The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating...

Für Unternehmensdaten existieren im Gegensatz zu Personendaten keine einheitlichen Regeln zur Erstellung von Scientific-Use-Files, d.h. eines anonymisierten Datenfiles zur wissenschaftlichen Nutzung. Verschiedene Anonymisierungsmethoden werden hier vorgestellt. Um Mikrodaten einer breiten...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating...

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

Für Unternehmensdaten existieren im Gegensatz zu Personendaten keine einheitlichen Regeln zur Erstellung von Scientific-Use-Files, d.h. eines anonymisierten Datenfiles zur wissenschaftlichen Nutzung. Verschiedene Anonymisierungsmethoden werden hier vorgestellt. Um Mikrodaten einer breiten...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating...

Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i.e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and trading a position, we first define market liquidity risk,...