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

Rünger, Petra; Walther, Ursula - Fakultät Wirtschaftswissenschaften, Technische … - 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/10009207050

Risk management in Takaful

Akhter, Waheed - Volkswirtschaftliche Fakultät, … - 2010

Risk management is of vital importance in Islam and Takāful provides a way to manage risks in business according to Sharī’ah principles. This research paper attempts to identify various types of risks involved in Takāful business that affect operational and investment functions of Takāful...

Persistent link: https://www.econbiz.de/10011261182

Demystifying Risk Management – Business & Growth Implications

KONDAMUDI, Bhavana Raj; SINDHU, Dr. - In: Economics and Applied Informatics (2013) 1, pp. 13-20

There is a misplaced notion that Risk Management and Business Development are at cross-roads, which is based on the premise that the Business Managers tend to compromise in certain areas of Risk Management in the interest of the business growth. But, in the larger interests of the Risk...

Persistent link: https://www.econbiz.de/10010755633

Copulas for finance

Bouye, Eric; Durlleman, Valdo; Nikeghbali, Ashkan; … - Volkswirtschaftliche Fakultät, … - 2000

Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems.

Persistent link: https://www.econbiz.de/10011114301

Marktpreisrisiko-Reporting bei Nichtfinanzinstituten nach IFRS 7: empirische Befunde zum Einsatz von Value at Risk und Sensitivitätsanalysen bei kapitalmarktorientierten Unternehme...

Fürst, Benedikt; Henselmann, Klaus; Klein, Martin - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2009

The paper shows the ways of disclosing financial risks by IFRS 7 and certain types of sensitivity analysis. The different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for reporting are faced critically. Following, the manner of...

Persistent link: https://www.econbiz.de/10008479029

Disentangling the bond-CDS nexus: a stress test model of the CDS market

Vuillemey, Guillaume; Peltonen, Tuomas A. - European Central Bank - 2013

This paper presents a stress test model for the CDS market, with a focus on the interplay between banks’ bond and CDS holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk, and allows for contagious propagation of...

Persistent link: https://www.econbiz.de/10010709534

Integrating Stress Scenarios into Risk Quantification Models

Abdymomunov, Azamat; Blei, Sharon; Ergashev, Bakhodir - In: Journal of Financial Services Research 47 (2015) 1, pp. 57-79

We enhance the method of integrating scenarios proposed in Ergashev (J Financ Serv Res 41(3):145–161, 2012) into risk models. In particular, we provide additional theoretical insights of the method with focus on stress testing Value-at-Risk models. We extend the application of the method,...

Persistent link: https://www.econbiz.de/10011154705

Bank capital adequacy framework

Kalfaoglou, Faidon - In: Economic Bulletin (2012) 36, pp. 43-81

The debt crisis in Greece and the resulting haircut on sovereign bonds (known as PSI) adversely affected bank capital and resulted in state funds being required to recapitalize the banks. During that process, several questions arose about the meaning of capital adequacy in banks. This paper...

Persistent link: https://www.econbiz.de/10010855033

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng-Few; Wu, Dengsheng - In: Review of Quantitative Finance and Accounting 44 (2015) 1, pp. 161-189

Risk aggregation considering inter-risk dependence has always been a challenge to both researchers and practitioners. The objective of this study is to formulate ways of aggregation of bank risks and comprehensively compare simple summation, variance–covariance and copula approach. Firstly,...

Persistent link: https://www.econbiz.de/10011155215

Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach

Voloshyn, Ihor; Voloshyn, Mykyta - Volkswirtschaftliche Fakultät, … - 2013

In this article, on the basis of the "cash flow at risk" approach, the system of the integrated (credit, market, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching profitability, liquidity and coverage of banking risks...

Persistent link: https://www.econbiz.de/10011130320

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