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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
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Operational risk mangement and implications for bank's economic capital - a case study
Chalupka, Radovan; Teplý, Petr - 2008
described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two …
Persistent link: https://www.econbiz.de/10010322249
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Operational risk - scenario analysis
Rippel, Milan; Teplý, Petr - 2008
of 2006 and recent severe operational risk loss events. This paper focuses on operational risk measurement techniques and …Operational risk management and measurement has been paid an increasing attention in last years. The main two reasons … bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach or the …
Persistent link: https://www.econbiz.de/10010322209
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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
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Value-at-Risk and expected shortfall for rare events
Mittnik, Stefan; Yener, Tina - 2008
-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The …
Persistent link: https://www.econbiz.de/10010298397
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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
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Operational disruption and the Hungarian real time gross settlement system (VIBER)
Lublóy, Ágnes; Tanai, Eszter - 2008
Central bankers wish to ensure worldwide that large-value transfer systems, as a component of the key market infrastructure, exhibit sufficiently robust levels of operational resilience. We focus on the operational resilience of the Hungarian real time gross settlement system, known as VIBER....
Persistent link: https://www.econbiz.de/10010322389
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Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; … - 2009
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10010326056
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Gefahren kurzsichtigen Risikomanagements durch Value At Risk
Franke, Günter - 2000
Persistent link: https://www.econbiz.de/10010324067
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GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - 2013
In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models...
Persistent link: https://www.econbiz.de/10010326321