Was könnte besser sein?



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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