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The Supervisors Portfolio
Company: Deutsche Bundesbank
Year Of Publication: 2005
Month Of Publication: March
Pages: 40
Download Count: 677
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 4-29-2005
Publisher: Administrator
Summary
Using the daily real data of twelve German commercial banks for their Value at Risk estimates, the authors proceed an analysis of the effects for a hypothetical portfolio held by the supervisor. By doing this, several aggregation models are proposed and backtesting techniques are used to assess their resprective validity. The main findings are that there can be a reduced form model constructed for a meaningful out-of-sample estimate for the sector's Value at Risk, that the diversification effects are significant during 'normal' times and that relative marginal risk contribution varies between 0.05 and 0.62 depending on the size of the bank. The analysis and the introduced models use new approaches to assess the financial sector's market risks and apply them in an emprical study by exclusive real data.
Author(s)
Wehn, Carsten S. Sign in to follow this author
Memmel, Christoph Sign in to follow this author
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