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Value-at-Risk und Expected Shortfall: Eine kritische Analyse vor dem Hintergrund der Derivateverordnung

Value-at-Risk und Expected Shortfall: Eine kritische Analyse vor dem Hintergrund der Derivateverordnung

          
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About the Book

Inhaltsangabe: Problemstellung: Die internationale und die deutsche Wirtschaft sind in der zweiten Hälfte des 20. Jahrhunderts von einigen schwerwiegenden Ereignissen getroffen worden. Spektakuläre Insolvenzfälle großer Unternehmen wie Barings, Metallgesellschaft und Daiwa sowie heftige Kapitalmarkteinbrüche, ausgelöst bspw. durch die Japankrise, die Russlandkrise und die Terroranschläge vom 11. September 2001, haben den Gesetzgeber in der jüngeren Vergangenheit dazu veranlasst, Präventivmaßnahmen zu treffen. Auf diese Weise sollen die Auswirkungen solcher Ereignisse und die durch sie entstehenden Schäden begrenzt werden. Die durch die Ereignisse bedingte Entwicklung an den Kapitalmärkten hat Anleger und Asset-Manager dazu veranlasst eine gewisse Risikosensibilität an den Tag zu legen. Im Zuge dieser Sensibilisierung wurde auch die Forderung nach einem verantwortlicheren Umgang seitens der Unternehmen mit dem Thema Risiko laut. Während der Bankensektor auf diesem Gebiet mit den Regelungen um Basel II bereits weitgehend gerüstet ist, sind deutsche Investmentgesellschaften bislang von einer ähnlich strengen Regulierung ausgenommen worden. Seit 2004 aber müssen sich nun auch deutsche KAGs darauf einstellen, dass ein neues Regelwerk, ähnlich den Regelungen um Basel II, bald ihr Tagesgeschäft bestimmen wird: das Investmentmodernisierungsgesetz (InvModG) i.V.m. der Derivateverordnung (DerivateV). Neben den Entwicklungen am Kapitalmarkt macht jedoch außerdem die mit dem InvModG einhergehende Liberalisierung der Investmentbranche eine gleichzeitige Regulierung des Sektors notwendig. Dabei stellt insbesondere der "risikokontrollierte Einsatz neuartiger Finanzinstrumente" für Fondsmanager eine Herausforderung dar. So können z.B. Derivate zukünftig nicht nur zur Absicherung einzelner Fondspositionen, sondern auch aktiv im Rahmen der Anlagepolitik eingesetzt werden. Die erhöhten Anforderungen die vom Gesetzgeber an das Risikomanagement einer KAG gestellt werden, wurden durc


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Product Details
  • ISBN-13: 9783838690766
  • Publisher: Diplom.de
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 8 mm
  • Weight: 177 gr
  • ISBN-10: 3838690761
  • Publisher Date: 02 Nov 2005
  • Height: 210 mm
  • No of Pages: 128
  • Series Title: German
  • Sub Title: Eine kritische Analyse vor dem Hintergrund der Derivateverordnung
  • Width: 148 mm


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