-pricing theory; the diversification benefit on the solvency capital is calculated based on the tail value at risk approach …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 …

In financial groups enterprise risk management is becoming increasingly importantin controlling and managing the … different independent legal entities in thegroup. The aim of this paper is to assess and relate risk concentration and joint … defaultprobabilities of the group’s legal entities in order to achieve a more comprehensivepicture of a financial group’s risk situation …

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 … changes into a pure market risk plus pure credit riskcomponent can lead to underestimation of risk. It can therefore not …

Risikomanagement der operationellen Risiken dürfte in Zukunft einentscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichenVorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitativeVorgaben zum Risikomanagement dieser … Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreizefür ein verbessertes Risikomanagement zu setzen. Die Analyse zeigt, dass …

We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …

Prinzipien gelenkt, wiein Zukunft das Risikomanagement, die interne Banksteuerung und die Bankenaufsicht reformiert undauf die …

The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management … a result of the crisis. Over the pastdecade, credit derivatives emerged as an important part of credit risk management … as theseoffer a broad range of possibilities to reduce credit risk through active credit portfoliomanagement. This has …