Auf den VaR kommt es an
Vermehrte Ausfälle am US-Hypothekenmarkt schlechter Bonität, fallende Preise im Kreditsektor und eine schwere Liquiditätsklemme haben den Banken das dritte Quartal arg versauert. Nach den Turbulenzen an den Finanzmärkten vergleicht Risk die VaR-Zahlen (Value-at-Risk) der wichtigsten Banken. Von Alexander Campbell, mit Untersuchungsergebnissen von Xiao-Long Chen
Das turbulente Quartal an den Finanzmärkten hat die Risikomaße der wichtigen Investmentbanken stark belastet. In der Risk-Umfrage zu den VaR-Messungen (Value-at-Risk) im dritten Quartal vergangenen Jahres war der durchschnittliche VaR bedeutend höher als im zweiten Quartal - er ist in nur drei Monaten um 4,6% gestiegen (siehe Tabelle A).
Am deutlichsten zeigte sich das mangelhafte Risikomanagement
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