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Monitoring banking sector risks: An applied approach

Weistroffer, Christian; Vallés, Veronica - 2008

Despite abundant empirical evidence on the merits and limits of early-warning systems for banking crises the day-to-day use of such systems seems to be limited. Reluctance to use such systems may partly be explained by the difficulties to operationalise the proposed models, which are often...

Persistent link: https://www.econbiz.de/10010302115

Risk management with default-risky forwards

Korn, Olaf - 2008

This paper studies the impact of counter-party default risk of forward contracts on a firm's production and hedging decisions. Using a model of a risk-averse competitive firm under price uncertainty, it derives several fundamental results. If expected profits from forward contracts are zero, the...

Persistent link: https://www.econbiz.de/10010302529

Corporate insurance design with multiple risks and moral hazard

Laux, Christian - 2008

The paper provides novel insights on the effect of a firm's risk management objective on the optimal design of risk transfer instruments. I analyze the interrelation between the structure of the optimal insurance contract and the firm's objective to minimize the required equity it has to hold to...

Persistent link: https://www.econbiz.de/10010303689

Central counterparties

Koeppl, Thorsten V.; Monnet, Cyril - 2008

Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour. It...

Persistent link: https://www.econbiz.de/10010303758

Soziales Risikomanagement durch Übergangsarbeitsmärkte

Schmid, Günther - 2004

Zunehmend ist von Risikomanagement die Rede. Für die Befürworter ist der Be-griff ein Hilfsmittel, um … Politikbereiche einzuschleusen. Dieser Essay betrachtet das in den öffentlichen Diskurs eingedrungene Wort 'Risikoma-nagement' dagegen …

Persistent link: https://www.econbiz.de/10010303993

Legal framework for public participation in flood risk mapping: A comparative study of the responses of different European Member States to some requirements of the Floods Directiv...

Unnerstall, Herwig - 2010

This report is a comparative study of the current legal situation in relation to the forth-coming implementation of the Floods Directive in selected EU Member States, focusing on the question of whether these states incorporate public participation into the process of flood risk mapping and, if...

Persistent link: https://www.econbiz.de/10010304360

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

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

Modelling correlations in portfolio credit risk

Rosenow, Bernd; Weißbach, Rafael; Altrock, Frank - 2004

The risk of a credit portfolio depends crucially on correlations between the prob- ability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the resulting estimation error hinders the detection of a...

Persistent link: https://www.econbiz.de/10010306233

Anreizkompatibilität von Entschädigungssystemen für Kosten und Verluste aus Tierseuchenausbrüchen in der Europäischen Union

Hirsch, Bernhard; Nell, Martin - 2007

Der Beitrag enthält eine anreiztheoretische Analyse der Versicherungssysteme, die zur Entschädigung von Kosten und Verlusten aus Tierseuchenausbrüchen in den EUMitgliedsländern eingerichtet sind. Es wird gezeigt, dass Kompensationszahlungen zur Erzielung effizienter Schadenverhütungsanreize...

Persistent link: https://www.econbiz.de/10010307650