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Effektives Risikomanagement in turbulenten Zeiten: Wie Sie Szenarien und Simulationen richtig nutzen
Um im zunehmend dynamischeren Umfeld flexibler auf Chancen und Risiken reagieren zu können, sind Delegation und Dezentralisierung wichtige Maßnahmen. Es ist jedoch nur ein Teil des Weges: Nur wer dieses kombiniert mit der gedanklichen Auseinandersetzung und Integration von Chancen und Risiken über Organisationseinheiten hinweg, wird auch langfristig erfolgreich sein. Szenarien und betriebswirtschaftliche Simulationen sind geeignete Methoden mit unbestrittenem Nutzen für das Management von Chancen und Risiken, aber bisher eher sporadischer Anwendung. Dabei ist ihre Nutzung bei Berücksichtigung einiger Kriterien zur Auswahl des passenden Ansatzes überraschend unkompliziert.
[Quelle: Risk, Compliance & Audit, Ausgabe 05/2010, Seite 12-18]
[Quelle: Risk, Compliance & Audit, Ausgabe 05/2010, Seite 12-18]
9515 Downloads01.10.2010
Datei downloaden "Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of Collateralized Debt Obligations (CDOs) in some detail. The analyses reveal significant differences in the risk profile between CDO tranches and corporate bonds, in particular concerning the considerably increased sensitivity to systematic risks. This has farreaching consequences for risk management, pricing and regulatory capital requirements. A simple analytical valuation model based on the CAPM and the single-factor Merton model is used in order to keep the model framework simple. Then, the conditional expected loss curve (EL profile) is studied in some detail. In the next step, the asset correlation associated with a CDO tranche is estimated treating the structured instrument as a single-name credit instrument (i.e., a loan equivalent). While tractable, the loan-equivalent approach requires appropriate parameterization to achieve a reasonable approximation of the tranche´s risk profile. We consider the tranche as a "virtual" borrower or bond for which a single-factor model holds. Then, the correlation parameter is calculated via a non-linear optimization. This "bond representation" allows to approximate the risk profile (expressed by the EL profile) using a single-factor model and to express the dependence on the systematic risk factor via the corresponding asset correlation. It turns out that the resulting asset correlation is many times higher than that of straight bonds. Then, the Merton type valuation model for the corresponding bond representations is applied for valuation of the CDO tranches. Using a sample CDO portfolio, some opportunities for "CDO arbitrage" are described where it is assumed that investors are guided solely by the tranches’ rating and ignore the increased systematic risk for pricing. In the next section we discuss how tranches with high systematic risk can be generated and how CDO arrangers can exploit this to their advantage. It comes as no surprise that precisely these types of structures featured in many of the CDOs issued prior to the outbreak of the financial crisis.
[Source: Discussion Paper No 13, Series 2: Banking and Financial Studies, 2009, Deutsche Bundesbank, Frankfurt/Main]
[Source: Discussion Paper No 13, Series 2: Banking and Financial Studies, 2009, Deutsche Bundesbank, Frankfurt/Main]
7179 Downloads16.09.2010
Datei downloaden Spätestens 2007/2008 ist offensichtlich geworden, dass Risikokonzentrationen in den Finanzinstituten noch nicht ausreichend berücksichtigt werden. Expliziten Handlungsbedarf signalisiert auch die Bankenaufsicht, zuletzt durch den MaRisk-Entwurf vom 9. Juli 2010. Die Integration von Risikokonzentrationen in die Prozesse des Risikomanagements- und -controllings ist wohl ein wesentlicher Meilenstein für den Ausbruch aus dem Denken in einzelnen Risikoarten-Silos. Auf diesem Weg sind jedoch noch einige Hürden zu überwinden. Dies wird nachfolgend am Beispiel der Bewertung von Risikokonzentrationen gezeigt.
[Quelle: Brzozowska, Aneta/Stübner, Peter: Bewertung von Risikokonzentrationen – mehr als nur neue Kennzahlen, in: RISIKO MANAGER, Ausgabe 17/2010, S. 1, 8-16.]
[Quelle: Brzozowska, Aneta/Stübner, Peter: Bewertung von Risikokonzentrationen – mehr als nur neue Kennzahlen, in: RISIKO MANAGER, Ausgabe 17/2010, S. 1, 8-16.]
11309 Downloads15.09.2010
Datei downloaden A major source of risk in project management is inaccurate forecasts of project costs, demand, and other impacts. The paper presents a promising new approach to mitigating such risk based on theories of decision-making under uncertainty, which won the 2002 Nobel Prize in economics. First, the paper documents inaccuracy and risk in projectmanagement.
Second, it explains inaccuracy in terms of optimism bias and strategic misrepresentation. Third, the theoretical basis is presented for a promising new method called "reference class forecasting", which achieves accuracy by basing forecasts on actual performance in a reference class of comparable projects and thereby bypassing both optimism bias and strategic misrepresentation. Fourth, the paper presents the first instance of practical reference class forecasting, which concerns cost forecasts for large transportation infrastructure projects. Finally, potentials for and barriers to reference class forecasting are assessed.
[Source: Flyvbjerg, Bent: From Nobel Prize to Project Management: Getting Risks Right, in: Project Management Journal (Project Management Institute) 37 (3): 5–15.]
Second, it explains inaccuracy in terms of optimism bias and strategic misrepresentation. Third, the theoretical basis is presented for a promising new method called "reference class forecasting", which achieves accuracy by basing forecasts on actual performance in a reference class of comparable projects and thereby bypassing both optimism bias and strategic misrepresentation. Fourth, the paper presents the first instance of practical reference class forecasting, which concerns cost forecasts for large transportation infrastructure projects. Finally, potentials for and barriers to reference class forecasting are assessed.
[Source: Flyvbjerg, Bent: From Nobel Prize to Project Management: Getting Risks Right, in: Project Management Journal (Project Management Institute) 37 (3): 5–15.]
2946 Downloads27.08.2010
Datei downloaden The liberalization of electricity markets has forced the energy producing companies to react to the new situation. The abolishment of monopolies and the launch of open markets have increased the need of calculating costs closer to the profit frontier to be still competitive, not only against the other German but also against foreign suppliers. Thus, an efficient risk management and risk controlling are needed to ensure the financial survival of the company even during bad times. In this work we use the RAROC methodology to develop a Monte Carlo Simulation based model to quantify risks related to wholesale electricity contracts, also called full load contracts. We do not only consider risk due to market price fluctuations but also due to correlation effects between the spot market price and the load curve of a single customer.
[Authors: M.Prokopczuk, S.Rachev and S.Trueck]
[Authors: M.Prokopczuk, S.Rachev and S.Trueck]
3765 Downloads27.08.2010
Datei downloaden Um nachhaltig eine risikoadjustierte Outperformance im Private Wealth Management zu erzielen, ist die kontinuierliche Weiterentwicklung des Portfoliomanagements erforderlich. Notwendig sind spezielle Instrumente, die moderne Bewertungsmethoden und Ergebnisse der empirischen Kapitalmarktforschung nutzen und insbesondere nicht auf den Standardannahmen der Theorie vollkommener Kapitalmärkte basieren.
[Quelle: die bank, Nr. 4/2010, S. 28-31]
[Quelle: die bank, Nr. 4/2010, S. 28-31]
4155 Downloads05.07.2010
Datei downloaden Der Deutsche Bundestag und der Bundesrat haben 2009 das "Gesetz zur Änderung des Bundesdatenschutzgesetzes" (BDSG-Novelle I) betreffend Scoring und Auskunfteien beschlossen, das zum 1. April 2010 in Kraft getreten ist. Ziel der neuen Regelungen ist es unter anderem die Transparenz beim Einsatz von Scoring-Verfahren zu erhöhen. Unternehmen und Auskunfteien sind somit seit Anfang April 2010 dazu verpflichtet, ihren Kunden auf Anfrage deren Scoring schriftlich und verständlich offen zu legen. Wir stellen in diesem Beitrag den rechtlichen Rahmen dieser Gesetzesnovelle vor und entwickeln daraufhin ein Modell, welches eine Offenlegung für Scoringsysteme aller Art ermöglicht. Das entwickelte Konzept garantiert, dass der Kunde ausreichend in die Stärken und Schwächen seiner Bonität Einsicht nehmen kann, ohne gleichzeitig methodisch die Grundlagen multivariater Merkmalsanalysen oder Regressionsmodelle verstehen zu müssen. In einem Beispiel aus dem Bereich des Konsumentenkredit-Scoring wird das Konzept ausgeführt und zeigt eine technische Lösung, so wie sie von Banken jeder Größe implementiert werden kann.
[Quelle: Markus J. Rieder/Olaf Schulze: Ein Modell zur Scoring-Beauskunftung, in: RIsiko MANAGER 11/2010, S. 10-17.]
[Quelle: Markus J. Rieder/Olaf Schulze: Ein Modell zur Scoring-Beauskunftung, in: RIsiko MANAGER 11/2010, S. 10-17.]
5484 Downloads22.06.2010
Datei downloaden Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or no academic attention has been paid to the combination of these two topics. In this paper, we consider Bayesian inference for alpha-stable distributions with particular regard to hedge fund performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of several competing conditional and unconditional models that are estimated in both the frequentist and Bayesian setting. We find that the conditional Bayesian model with stable innovations has superior risk prediction capabilities compared with other approaches and, in particular, produced better risk forecasts of the abnormally large losses that some hedge funds sustained in the months of September and October 2008.
[Authors: Biliana Güner, Svetlozar T. Rachev, Daniel Edelman, Frank J. Fabozzi]
[Authors: Biliana Güner, Svetlozar T. Rachev, Daniel Edelman, Frank J. Fabozzi]
4603 Downloads22.06.2010
Datei downloaden A crucial problem for institutional money managers that are focussed on one sector or sub-sector of financial markets is to know to what degree they depend on the broad markets they aim at diversifying away from. This is a special problem for fund of fund (FoF) managers because with an increasing number of target funds, the marginal contribution from diversification decreases and active bets of target funds may be cancelled out. Furthermore, when appropriate tools to hedge or reduce risks are unavailable for the respective sectors, investments in derivatives on a more general universe or index may become necessary. Both problems make an appropriate method for estimating sector FoF risk exposure to the general markets necessary. We provide a solution for sector portfolios that is especially comforting when being applied to small datasets. Our parsimonious approach of using only short time spans for estimating broad market dependence of the sector portfolio is particularly interesting for practical applications, as it is in line with requirements in the industry where very recent and frequently updated risk measures are used and demanded for by regulators.
[Authors: Michael Stein, Svetlozar T. Rachev, Stoyan V. Stoyanov]
[Authors: Michael Stein, Svetlozar T. Rachev, Stoyan V. Stoyanov]
3308 Downloads22.06.2010
Datei downloaden Portfolio risk estimation requires appropriate modeling of fat-tails and asymmetries in dependence in combination with a true downside risk measure. In this survey, we discuss computational aspects of a Monte-Carlo based framework for risk estimation and risk capital allocation. We review different probabilistic approaches focusing on practical aspects of statistical estimation and scenario generation. We discuss value-at-risk and conditional value-at-risk and comment on the implications of using a fat-tailed framework for the reliability of risk estimates.
[Authors: Stoyan V. Stoyanov ,Svetlozar T. Rachev, Frank J. Fabozzi]
[Authors: Stoyan V. Stoyanov ,Svetlozar T. Rachev, Frank J. Fabozzi]
3254 Downloads22.06.2010
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