Was könnte besser sein?
Infolge der Turbulenzen an den Finanzmärkten berichteten die Banken im dritten Quartal des Vorjahres einen dramatischen Anstieg der Ausnahmefälle beim VaR (Value-at-Risk). Brechen die Risikomodelle zusammen? Was unternehmen die Banken, um die Feinabstimmung der Risikomanagementverfahren und -modelle zu gewährleisten? Alexander Campbell berichtet
Die Kreditkrise der zweiten Jahreshälfte 2007 war großenteils ein Scheitern des Risikomanagements. Als sich die Verluste häuften, räumte eine Bank nach der anderen ein, ihre Risikomodelle hätten Wahrscheinlichkeit, Geschwindigkeit und Ausmaß der Krise nicht korrekt prognostiziert. Vor allem der Value-at-Risk, also das Maß für das in einem Portfolio enthaltene Risiko, stand im Zentrum der Aufmerksamkeit.
Wie in der von Risk durchgeführten VaR-Umfrage (Risk Januar 2008, Seiten 68-71) dargestellt
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