Der indirekte Blick aus dem Sattel
Die Sattelpunktmethode hat sich als Instrument für die Portfolioanalyse etabliert. Im vorliegenden Artikel gehen Richard Martin und Roland Ordovás die wichtigsten Konzepte durch und zeigen, dass es für die Anwendung dieser Methode auf Modelle bedingter Unabhängigkeit zwei grundsätzlich verschiedene Wege gibt. Beide wurden in der Literatur verwendet, aber ihre Unterschiede noch nicht thematisiert
Die Konstruktion der Verteilung der Verluste bzw. des Gewinn/Verlusts eines Asset-Portfolios ist ein bekanntes Problem. Insbesondere im Kreditbereich, wo diese Verteilung für Risikomanagement und Portfoliooptimierung (Martin, 2004) sowie bei der Bewertung korrelationsabhängiger Derivate wie etwa CDO (Collaterised Debt Obligations) (Andersen, Sidenius & Basu, 2003) genutzt wird, sind die relevanten Verteilungen höchst asymmetrisch, was eine neue Generation der Portfolioanalysen ins Leben gerufen
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