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Corporate Governance gemäß BilMoG und SOX
Kubisch, Sabine - Stralsund Information Management Team - 2009
Bilanzrechtsmodernisierungsgesetzes zur Corporate Governance und zum Risikomanagement vorzustellen und mit den seit 2002 geltenden Anforderungen durch den …
Persistent link: https://www.econbiz.de/10008836907
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The Quantification of Operational Risk
Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We examine the quantification of operational risk for banks. We adopt a financial-economics approach and interpret operational risk management as a means of optimizing the profitability of an institution along its value chain. We start by defining operational risk and then propose a...
Persistent link: https://www.econbiz.de/10005858319
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Credit portfolios : What defines risk horizons and risk measurement?
Ebnöther, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...
Persistent link: https://www.econbiz.de/10005858869
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Regulating Asset Price Risk
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - National Centre of Competence in Research - Financial … - 2011
There has been a long debate about whether speculators are stabilizing or not.We consider a model where speculators have a stabilizing role in normal times,but may also provoke large risk panics. The very feature that makes arbitrageursliquidity providers in normal times, namely their tolerance...
Persistent link: https://www.econbiz.de/10009486972
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Market Liquidity Risk - An Overview
Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...
Persistent link: https://www.econbiz.de/10005870300
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Bank Risk Management and the Franchise Value
Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity provision, payment services, safety storage), and from...
Persistent link: https://www.econbiz.de/10005859100
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The Effect of Capital and Risk Transfer Instruments in Financial Groups
Gatzert, Nadine; Schmeiser, Hato - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
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...
Persistent link: https://www.econbiz.de/10005861407
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Enterprise Risk Management in Financial Groups : Analysis of Risk Concentration and Default Risk
Gatzert, Nadine; Schmeiser, Hato; Schuckmann, Stefan - Institut für Versicherungswirtschaft <Sankt Gallen> - 2007
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...
Persistent link: https://www.econbiz.de/10005861509
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Die Behandlung der operationellen Risikennach Basel II - ein Anreiz zur Verbesserungdes Risikomanagements?
Rünger, Petra; Walther, Ursula - Technische Universität <Freiberg> - 2004
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 …
Persistent link: https://www.econbiz.de/10005864351
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Regulatory capital for marketand credit risk interaction:is current regulation always conservative?
Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
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...
Persistent link: https://www.econbiz.de/10005866203