Evaluating VaR forecasts under stress: the German experience

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules

Evaluating VaR Forecasts under Stress – The German Experience

We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules.banking supervision, VaR, exploratory data analysis, backtesting

A Structure for General and Specific Market Risk

The paper presents a consistent approach to the modeling of general and specific market risk as defined in regulatory documents. It compares the statistically based beta-factor model with a class of benckmark models that use a broadly based index as major building block for modeling. The investigation of log-return of stock prices that are expressed in units of the market index reveals that these are likely to be Student t distributed. A corresponding discrete time benchmark model is then used to calculate Value-at-Risk for equity portfolios.risk measurement; general market risk; specific market risk; value at risk; financial modeling; benchmark model; growth optimal portfolio

Regionale Kooperation im europäischen Vergleich: Ostsee- und Mittelmeerzusammenarbeit in der Europäischen Union

Der Beitrag erörtert das Thema der regionalen Kooperation im europäischen Vergleich mit besonderem Bezug auf die Ostseezusammenarbeit und die Entwicklung im Mittelmeer der Europäischen Union (EU). Dabei finden die folgenden Aspekte Berücksichtigung: (1) der Paradigmen-Wechsel in der europäischen Politik, (2) die zunehmende Globalisierung, (3) die EU und ihre politische Antwort auf die Globalisierung in Form europäischer Institutionen und Politikgestaltung, (4) die Grundzüge der aktuellen Ostseekooperation, (5) die Mittelmeerpolitik der EU hinsichtlich der politischen und sicherheitspolitischen sowie der wirtschaftlichen und finanziellen Partnerschaft. Die Ostseezusammenarbeit ist nach Ansicht des Autors trotz noch vorhandener Probleme durch die politischen und wirtschaftlichen Erfolge der letzten Jahre und das Zurückgehen geopolitischer Konflikte zu einem europäischen Modellfall und einer Erfolgsgeschichte geworden. Dies gilt nicht für die Mittelmeerzusammenarbeit, hier geht es um Krisenbewältigung in einer politischen und sozialen Risikozone. In der Mittelmeerpolitik geht es auch um Abgrenzung zu Partnern, die keine Beitrittsperspektive haben. Die Ostsee ist hingegen fast ein europäisches Binnenmeer mit guten Wirtschaftsperspektiven geworden. (ICG2

A small viral potassium ion channel with an inherent inward rectification

Some algal viruses have coding sequences for proteins with structural and functional characteristics of pore modules of complex K+ channels. Here we exploit the structural diversity among these channel orthologs to discover new basic principles of structure/function correlates in K+ channels. The analysis of three similar K+ channels with ≤ 86 amino acids (AA) shows that one channel (Kmpv1) generates an ohmic conductance in HEK293 cells while the other two (KmpvSP1, KmpvPL1) exhibit typical features of canonical Kir channels. Like Kir channels, the rectification of the viral channels is a function of the K+ driving force. Reconstitution of KmpvSP1 and KmpvPL1 in planar lipid bilayers showed rapid channel fluctuations only at voltages negative of the K+ reversal voltage. This rectification was maintained in KCl buffer with 1 mM EDTA, which excludes blocking cations as the source of rectification. This means that rectification of the viral channels must be an inherent property of the channel. The structural basis for rectification was investigated by a chimera between rectifying and non-rectifying channels as well as point mutations making the rectifier similar to the ohmic conducting channel. The results of these experiments exclude the pore with pore helix and selectivity filter as playing a role in rectification. The insensitivity of the rectifier to point mutations suggests that tertiary or quaternary structural interactions between the transmembrane domains are responsible for this type of gating