German Abstract: Die globale Finanzkrise hat deutlich gezeigt, dass der Banken- und Finanzsektor angemessen reguliert werden muss. Dabei kommt es vor allem darauf an, die Stabilität des Finanzsystems zu sichern. Die Autoren gehen zunächst der Frage nach, was unter Finanzstabilität zu...

Given the sharp increase of bond yield spreads and the considerable losses to the value of bond portfolios during the recent financial market crisis, the reliable estimation of haircuts on bond values has become increasingly important. The banking supervisors motivate this too, when they demand...

Market risk can be described as potential losses in portfolio value caused by price changes in the investor's portfolio. Value-at-Risk (VaR) quantifies a loss bound that cannot be exceeded with a specified probability at a given time horizon, i.e., a quantile of the portfolio's loss...

Due to risk based capital requirements, financial institutions need to budget their risk-taking to assure their financial survival. This is necessary because the economic capital of the institutions which has to back risky positions is widely assumed to be a short resource. Therefore, financial...

Financial institutions aim to cap the market risk taken by their trading divisions through limited providing of risk capital or setting risk limits, respectively. Risk limits must be based on the market risk model internally used. The paper addresses to the questions of how to efficiently...

Financial institutes have to be in a position to describe and to analyze the networks of obligors in their credit portfolios. If one obligor defaults who is numerously connected with other obligors in the portfolio there can be effects of credit contagion. We suggest a graph-based modeling of...