Value at Risk Fur Kreditinstitute: Erfassung Des Aggregierten Marktrisikopotentials

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Der Autor analysiert Moeglichkeiten und Grenzen der Risikoerfassung und zeigt, dass die meisten Value-at-Risk-Modelle auf restriktiven Pramissen beruhen, die im Widerspruch zu empirischen Befunden stehen.