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Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen

Author

Listed:
  • Till Barz
  • Andreas Nastansky

    (Hochschule für Wirtschaft und Recht (HWR) Berlin)

Abstract

Die Quantifizierung und Begrenzung extremer Wertverluste sind von zentraler Bedeutung für das finanzielle Risikomanagement. Besonders während volatiler Marktphasen tendieren traditionelle Risikomaße dazu, Risiken fehlerhaft einzuschätzen. Die Arbeit untersucht die Risikomaße Value at Risk (VaR) und Expected Shortfall (ES) hinsichtlich ihrer Fähigkeit, Verlustpotenziale während Stresssituationen präzise abzubilden. Dazu wird die Prognosefähigkeit dieser Maße unter verschiedenen Verteilungsannahmen und Gewichtungsmethoden analysiert. Unter anderem erfolgt eine systematische Überprüfung mittels Backtesting für den Untersuchungszeitraum. Die Analyse zeigt, dass Modelle mit einer t-Verteilung und einer exponentiellen Gewichtung historischer Daten eine höhere Vorhersagegenauigkeit aufweisen. Modelle mit Normalverteilungsannahme sind in Krisenzeiten besonders anfällig für Fehlprognosen. Alle untersuchten Modelle passen sich verzögert an veränderte Marktsituationen an, was zu einer anfänglichen Unterschätzung und späteren Überschätzung der Risiken führt. Die Anpassungslatenz variiert dabei je nach gewählter Gewichtung der historischen Daten. Implikationen für das Risikomanagement beinhalten eine regelmäßige Modellüberprüfung und die Implementierung umfassender Stresstests, um systematische Risikounterbewertungen zu vermeiden. Die Ergebnisse verdeutlichen die Notwendigkeit dynamischer Risikomodelle, die sich an volatile Marktbedingungen anpassen, um die finanzielle Stabilität der Kreditinstitute langfristig zu sichern.

Suggested Citation

  • Till Barz & Andreas Nastansky, 2024. "Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen," Statistische Diskussionsbeiträge 57, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
    • Handle: RePEc:pot:statdp:57
    DOI: 10.25932/publishup-66666
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    References listed on IDEAS

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    More about this item

    Keywords

    Backtesting; Historische Simulation; Risikomanagement; Value at Risk; Varianz-Kovarianz-Methode;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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