Auf den VaR kommt es an



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 der Banken bei den Abschreibungen in Milliarden-Dollar-Höhe bei Wertpapieren, die durch US

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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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