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Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement 关于金融风险管理集体破产模式的优劣问题
Kredit Und Kapital Pub Date : 2011-10-01 DOI: 10.3790/KUK.44.4.543
G. Weiß
{"title":"Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement","authors":"G. Weiß","doi":"10.3790/KUK.44.4.543","DOIUrl":"https://doi.org/10.3790/KUK.44.4.543","url":null,"abstract":"This article focuses on two questions: In what circumstances should a Copula- GARCH model be preferred to a correlation-based model? And, where appropriate, what Copula-model parameters should be used? In answer to these two questions, the empirical value at risk and expected shortfall study calculates various forms of investment from a total of 1275 bivariate portfolios composed of the log returns of such forms of investment. The simulations made show that for just one-third of the examined portfolios a Copula-GARCH model could help improve the VaR estimates of the DCC model as a correlation-based benchmark. This proves that this study has not been able to show that Copula models are more advantageous in general over correlation-based ones. At the same time, the empirical Copula-based adjustment test, which has been used in this study, has been weak by comparison as regards its ability to select the optimal model. In almost all cases, the GoF test has produced either an ambivalent or a false recommendation. At the same time, it has been demonstrated that certain descriptive statistics may well be used as decisionmaking aid in favour of a Copula-GARCH model and, respectively, the DCC model. Finally, this study shows that the completely time-dependent mixture of Copulas used in this study for the first time have been of an only low prognosticating quality.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"190 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117347952","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Das Ende der Deutschland AG 德国航空没落
Kredit Und Kapital Pub Date : 2011-09-05 DOI: 10.3790/KUK.44.2.185
C. Andres, André Betzer, Inga van den Bongard
{"title":"Das Ende der Deutschland AG","authors":"C. Andres, André Betzer, Inga van den Bongard","doi":"10.3790/KUK.44.2.185","DOIUrl":"https://doi.org/10.3790/KUK.44.2.185","url":null,"abstract":"This article looks into the development of cross-ownership of capital and of management networks in the capital market on the basis of the 150 biggest listed companies in the period 1998/2006. Owing to various institutional changes in the period under review (especially the adoption of the 2000 Tax Cut Act (Steuersenkungsgesetz), we have derived the conclusion that the traditional management structures of Germany Inc. have dissolved. This conclusion is based on the empirical results set out below: We have observed (1) a decline in capital investments inside of the network, (2) the dissolution of the complex capital ownership structures of financial services providers, (3) a thinning out of management networks based on supervisory council positions.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133403408","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Der Einfluss der Aktienkurse und Immobilienpreise auf den Konsum und die Investitionen in Deutschland 股票和房地产价格对德国消费和投资的影响
Kredit Und Kapital Pub Date : 2011-07-01 DOI: 10.3790/KUK.44.3.339
Andreas Nastansky
{"title":"Der Einfluss der Aktienkurse und Immobilienpreise auf den Konsum und die Investitionen in Deutschland","authors":"Andreas Nastansky","doi":"10.3790/KUK.44.3.339","DOIUrl":"https://doi.org/10.3790/KUK.44.3.339","url":null,"abstract":"In recent years, the Central Banks have increasingly focused their attention on the real economic consequences of real asset price fluctuations. Changes in value of financial assets caused by rising and falling asset prices influence the consumption behavior of households and the investment activities of enterprises. The present article discusses the macroeconomic effects of stock price fluctuations and home ownership price movements both in theoretical and in empirical terms. It describes the statistical concept of co-integration as well as the Vector Error Correction Model (VECM) and their application to time series of post-reunification Germany. The empirical analysis serves as basis from which to derive implications for the monetary policy of the European Central Bank (ECB).","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115162637","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asset Management mit barwert- sowie zeitreihenorientierten Rendite- und Risikoprognosen 资产管理包括现金，行现收益率和风险预测
Kredit Und Kapital Pub Date : 2011-07-01 DOI: 10.3790/KUK.44.3.419
Cetin-Behzet Cengiz, R. V. Nitzsch
{"title":"Asset Management mit barwert- sowie zeitreihenorientierten Rendite- und Risikoprognosen","authors":"Cetin-Behzet Cengiz, R. V. Nitzsch","doi":"10.3790/KUK.44.3.419","DOIUrl":"https://doi.org/10.3790/KUK.44.3.419","url":null,"abstract":"In this article we analyze the critical factors deciding on the success of portfolio optimization with the aim of obtaining best possible results for investors. Alternative prognoses of expected returns as well as co-variances serve as input data within diverse frequencies. We subject to an ex-post evaluation the performance, the benchmark of which is given by a buy-and-hold strategy. Our results have important asset management implications: (i) Active asset management results in increases in returns of an average 2.79% per annum. (ii) Time series-oriented approaches are dominant in the case of short-term prognoses and investment horizons, fundamental approaches are dominant in the case of long-term ones. (iii) The prognosticating quality of the covariance matrix decides on significant diversification effects to the tune of an average 1.29% per annum. (iv) The results remain robust against transaction costs in the case of long-term horizons.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121560822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Das Finanzierungsverhalten deutscher Unternehmen – Hinweise auf eine Kreditklemme? 德国企业的融资行为——信贷紧缩?
Kredit Und Kapital Pub Date : 2011-07-01 DOI: 10.3790/KUK.44.3.367
S. Lenger, J. Ernstberger
{"title":"Das Finanzierungsverhalten deutscher Unternehmen – Hinweise auf eine Kreditklemme?","authors":"S. Lenger, J. Ernstberger","doi":"10.3790/KUK.44.3.367","DOIUrl":"https://doi.org/10.3790/KUK.44.3.367","url":null,"abstract":"This article examines the financing behavior of German firms in the period 2000–2006. The analyses show that the investment volumes of non-listed small and medium-sized firms, which – insofar as external sources of finance are concerned – depend on bank lendings to an especially large extent, are strongly determined by internal resources. Moreover, small and medium-sized firms – unlike listed and large non-listed firms – are not able to substitute other financial resources for bank loans. The results of this article suggest that the decline in the aggregated credit volume in the period under review does not exclusively represent a response to structural changes on the demand side. They rather indicate the existence of supply-oriented disturbances in the credit market („credit crunch“) adversely affecting the firms examined to varying degrees.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130004962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Makroökonomische Stabilisierung und „Beggar-Thy-Neighbour“-Verhalten am Beispiel der Finanzkrise 宏观经济稳定和“以邻为壑”行为比如金融危机
Kredit Und Kapital Pub Date : 2011-04-01 DOI: 10.3790/KUK.44.2.161
U. Bechmann, P. Schwarz
{"title":"Makroökonomische Stabilisierung und „Beggar-Thy-Neighbour“-Verhalten am Beispiel der Finanzkrise","authors":"U. Bechmann, P. Schwarz","doi":"10.3790/KUK.44.2.161","DOIUrl":"https://doi.org/10.3790/KUK.44.2.161","url":null,"abstract":"Discretionary fiscal policy can – owing to spillover effects – share characteristics of a public good, whenever some countries stabilize output, whereas others free ride and benefit from increasing import demand. Economic theory suggests that especially small countries and countries with large import shares have an incentive to free ride and stabilize less intensively. Prominent US-economists blamed the German government that it pursues a “Beggar-thy-Neighbour” policy during the current financial crisis. We investigate this hypothesis by analyzing the stimulus packages of roughly 50 countries during the financial crisis. Generally, the effects of country size and import shares are small suggesting that there is no need for international coordination of fiscal policy.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"130 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122923334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel 极端的股票交易运动以及以电子卡门tx凭证拍卖他得到的唯一机会
Kredit Und Kapital Pub Date : 2011-04-01 DOI: 10.3790/KUK.44.2.217
Sebastian Lobe, K. Röder
{"title":"Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel","authors":"Sebastian Lobe, K. Röder","doi":"10.3790/KUK.44.2.217","DOIUrl":"https://doi.org/10.3790/KUK.44.2.217","url":null,"abstract":"As a consequence of the losses resulting from the speculative activities of the stock trader Jerome Kerviel of Societe Generale, the DAX saw a drop of over 7% on 21 January 2008. This is the date on which the highest daily loss was recorded after issuance of the first endless leverage index certificates in 2001. This clinical study analyses the intraday pricing activities of five issuers of endless leverage index certificates on the DAX for this crash day. We have found significant economic and statistical differences between the pricing activities of the individual issuers. In addition, the empirically observed relative valuation difference between the listed price and the fair value also depends on leverage. In the case of long certificates, leverage is responsible for a positive influence on the relative valuation difference and vice versa where short certificates are concerned. The issuers have been found to apply different strategies when adjusting the width of their bid/ask price spread. The relative spread significantly correlates with the relative valuation difference in each case. The relative difference between the DAX cash market and the DAX futures market is the inverse of the valuation difference between listed prices and fair value in the case of long certificates and vice versa in the case of short certificates.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126567416","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Anwendung der Extremwerttheorie zur Quantifizierung von Marktpreisrisiken – Test der Relevanz anhand vergangener Extrembelastungen von DAX und MSCI Europe 应用极端价值理论，以此为量化市场定价风险测试达克斯和MSCI欧洲过去的极端压力与相关性
Kredit Und Kapital Pub Date : 2011-04-01 DOI: 10.3790/KUK.44.2.243
M. Pohl
{"title":"Anwendung der Extremwerttheorie zur Quantifizierung von Marktpreisrisiken – Test der Relevanz anhand vergangener Extrembelastungen von DAX und MSCI Europe","authors":"M. Pohl","doi":"10.3790/KUK.44.2.243","DOIUrl":"https://doi.org/10.3790/KUK.44.2.243","url":null,"abstract":"The Extreme Value Theory is an approach designed with the objective to quantify risks which occur with a very low probability. The empirical application of the Extreme Value Theory in terms of the Peaks Over Threshold (POT)-Method to the index declines of the DAX and the MSCI Europe on 11.9.01, 21.1.08 and 16.10.08 in this paper shows that the quality of risk assessment highly depends on the underlying data source. As the analysis shows the resulting risk level during the considered days is clearly linked to the applied threshold. Nevertheless it is shown that the POT-Method beats the assumption of normal distribution and GARCH models with normally distributed and t-distributed innovations – especially after periods of high market volatility – concerning the goodness of risk quantification for the examined events.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115996610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Risiken von Hedgefonds: Forschungsansätze und Erkenntnisse der aktuellen Kapitalmarktforschung 对冲基金的风险:实验资金和当前资本市场研究结果
Kredit Und Kapital Pub Date : 2011-04-01 DOI: 10.3790/KUK.44.2.279
Johannes Viebig, Thorsten Poddig, Roman Tancar
{"title":"Risiken von Hedgefonds: Forschungsansätze und Erkenntnisse der aktuellen Kapitalmarktforschung","authors":"Johannes Viebig, Thorsten Poddig, Roman Tancar","doi":"10.3790/KUK.44.2.279","DOIUrl":"https://doi.org/10.3790/KUK.44.2.279","url":null,"abstract":"Summary/Zusammenfassung Risks of Hedge Funds: Approaches to Research and Conclusions of Current Capital Market Research This article provides a recent overview over research approaches aimed at quantifying hedge fund risks. Besides the current state of the research on strategy-specific risks of hedge funds, this article discusses the conclusions of a literature review in the fields of the statistical characteristics, the non-linear risks and the phase dependence of hedge funds. More recent research work indicates that hedge funds often deviate from their announced investment style, that there may be a wide-spread fraud phenomenon in the hedge fund industry and that hedge funds are exposed to special credit, liquidity and insolvency risks in periods of financial crisis. Risiken von Hedgefonds: Forschungsansatze und Erkenntnisse der aktuellen Kapitalmarktforschung Dieser Artikel gibt einen aktuellen Uberblick uber Forschungsansatze, die darauf abzielen, Risiken von Hedgefonds zu quantifizieren. Neben dem ak...","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126107385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung 把信用风险评估方法的潜在风险支全纳入明细
Kredit Und Kapital Pub Date : 2010-10-01 DOI: 10.3790/KUK.43.4.559
H. Dannenberg
{"title":"Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung","authors":"H. Dannenberg","doi":"10.3790/KUK.43.4.559","DOIUrl":"https://doi.org/10.3790/KUK.43.4.559","url":null,"abstract":"Summary/Zusammenfassung Taking Account of Estimation Uncertainty in Credit Risk Assessment Value-at-Risk Comparison Using Bootstrapping and an Asymptotic Approach Credit risk assessment requires both probability of default and correlation to be estimated. However, such estimation is subject to uncertainty. In order to assess the uncertainty affecting the simultaneous estimation of both parameters, the discussion in literature focuses on the use of asymptotic confidence regions. However, such regions need a very long credit history to allow such assessment to be exact. Bootstrapping represents an alternative method where the data history is short. But this method gives rise to noticeably more intense calculation work. The present article examines the minimum number of periods that must be available in order that bootstrapping and a Wald confidence region permit a comparable assessment of the credit risk. The methods applied here generate similar results where more than 100 historical periods are available....","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"326 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122143750","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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