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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

Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure

Memmel, Christoph - 2010

We use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...

Persistent link: https://www.econbiz.de/10010302118

Determinants of bank interest margins: Impact of maturity transformation

Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price...

Persistent link: https://www.econbiz.de/10010309803

Bankmanagement mit Value at Risk

Broll, Udo; Wahl, Jack E. - 2006

Im Risikomanagement von Banken findet das Value at Risk-Konzept verstärkt Anwendung. Baut die Solvenzpolitik einer Bank … Einfluss hat der vom Bankmanagement bzw. von der Bankenaufsicht geforderte Solvenzgrad. …

Persistent link: https://www.econbiz.de/10010296809

Der Eigenkapitalbeitrag in der Marktzinsmethode

Körnert, Jan; Rossaro, Fabiana - 2004

Dem Eigenkapital von Unternehmen kommt eine herausragende Bedeutung zu, weil es den Unternehmen Verfügungsmacht über Haftungspotentiale verschafft. Insbesondere gilt dies für Banken, da sie eine zentrale Stellung in den Zahlungs- und Haftungsbeziehungen einer Volkswirtschaft einnehmen und die...

Persistent link: https://www.econbiz.de/10010305655

Estimating Managers' Utility Maximizing Demand for Agency Goods

Hughes, Joseph P.; Moon, Choon-Geol - 2003

An empirical model of managers' demand for agency goods is derived and estimated using the Almost Ideal Demand System of Deaton and Muellbauer (AER 1980). As in Jensen and Meckling (JFE 1976), we derive managers' demand for agency goods by maximizing a managerial utility function where managers...

Persistent link: https://www.econbiz.de/10010274320

Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions

Trinkaus, Gaby - 2010

Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a securitized loan as materially non-compliant with certain transaction requirements. Such a loan becomes unqualified for loss allocation. Therefore, non-compliant loans can...

Persistent link: https://www.econbiz.de/10010301353

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

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

Management of FX settlement risk in Hungary (Report II): Payments and securities settlements

Tanai, Eszter - 2008

[...] The objective of this study is to analyse - relying on 2006 data - FX settlement risk that may arise in the domestic banking system under its current operations, and to chart the changes which took place after 2000, covering improvements and, if necessary, formulating (new) recommendations...

Persistent link: https://www.econbiz.de/10010322397

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