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Einfluss der Organisation des bankinternen Ratingprozesses auf die Preisgestaltung von KMU-Krediten

Author

Listed:
  • Simone Westerfeld
  • Markus Heusler

Abstract

Dieser Beitrag analysiert die Wirkung der Organisation von bankinternen Ratingprozessen und Ratingmodellen auf die ex-ante Risikoeinschätzung in Ratinganträgen für KMU-Kredite durch Kundenbetreuer von Banken. Es wird gezeigt, dass die Organisation des bankinternen Ratingprozesses einen signifikanten Einfluss auf das Rating eines Kreditgesuchs haben kann. Unsere Analyse basiert auf einem Datensatz von 3841 bewilligten Ratinganträgen für KMU von sieben Schweizer Banken, die alle das gleiche Ratingmodell anwenden, jedoch unterschiedliche Organisationsstrukturen implementiert haben. Es zeigt sich, dass Kundenbetreuer eine kreditbeantragende Unternehmung in Bezug auf die subjektiven, qualitativen Faktoren besser darstellen, wenn aufgrund der Organisation des Ratingprozesses eine Kontrolle durch eine zweite Person antizipiert wird. Dieser Effekt wird noch verstärkt in Situationen, in denen den Kundenbetreuern aufgrund der Ausgestaltung des Ratingmodells bekannt ist, dass die Bewertung der qualitativen Faktoren einen Einfluss auf das finale Ratingergebnis hat. Dieses Ergebnis ist zentral für die Bankpraxis und die verwandte Forschung, da die Effizienz des Ratingprozesses u. a. bei der Anerkennung von bankinternen Ratingsystemen durch nationale Aufsichtsbehörden unter Basel II gefordertwird. / In this paper we analyze the impact of bank internal rating processes and models on the risk assessment in SME rating proposals by relationship managers in banks. The analysis is based on a data set of 3,841 rating proposals for SMEs of 7 different Swiss banks working with the same rating model. However, different organizational rating structures apply for the various institutes. We test the discriminatory power of different sub portfolios, which differentiate the number of persons involved in the rating process by means of Gini coefficients, a measure commonly used to test performance of rating models. It shows that relationship managers tend to evaluate subjective, qualitative questions in the rating process better when anticipating the checks and balances by an additional person. This even gets worse in situations where the relationship managers are aware of the fact, if the results of the qualitative questions have an impact on the final rating result. This finding is crucial for both research and practice, especially, as the organizational design of the rating process heavily influences pricing conditions for SME borrowers.

Suggested Citation

  • Simone Westerfeld & Markus Heusler, 2009. "Einfluss der Organisation des bankinternen Ratingprozesses auf die Preisgestaltung von KMU-Krediten," ZfKE – Zeitschrift für KMU und Entrepreneurship, Duncker & Humblot, Berlin, vol. 57(1), pages 53-78.
  • Handle: RePEc:dah:aeqzfk:v57_y2009_i1_q1_p53-78
    DOI: 10.3790/zfke.57.1.53
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    Cited by:

    1. Hose, Christian & Lübke, Karsten & Nolte, Thomas & Obermeier, Thomas, 2012. "Rating und Risikomanagement: Chancen und Risiken der Architektur des Ratingprozesses für die Validität der Ratingergebnisse," Arbeitspapiere der FOM 26, FOM Hochschule für Oekonomie & Management.

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