 9783842892316
  • Publisher: Diplomica Verlag Gmbh
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 5 mm
  • Weight: 127 gr
  • ISBN-10: 3842892314
  • Publisher Date: 13 Feb 2014
  • Height: 210 mm
  • No of Pages: 96
  • Series Title: German
  • Sub Title: Stresstest-Methoden vor und nach der Finanzkrise: Ansatz zur Implementierung eines inversen Stresstests im Kreditrisiko
  • Width: 148 mm


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Risikomanagement von Banken: Stresstest-Methoden vor und nach der Finanzkrise: Ansatz zur Implementierung eines inversen Stresstests im Kreditrisiko
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Risikomanagement von Banken: Stresstest-Methoden vor und nach der Finanzkrise: Ansatz zur Implementierung eines inversen Stresstests im Kreditrisiko
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