Im Gegensatz zu rein national tätigen Unternehmen unterliegen multinationaltätige Unternehmen zusätzlichen Risiken. Neben der Identifizierung derartiger Risiken erfolgt in die-sem Beitrag die Entwicklung von Maßnahmen, mit denen sich solche zielgerichtet beeinflussen lassen.Neben...

Die von Investmentgesellschaften durch den Verkauf von Produkten mit integrierterfinanzwirtschaftlicher Garantie eingegangenen Verpflichtungen sollten im Sinne eines„true and fair view“ bilanziell adäquat erfasst werden. Wir ermitteln anhandzweier aktueller Investmentprodukte den Fair Value...

Why should risk management systems account for parameter uncertainty? In order to answer this question, this paper lets an investor in a credit portfolio face non-diversifiable estimation-driven uncertainty about two parameters: probability of default and asset-return correlation. Bayesian...

Für Unternehmen in wettbewerbsintensiven Märkten, welche gekoppelte Absatz- und Finanzierungsgeschäfteanbieten, sind kundenindividuelle Finanzierungslösungen erfolgskritisch.Ziel des Beitrags ist es daher anhand eines quantitativen Modells zwei Finanzierungslösungenzu vergleichen und eine...

This paper argues that the level of financial services provision determines the riskmanagement strategies among the poor. The paper estimates the determinants of thehousehold’s use of one, two or all three types of microfinancial services applying orderedprobit models and additionally probit...

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

The aim of this paper is to examine the impact of capital and risk transfer instruments on diversification and insolvency risk in a parent-subsidiary relationship. To better assess the effects, we compare this setting to the case of a holding company and an integrated financial group. In the...

Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...

In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...

The present paper shows how the parameters of three popular portfolio credit risk models can be empiricallyestimated by banks using a Maximum Likelihood framework. We apply the method to a database of Germanfirms provided by Deutsche Bundesbank and analyze the inclusion of macroeconomic and...