Der Start dieser neuen Schriftenreihe erfolgte im November 2004 imRahmen eines FH-weiten Forschungsschwerpunktes zum Thema Basel II / Risikomanagement.Inzwischen wurden an der Fachhochschule bereits mehrere Forschungsprojektezum Themenkreis abgeschlossen. Davon wurde ein Projekt mit...

The intention of a loan loss provision is the anticipation of the loan's expected losses by adjusting the book value of the loan. Furthermore, this loan loss provision has to be compared to the expected loss according to Basel II and, in the case of a difference, liable equity has to be...

ZusammenfassungDie Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl...

In der vorliegenden Arbeit wird untersucht, ob regulatorische Kapitalarbitrage durch Verbriefung nach Basel II weiterhin möglich ist. Diese Fragestellung ist vor allem deshalb interessant, da der Baseler Ausschuss für Bankenaufsicht das Ziel hat, dass sich das regulatorische Kapital dem...

This dissertation investigates the implications of using the Advanced Measurement Approaches (AMA) as a method to assess operational risk capital charges for banks and insurance companies within Basel II paradigms and with regard to U.S. regulations. Operational risk has become recognized as a...

The paper sets an accounting and behavioral framework from which we derive a reduced-form equation to test income smoothing and capital management practices through loan loss provisions (PLL) by Spanish banks. Spain offers a unique environment to perform those tests because there are very...

In this paper we develop a probability of default (PD) model for mortgage loans, taking advantage of the Spanish Credit Register, a comprehensive database on loan characteristics and credit quality. From that model, we calculate different types of PDs: point in time, PIT, through the cycle, TTC,...

Policy discussions on the recent financial crisis feature widespread calls to address the pro-cyclicaleffects of regulation. The main concern is that the new risk-sensitive bank capital regulation (Basel II) may amplify business cycle fluctuations. This paper compares the leading alternative...

Evento: High-level meeting on banking supervision; Organizado por: BIS ; BCBS work programme and strategic priorities in 2023/24: risk assessment and horizon scanning, policy and supervisory responses to emerging risks, strengthening supervisory coordination and practices, Basel III...