Zur Validierung von Marktrisikomodellen
Vor dem Hintergrund steigender Komplexität der Risikomessung und höherer regulatorischer Anforderungen gewinnen Techniken zur Validierung von Risikomodellen zunehmend an Bedeutung, um die Adäquanz dieser Modelle gewährleisten zu können. Im vorliegenden Beitrag schlägt Carsten S. Wehn die Kombination verschiedener in der Industrie etablierter Methoden im Rahmen eines Entscheidungsbaums vor, um aus dem Backtesting geeignete Verbesserungsmaßnahmen für das Risikomodell ableiten zu können
Zur Messung von Marktrisiken modellieren Banken die stochastische Verteilung der zukünftigen (und damit unbekannten) Gewinne und Verluste Gt auf Portfolioebene. Diese Modellierung bezieht alle relevanten Informationen ein, die durch die beobachtbaren Risikofaktoren bzw. deren Renditen gegeben sind. Damit kann die auf diese Information bedingte Verteilung für den nächsten Zeitpunkt beschrieben werden durch Ft:= Ft(Gt - Rt-1, Rt-2, ...), wobei Rt-1, Rt-2, ... die multivariaten realisierten
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