Das riskante Jahr
Im ersten Quartal 2008 stieg der Value-at-Risk der führenden Banken weltweit weiter an - ein Zeichen erhöhter Volatilität an den Finanzmärkten. Verschiedene Institute verzeichneten zahlreiche Ausnahmefälle, was die den VaR-Maßen zugrunde liegenden Annahmen erneut in Frage stellt. Von Alexander Campbell, Untersuchungsergebnisse von Xiao-Long Chen
Nach Jahren stabiler Finanzmärkte bestimmt Volatilität wieder das Leben der Händler. Die Unvorhersehbarkeit der Marktentwicklungen hat zu erheblichen Verlusten bei den Kredit- und neuerdings auch den Aktienbeständen der Banken beigetragen - und bei manchen Instituten stehen voraussichtlich weitere Verluste noch aus.
Die gestiegene Volatilität zeigt sich in den im ersten Quartal 2008 weiter gestiegenen Value-at-Risk-Zahlen der Banken. Aber auf dem Hintergrund immer gründlicherer Überprüfung des
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