Der indirekte Blick aus dem Sattel

Der Neueste Stand. Kreditportfoliorisiken

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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The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

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