https://www.controlling-wiki.com/de/index.php?action=history&feed=atom&title=Value_at_Risk 2026-05-02T08:58:05Z Versionsgeschichte dieser Seite in ControllingWiki MediaWiki 1.33.3 https://www.controlling-wiki.com/de/index.php?title=Value_at_Risk&diff=12415&oldid=prev 2019-02-08T14:16:24Z

<p></p> <table class="diff diff-contentalign-left" data-mw="interface"> <col class="diff-marker" /> <col class="diff-content" /> <col class="diff-marker" /> <col class="diff-content" /> <tr class="diff-title" lang="de-x-formal"> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">← Nächstältere Version</td> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">Version vom 8. Februar 2019, 14:16 Uhr</td> </tr><tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l1" >Zeile 1:</td> <td colspan="2" class="diff-lineno">Zeile 1:</td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;">''Prüfsiegel gültig bis 2020''</ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Definition ==</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Definition ==</div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> </table>

Wiki-Redaktion https://www.controlling-wiki.com/de/index.php?title=Value_at_Risk&diff=11719&oldid=prev 2017-09-11T13:52:33Z

<p></p> <table class="diff diff-contentalign-left" data-mw="interface"> <col class="diff-marker" /> <col class="diff-content" /> <col class="diff-marker" /> <col class="diff-content" /> <tr class="diff-title" lang="de-x-formal"> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">← Nächstältere Version</td> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">Version vom 11. September 2017, 13:52 Uhr</td> </tr><tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l3" >Zeile 3:</td> <td colspan="2" class="diff-lineno">Zeile 3:</td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Der Value-at-Risk für eine Periode eine angenommene Wahrscheinlichkeitsgrenze (Alpha) ist der Erwartungswert verringert um den Mindest-Cashflow, oder mathematisch vereinfacht:</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Der Value-at-Risk für eine Periode eine angenommene Wahrscheinlichkeitsgrenze (Alpha) ist der Erwartungswert verringert um den Mindest-Cashflow, oder mathematisch vereinfacht:</div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div>Value-at-Risk<del class="diffchange diffchange-inline">(1-P) = - QP  x STABW </del></div></td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins class="diffchange diffchange-inline">[[Image:</ins>Value-at-Risk.<ins class="diffchange diffchange-inline">png]]</ins></div></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline">Der Mindest-Cashflow errechnet sich mit:</del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline">Mindest-Cashflow = Erwartungswert - QP  x STABW </del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline">Mit:</del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline"> STABW  = Standardabweichung</del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline"> P  = Wahrscheinlichkeit</del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline"> QP = Quantil der Normalverteilung bei der Wahrscheinlichkeit P</del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline"> </del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline">  </del>.<del class="diffchange diffchange-inline">..  = Betrag von </del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline">Bei mehreren Perioden kann der Zeitraum in der Formel wie folgt berücksichtigt werden:</del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline">Value-at-Risk(1-P) = - QP  x Wurzel aus t x STABW </del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline">Mit:</del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div> </div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div><del class="diffchange diffchange-inline"> (t) = Anzahl der Perioden (Tage, Monate, Jahre)</del></div></td><td colspan="2"> </td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> </table>

Wiki-Redaktion https://www.controlling-wiki.com/de/index.php?title=Value_at_Risk&diff=11213&oldid=prev 2017-02-28T14:56:38Z

<p></p> <table class="diff diff-contentalign-left" data-mw="interface"> <col class="diff-marker" /> <col class="diff-content" /> <col class="diff-marker" /> <col class="diff-content" /> <tr class="diff-title" lang="de-x-formal"> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">← Nächstältere Version</td> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">Version vom 28. Februar 2017, 14:56 Uhr</td> </tr><tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l4" >Zeile 4:</td> <td colspan="2" class="diff-lineno">Zeile 4:</td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Value-at-Risk(1-P) = - QP  x STABW </div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Value-at-Risk(1-P) = - QP  x STABW </div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Der Mindest-Cashflow errechnet sich mit:</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Der Mindest-Cashflow errechnet sich mit:</div></td></tr> <tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l18" >Zeile 18:</td> <td colspan="2" class="diff-lineno">Zeile 20:</td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>   </div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>   </div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>   ...  = Betrag von  </div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>   ...  = Betrag von  </div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l27" >Zeile 27:</td> <td colspan="2" class="diff-lineno">Zeile 30:</td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>  (t) = Anzahl der Perioden (Tage, Monate, Jahre)</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>  (t) = Anzahl der Perioden (Tage, Monate, Jahre)</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Datenbeschaffung ==</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Datenbeschaffung ==</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Anwendungsvoraussetzung ist die Kenntnis eines Erwartungswertes (EW), der zudem im Standardmodell normalverteilt sein muss, und der zugehörigen Standardabweichung (STABW). Im nächsten Schritt ist dann der Wert zu ermitteln, der nur mit einer bestimmten Wahrscheinlichkeit (P) unterschritten wird. Es interessiert somit nur die Fehlerwahrscheinlichkeit, die z.B. bei unterstellter Normalverteilung für P = 5% ein Quantil (QP) von 1,6449 ergibt.</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Anwendungsvoraussetzung ist die Kenntnis eines Erwartungswertes (EW), der zudem im Standardmodell normalverteilt sein muss, und der zugehörigen Standardabweichung (STABW). Im nächsten Schritt ist dann der Wert zu ermitteln, der nur mit einer bestimmten Wahrscheinlichkeit (P) unterschritten wird. Es interessiert somit nur die Fehlerwahrscheinlichkeit, die z.B. bei unterstellter Normalverteilung für P = 5% ein Quantil (QP) von 1,6449 ergibt.</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Interpretation ==</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Interpretation ==</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Risikoadjustierte Kennzahlen entstehen aus der Synthese von Erfolgs- und Risikogrößen. Sie basieren auf dem Value-at-Risk-Konzept. Ausgedrückt wird ein absoluter Betrag, der den maximalen potentiellen Verlust, verstanden als entgangener Cashflow, kennzeichnet, der mit einer bestimmten Wahrscheinlichkeit, hier Konfidenzniveau genannt, innerhalb eines Betrachtungszeitraumes nicht überschritten wird. Betrachtet werden somit nur Risiken i.e.S. und keine Chancen. Zentraler Kritikpunkt ist die vereinfachende Verwendung der Normalverteilung, die empirisch für derartige Unternehmenssachverhalte nicht belegt ist.</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Risikoadjustierte Kennzahlen entstehen aus der Synthese von Erfolgs- und Risikogrößen. Sie basieren auf dem Value-at-Risk-Konzept. Ausgedrückt wird ein absoluter Betrag, der den maximalen potentiellen Verlust, verstanden als entgangener Cashflow, kennzeichnet, der mit einer bestimmten Wahrscheinlichkeit, hier Konfidenzniveau genannt, innerhalb eines Betrachtungszeitraumes nicht überschritten wird. Betrachtet werden somit nur Risiken i.e.S. und keine Chancen. Zentraler Kritikpunkt ist die vereinfachende Verwendung der Normalverteilung, die empirisch für derartige Unternehmenssachverhalte nicht belegt ist.</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Literatur ==</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Literatur ==</div></td></tr> <tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l39" >Zeile 39:</td> <td colspan="2" class="diff-lineno">Zeile 50:</td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Lachnit, L./Müller, S.: Unternehmenscontrolling, 2. Aufl., Wiesbaden 2012.</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Lachnit, L./Müller, S.: Unternehmenscontrolling, 2. Aufl., Wiesbaden 2012.</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Ersteinstellender Autor ==</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Ersteinstellender Autor ==</div></td></tr> </table>

188.174.93.150 https://www.controlling-wiki.com/de/index.php?title=Value_at_Risk&diff=4075&oldid=prev 2013-02-13T11:29:48Z

<p><span dir="auto"><span class="autocomment">Datenbeschaffung</span></span></p> <table class="diff diff-contentalign-left" data-mw="interface"> <col class="diff-marker" /> <col class="diff-content" /> <col class="diff-marker" /> <col class="diff-content" /> <tr class="diff-title" lang="de-x-formal"> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">← Nächstältere Version</td> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">Version vom 13. Februar 2013, 11:29 Uhr</td> </tr><tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l29" >Zeile 29:</td> <td colspan="2" class="diff-lineno">Zeile 29:</td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Datenbeschaffung ==</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Datenbeschaffung ==</div></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div>Anwendungsvoraussetzung ist die Kenntnis eines Erwartungswertes (EW), der zudem im Standardmodell normalverteilt sein muss, und der zugehörigen Standardabweichung (<del class="diffchange diffchange-inline"></del>). Im nächsten Schritt ist dann der Wert zu ermitteln, der nur mit einer bestimmten Wahrscheinlichkeit (<del class="diffchange diffchange-inline"></del>) unterschritten wird. Es interessiert somit nur die Fehlerwahrscheinlichkeit, die z.B. bei unterstellter Normalverteilung für <del class="diffchange diffchange-inline"> </del>= 5% ein Quantil (<del class="diffchange diffchange-inline"></del>) von 1,6449 ergibt. <del class="diffchange diffchange-inline">Unter diesen Annahmen kann der Mindest-Cashflow wie folgt ermittelt werden:</del></div></td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div>Anwendungsvoraussetzung ist die Kenntnis eines Erwartungswertes (EW), der zudem im Standardmodell normalverteilt sein muss, und der zugehörigen Standardabweichung (<ins class="diffchange diffchange-inline">STABW</ins>). Im nächsten Schritt ist dann der Wert zu ermitteln, der nur mit einer bestimmten Wahrscheinlichkeit (<ins class="diffchange diffchange-inline">P</ins>) unterschritten wird. Es interessiert somit nur die Fehlerwahrscheinlichkeit, die z.B. bei unterstellter Normalverteilung für <ins class="diffchange diffchange-inline">P </ins>= 5% ein Quantil (<ins class="diffchange diffchange-inline">QP</ins>) von 1,6449 ergibt.</div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Interpretation ==</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Interpretation ==</div></td></tr> </table>

178.142.74.116 https://www.controlling-wiki.com/de/index.php?title=Value_at_Risk&diff=4074&oldid=prev 2013-02-13T11:28:50Z

<p><span dir="auto"><span class="autocomment">Definition</span></span></p> <table class="diff diff-contentalign-left" data-mw="interface"> <col class="diff-marker" /> <col class="diff-content" /> <col class="diff-marker" /> <col class="diff-content" /> <tr class="diff-title" lang="de-x-formal"> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">← Nächstältere Version</td> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">Version vom 13. Februar 2013, 11:28 Uhr</td> </tr><tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l1" >Zeile 1:</td> <td colspan="2" class="diff-lineno">Zeile 1:</td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Definition ==</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Definition ==</div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div>Der Value-at-Risk für eine Periode eine angenommene Wahrscheinlichkeitsgrenze (<del class="diffchange diffchange-inline"></del>) ist der Erwartungswert verringert um den Mindest-Cashflow, oder mathematisch vereinfacht:</div></td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div>Der Value-at-Risk für eine Periode eine angenommene Wahrscheinlichkeitsgrenze (<ins class="diffchange diffchange-inline">Alpha</ins>) ist der Erwartungswert verringert um den Mindest-Cashflow, oder mathematisch vereinfacht:</div></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div>Value-at-<del class="diffchange diffchange-inline">Risk1</del>-<del class="diffchange diffchange-inline"> </del>= - <del class="diffchange diffchange-inline"> </del> x <del class="diffchange diffchange-inline"> </del></div></td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div>Value-at-<ins class="diffchange diffchange-inline">Risk(1</ins>-<ins class="diffchange diffchange-inline">P) </ins>= - <ins class="diffchange diffchange-inline">QP </ins> x <ins class="diffchange diffchange-inline">STABW </ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Der Mindest-Cashflow errechnet sich mit:</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Der Mindest-Cashflow errechnet sich mit:</div></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div>Mindest-Cashflow = Erwartungswert - <del class="diffchange diffchange-inline"> </del> x <del class="diffchange diffchange-inline"> </del></div></td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div>Mindest-Cashflow = Erwartungswert - <ins class="diffchange diffchange-inline">QP </ins> x <ins class="diffchange diffchange-inline">STABW </ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Mit:</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Mit:</div></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div>  <del class="diffchange diffchange-inline">() </del>= Standardabweichung</div></td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div>  <del class="diffchange diffchange-inline">() </del>= Wahrscheinlichkeit</div></td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins class="diffchange diffchange-inline"> STABW </ins> = Standardabweichung</div></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div>  <del class="diffchange diffchange-inline">() </del>= Quantil der Normalverteilung bei der Wahrscheinlichkeit <del class="diffchange diffchange-inline"></del></div></td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins class="diffchange diffchange-inline"> P </ins> = Wahrscheinlichkeit</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div>  <ins class="diffchange diffchange-inline">QP </ins>= Quantil der Normalverteilung bei der Wahrscheinlichkeit <ins class="diffchange diffchange-inline">P</ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins class="diffchange diffchange-inline"> </ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins class="diffchange diffchange-inline">  ...  = Betrag von </ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Bei mehreren Perioden kann der Zeitraum in der Formel wie folgt berücksichtigt werden:</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Bei mehreren Perioden kann der Zeitraum in der Formel wie folgt berücksichtigt werden:</div></td></tr> <tr><td class='diff-marker'>−</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #ffe49c; vertical-align: top; white-space: pre-wrap;"><div>Value-at-<del class="diffchange diffchange-inline">Risk1</del>-<del class="diffchange diffchange-inline"> </del>= - <del class="diffchange diffchange-inline"> </del> x Wurzel aus t x <del class="diffchange diffchange-inline"> </del></div></td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div>Value-at-<ins class="diffchange diffchange-inline">Risk(1</ins>-<ins class="diffchange diffchange-inline">P) </ins>= - <ins class="diffchange diffchange-inline">QP </ins> x Wurzel aus t x <ins class="diffchange diffchange-inline">STABW </ins></div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div> </div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Mit:</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Mit:</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>  (t) = Anzahl der Perioden (Tage, Monate, Jahre)</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>  (t) = Anzahl der Perioden (Tage, Monate, Jahre)</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Datenbeschaffung ==</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>== Datenbeschaffung ==</div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Anwendungsvoraussetzung ist die Kenntnis eines Erwartungswertes (EW), der zudem im Standardmodell normalverteilt sein muss, und der zugehörigen Standardabweichung (). Im nächsten Schritt ist dann der Wert zu ermitteln, der nur mit einer bestimmten Wahrscheinlichkeit () unterschritten wird. Es interessiert somit nur die Fehlerwahrscheinlichkeit, die z.B. bei unterstellter Normalverteilung für  = 5% ein Quantil () von 1,6449 ergibt. Unter diesen Annahmen kann der Mindest-Cashflow wie folgt ermittelt werden:</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Anwendungsvoraussetzung ist die Kenntnis eines Erwartungswertes (EW), der zudem im Standardmodell normalverteilt sein muss, und der zugehörigen Standardabweichung (). Im nächsten Schritt ist dann der Wert zu ermitteln, der nur mit einer bestimmten Wahrscheinlichkeit () unterschritten wird. Es interessiert somit nur die Fehlerwahrscheinlichkeit, die z.B. bei unterstellter Normalverteilung für  = 5% ein Quantil () von 1,6449 ergibt. Unter diesen Annahmen kann der Mindest-Cashflow wie folgt ermittelt werden:</div></td></tr> </table>

178.142.74.116 https://www.controlling-wiki.com/de/index.php?title=Value_at_Risk&diff=4073&oldid=prev 2013-02-13T11:23:29Z

<p><span dir="auto"><span class="autocomment">Literatur</span></span></p> <table class="diff diff-contentalign-left" data-mw="interface"> <col class="diff-marker" /> <col class="diff-content" /> <col class="diff-marker" /> <col class="diff-content" /> <tr class="diff-title" lang="de-x-formal"> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">← Nächstältere Version</td> <td colspan="2" style="background-color: #fff; color: #222; text-align: center;">Version vom 13. Februar 2013, 11:23 Uhr</td> </tr><tr><td colspan="2" class="diff-lineno" id="mw-diff-left-l23" >Zeile 23:</td> <td colspan="2" class="diff-lineno">Zeile 23:</td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Dowd, K.: Value-at-Risk, Chichester 1998.</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Dowd, K.: Value-at-Risk, Chichester 1998.</div></td></tr> <tr><td colspan="2"> </td><td class='diff-marker'>+</td><td style="color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #a3d3ff; vertical-align: top; white-space: pre-wrap;"><div><ins style="font-weight: bold; text-decoration: none;"></ins></div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Lachnit, L./Müller, S.: Unternehmenscontrolling, 2. Aufl., Wiesbaden 2012.</div></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"><div>Lachnit, L./Müller, S.: Unternehmenscontrolling, 2. Aufl., Wiesbaden 2012.</div></td></tr> <tr><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td><td class='diff-marker'> </td><td style="background-color: #f8f9fa; color: #222; font-size: 88%; border-style: solid; border-width: 1px 1px 1px 4px; border-radius: 0.33em; border-color: #eaecf0; vertical-align: top; white-space: pre-wrap;"></td></tr> </table>

178.142.74.116 https://www.controlling-wiki.com/de/index.php?title=Value_at_Risk&diff=4072&oldid=prev 2013-02-13T11:22:58Z

<p>Die Seite wurde neu angelegt: „== Definition == Der Value-at-Risk für eine Periode eine angenommene Wahrscheinlichkeitsgrenze () ist der Erwartungswert verringert um den Mindest-Cashflow, …“</p> <p><b>Neue Seite</b></p><div>== Definition ==<br /> <br /> Der Value-at-Risk für eine Periode eine angenommene Wahrscheinlichkeitsgrenze () ist der Erwartungswert verringert um den Mindest-Cashflow, oder mathematisch vereinfacht:<br /> Value-at-Risk1- = -  x  <br /> Der Mindest-Cashflow errechnet sich mit:<br /> Mindest-Cashflow = Erwartungswert -  x  <br /> Mit:<br /> () = Standardabweichung<br /> () = Wahrscheinlichkeit<br /> () = Quantil der Normalverteilung bei der Wahrscheinlichkeit <br /> <br /> Bei mehreren Perioden kann der Zeitraum in der Formel wie folgt berücksichtigt werden:<br /> Value-at-Risk1- = -  x Wurzel aus t x  <br /> Mit:<br /> (t) = Anzahl der Perioden (Tage, Monate, Jahre)<br /> == Datenbeschaffung ==<br /> Anwendungsvoraussetzung ist die Kenntnis eines Erwartungswertes (EW), der zudem im Standardmodell normalverteilt sein muss, und der zugehörigen Standardabweichung (). Im nächsten Schritt ist dann der Wert zu ermitteln, der nur mit einer bestimmten Wahrscheinlichkeit () unterschritten wird. Es interessiert somit nur die Fehlerwahrscheinlichkeit, die z.B. bei unterstellter Normalverteilung für  = 5% ein Quantil () von 1,6449 ergibt. Unter diesen Annahmen kann der Mindest-Cashflow wie folgt ermittelt werden:<br /> <br /> == Interpretation ==<br /> Risikoadjustierte Kennzahlen entstehen aus der Synthese von Erfolgs- und Risikogrößen. Sie basieren auf dem Value-at-Risk-Konzept. Ausgedrückt wird ein absoluter Betrag, der den maximalen potentiellen Verlust, verstanden als entgangener Cashflow, kennzeichnet, der mit einer bestimmten Wahrscheinlichkeit, hier Konfidenzniveau genannt, innerhalb eines Betrachtungszeitraumes nicht überschritten wird. Betrachtet werden somit nur Risiken i.e.S. und keine Chancen. Zentraler Kritikpunkt ist die vereinfachende Verwendung der Normalverteilung, die empirisch für derartige Unternehmenssachverhalte nicht belegt ist.<br /> <br /> == Literatur ==<br /> <br /> Dowd, K.: Value-at-Risk, Chichester 1998.<br /> Lachnit, L./Müller, S.: Unternehmenscontrolling, 2. Aufl., Wiesbaden 2012.<br /> <br /> == Ersteinstellender Autor ==<br /> <br /> Univ.-Prof. Dr. Stefan Müller <br /> <br /> [http://www.hsu-hh.de/abwl/ www.hsu-hh.de/abwl]<br /> <br /> [[Kategorie:Kennzahlen]]</div>

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