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Value-at-Risk-basiertes Risikomanagement in Banken

Value-at-Risk-basiertes Risikomanagement in Banken

Burkhard Eisele

90,67 €
IVA incluido
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Editorial:
Springer Nature B.V.
Año de edición:
2004
Materia
Finanzas
ISBN:
9783824482078
90,67 €
IVA incluido
Disponible

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Sobre IBD

Burkhard Eisele bezieht den Value-at-Risk in das Modell der Portfolio Selection ein und leitet die Bedingungen für die Value-at-Risk-Optimalität ab. Er analysiert dann, wie bei Dezentralisierung der Anlageentscheidungen der Prozess einer Risikokapitalallokation und Risikolimitierung zu gestalten ist, der die maßgeblichen aufsichtsrechtlichen Normen erfüllt. Auf der Grundlage einer Simulationsstudie werden abschließend alternative Risikolimitsysteme beurteilt.

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