Zur Validierung von Marktrisikomodellen
Der Neueste Stand - Marktrisiko
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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