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Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...

Persistent link: https://www.econbiz.de/10010305454

Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?

Rünger, Petra; Walther, Ursula - 2004

Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …

Persistent link: https://www.econbiz.de/10010305656

Management of FX settlement risk in Hungary (Report II): Payments and securities settlements

Tanai, Eszter - 2008

[...] The objective of this study is to analyse - relying on 2006 data - FX settlement risk that may arise in the domestic banking system under its current operations, and to chart the changes which took place after 2000, covering improvements and, if necessary, formulating (new) recommendations...

Persistent link: https://www.econbiz.de/10010322397

Purchasing Organization and Design: A Literature Review

Glock, Christoph H.; Hochrein, Simon - In: BuR - Business Research 4 (2011) 2, pp. 149-191

This paper presents the results of a comprehensive literature review of the organization of purchasing covering the period from 1967 to 2009. The review provides a structured overview of prior research topics and findings and identifies gaps in the existing literature that may be addressed in...

Persistent link: https://www.econbiz.de/10010421363

The New Basel Accord and the Nature of Risk: A Game Theoretic Perspective

Siebe, Wilfried; Milde, Hellmuth; Broll, Udo; Bieta, Volker - 2007

Basel II changes risk management in banks strongly. Internal rating procedures would lead one to expect that banks are changing over to active risk control. But, if risk management is no longer a simple "game against nature", if all agents involved are active players then a shift from a...

Persistent link: https://www.econbiz.de/10010296819

Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions

Trinkaus, Gaby - 2010

Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a securitized loan as materially non-compliant with certain transaction requirements. Such a loan becomes unqualified for loss allocation. Therefore, non-compliant loans can...

Persistent link: https://www.econbiz.de/10010301353

Monitoring banking sector risks: An applied approach

Weistroffer, Christian; Vallés, Veronica - 2008

Despite abundant empirical evidence on the merits and limits of early-warning systems for banking crises the day-to-day use of such systems seems to be limited. Reluctance to use such systems may partly be explained by the difficulties to operationalise the proposed models, which are often...

Persistent link: https://www.econbiz.de/10010302115

Gefahren kurzsichtigen Risikomanagements durch Value At Risk

Franke, Günter - 2000

Persistent link: https://www.econbiz.de/10010324067

Die Mindestanforderungen an das Risikomanagement bei Kreditinstituten (MaRisk)

Sollanek, Achim; Klessig, Jeanette - 2014

Ausschusses für Bankenaufsicht u. a. genaue Anforderungen an das Risikomanagement von Banken veröffentlicht (so genannte zweite … Säule von Basel II). In den "Mindestanforderungen an das Risikomanagement" (MaRisk) wurden diese Vorgaben in deutsches Recht …

Persistent link: https://www.econbiz.de/10011892782

Kapitalmarktorientierte Risikosteuerung in Banken: Marktwertsteuerung statt Marktzinsmethode

Reichardt, Rolf - 2005

In diesem Beitrag wird das Konzept der Marktzinsmethode als Grundlage der dualen Risikosteuerung von Kredit- und Marktpreisrisiken in Frage gestellt. Die Kreditrisiken einer Bank implizieren bonitätsinduzierte Marktpreisrisiken und bankspezifische Refinanzierungskosten. Während die...

Persistent link: https://www.econbiz.de/10010263318