Similar Search Results

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

The New Basel Accord and the Nature of Risk: A Game Theoretic Perspective

Siebe, Wilfried; Milde, Hellmuth; Broll, Udo; Bieta, Volker - 2007

Basel II changes risk management in banks strongly. Internal rating procedures would lead one to expect that banks are changing over to active risk control. But, if risk management is no longer a simple "game against nature", if all agents involved are active players then a shift from a...

Persistent link: https://www.econbiz.de/10010296819

Operational risk mangement and implications for bank's economic capital - a case study

Chalupka, Radovan; Teplý, Petr - 2008

In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two estimation methods were applied; the standard maximum...

Persistent link: https://www.econbiz.de/10010322249

Kiefer, Nicholas M. - 2009

Dependence among defaults both across assets and over time has proven to be an important characteristic of financial risk. A Bayesian approach to default rate estimation is proposed and illustrated using a prior distributions assessed from an experienced industry expert. Two extensions of the...

Persistent link: https://www.econbiz.de/10010292059

The Bayesian approach to default risk: A guide

Jacobs, Michael; Kiefer, Nicholas M. - 2010

A Bayesian approach to default rate estimation is proposed and illustrated using a prior distribution assessed from an experienced industry expert. The principle advantage of the Bayesian approach is the potential for coherent incorporation of expert information - crucial when data are scarce or...

Persistent link: https://www.econbiz.de/10010292063

Default estimation, correlated defaults, and expert information

Kiefer, Nicholas M. - 2008

Capital allocation decisions are made on the basis of an assessment of creditworthiness. Default is a rare event for most segments of a bank's portfolio and data information can be minimal. Inference about default rates is essential for efficient capital allocation, for risk management and for...

Persistent link: https://www.econbiz.de/10010292088

Default estimation and expert information: All likely dataset analysis and robust validation

Kiefer, Nicholas M. - 2007

Default is a rare event, even in segments in the midrange of a bank's portfolio. Inference about default rates is essential for risk management and for compliance with the requirements of Basel II. Most commercial loans are in the middle-risk categories and are to unrated companies. Expert...

Persistent link: https://www.econbiz.de/10010292089

Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

Cremers, Heinz; Walzner, Jens - 2007

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...

Persistent link: https://www.econbiz.de/10010298923

An economic capital model integrating credit and interest rate risk in the banking book

Alessandri, Piergiorgio; Drehmann, Mathias - 2009

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...

Persistent link: https://www.econbiz.de/10011605087

Risk Communication and public perception of technological hazards. First Volume

Recchia, Virginia - 1999

Research on risk communication relates basic risk perception studies to the formulation of policies, the currently evolving legislation dealing with hazards, the key issues of public involvement, the risk and environmental management. Risk communication is a relatively new field based on a...

Persistent link: https://www.econbiz.de/10011608544

1
2
3
4
5
6
7
8
9
10
Next
Last