Markus Demary, Institut der deutschen Wirtschaft Köln, plädiert für eine zweigeteilte Einführung der Bankenunion, für ausreichend kapitalisierte und für unterkapitalisierte Banken. Letztere sollten der EZB Restrukturierungspläne vorlegen, die diese genehmigen muss. Eine Abwicklung sollte...

In der Frage der Bankenregulierung wird derzeit über das richtige Konzept diskutiert. Soll der mit Basel II verfolgte Ansatz der am Risiko der jeweiligen Bank orientierten Eigenkapitalunterlegung ausgebaut oder eine nicht-risikoorientierte Kennziffer wie die Leverage Ratio (bilanzielles...

This paper examines capital adequacy regulation in Germany. After a general overview of financial regulation in Germany, the paper focuses on the most important development in the area of capital adequacy regulation from the 1930s up to the financial crisis. Two main trends are identified: a...

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...

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modeling and Management” (RMM2011). The papers cover the following topics: currency hedging...

Mortgage termination is important when considering risk management at financial institutions and can generally be of two types: default and prepayment. Data consisting of 1,060 fixed rate mortgages collateralized by farm real estate to dairy producers made by AgChoice ACA from January 1, 2001...

The introduction of the Basel I Accord the world over has affected capital base of banks with spiral effects on bank cash reserves, demand deposits and bank credit of DMBs. GARCH results using post-consolidation data (implemented to meet Basel I requirements) of these variables shows high...

Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...

This paper examines capital adequacy regulation in Germany. After a short overview about financial regulation in Germany in general, the paper focuses on the most important development in the area of capital adequacy regulation from the 1930s up to the financial crisis. Two main trends are...

The implementation of appropriate statistical techniques for monitoring conditional VaR models, i.e, backtesting, reported by institutions is fundamental to determine their exposure to market risk. Backtesting techniques are important since the severity of the departures of the VaR model from...