Measures and models of financial risk [Elektronische Ressource] / von Stefan Weber

Measures and Models of Financial RiskDISSERTATIONzur Erlangung des akademischen Gradesdoctor rerum naturalium(dr. rer. nat.)im Fach Mathematikeingereicht an derMathematisch-Naturwissenschaftlichen Fakultät IIHumboldt-Universität zu BerlinvonDiplom-Mathematiker Stefan Webergeboren am 6. Mai 1973 in HannoverPräsident der Humboldt-Universität zu Berlin:Prof. Dr.Jürgen MlynekDekan der Mathematisch-Naturwissenschaftlichen Fakultät II:Prof. Dr.Uwe KüchlerGutachter:(1) Prof. Dr.Hans Föllmer(2) Prof. Dr.Frank Riedel(3) Prof. Dr.Alexander Schiedeingereicht am: 29. Juni 2004Tag der mündlichen Prüfung: 12. November 2004AbstractIn this thesis, we study monetary measures and endogenous models of financial risk.The first part considers two aspects of the quantification of financial risk. We focuson the one hand on the calculation of risk measurements by Monte Carlo simulation.On the other hand, we investigate a particular class of dynamic risk measures. In thesecondpartweanalyzetwomodelsoffinancialriskineconomieswithinteractingagents.First, we focus on credit contagion of firms which interact with each other in a networkof business partners. Second, we investigate the market interaction of investors withbounded rationality in an evolutionary selection market model.The simulation of distributions of the value of financial positions is an importantissueforfinancialinstitutions.