Zur Berucksichtigung des Modellrisikos bei der Bewertung strukturierter Finanzprodukte

by David Sebastian Shkel

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Extent: 283 pages

Publisher: Berliner Wissenschafts-Verlag

Subjects: Business & Economics, Technical Sciences: Computer Science, Engineering, IT, & Math

Series: Neue Betriebswirtschaftliche Studienbucher

Language: German

Paperback (No longer our product)

(August 2020)

ISBN: 9783830550426

5.98 x 8.98 inches

Price: $75.00

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Derivate nehmen an Finanzmarkten eine wichtige Stellung ein. Institutionelle Anleger nutzen sie zur Absicherung und zur Spekulation. Traditionell sind Privatanleger vom Derivatemarkt ausgeschlossen. Dies anderte sich mit der Einfuhrung verbriefter Derivate, sogenannter strukturierter Finanzprodukte, welche bereits mit geringem Mitteleinsatz handelbar sind. In Deutschland und der Schweiz erfreuen sie sich grosser Beliebtheit. Die Bewertung komplexer Derivate stellt jedoch eine grosse Herausforderung dar und unterliegt dem Modellrisiko. David Shkel zeigt auf, dass dieses Risiko fur Produkte mit eingebetteten Barriere-Optionen eine beachtenswerte Grossenordnung aufweist. Zudem analysiert er die massgeblichen Einflussfaktoren auf die Hohe des Modellrisikos und untersucht den Umgang der Emittenten mit dieser Grosse. Aufgrund der beachtlichen Ergebnisse besitzt die Arbeit sowohl fur Privatanleger und Emittenten als auch fur die Wissenschaft eine hohe Relevanz.

  • By (author) David Sebastian Shkel

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