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Kohärente Risikomessung versus individuelle Akzeptanzmengen — Anmerkungen zum impliziten Risikoverständnis des “Conditional Value-at-Risk”

Author

Listed:
  • Wolfgang Kürsten

    (Friedrich-Schiller-Universität Jena)

  • Mario Brandtner

    (Friedrich-Schiller-Universität Jena)

Abstract

Zusammenfassung Das Konzept kohärenter Risikomessung basiert auf individuellen Akzeptanzmengen, die das individuelle Risikoverständnis des Entscheidungsträgers abbilden. In letzter Zeit hat das spezielle kohärente Risikomaß des Conditional Value-at-Risk zunehmende Beachtung gefunden, insbesondere als Surrogat für den “Industriestandard” des Value-at-risk in der Banken- und Versicherungsaufsicht. Dabei wird regelmäßig nicht geprüft, inwieweit sich das individuelle Risikoverständnis der Entscheidungsträger über den Conditional Value-at-risk abbilden lässt. Der Beitrag charakterisiert die Gestalt der vom Conditional Value-at-risk induzierten Akzeptanzmengen und zeigt, dass der Conditional Value-at-risk wichtige Formen individuellen Risikoverständnisses nicht abbilden kann.

Suggested Citation

  • Wolfgang Kürsten & Mario Brandtner, 2009. "Kohärente Risikomessung versus individuelle Akzeptanzmengen — Anmerkungen zum impliziten Risikoverständnis des “Conditional Value-at-Risk”," Schmalenbach Journal of Business Research, Springer, vol. 61(4), pages 358-381, June.
    • Handle: RePEc:spr:sjobre:v:61:y:2009:i:4:d:10.1007_bf03373658
    DOI: 10.1007/BF03373658
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    D81; G11; G21;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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