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Welche Risikomaße bilden das Ausfallrisiko für Geschäftsbanken adäquat ab? Eine Analyse am Beispiel US-amerikanischer Banken

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  • Noth, Felix
  • Tonzer, Lena

Abstract

Zur Analyse von Risiken im Bankensystem und möglichen Ausfallrisiken von Banken werden verschiedene Maße verwendet, die sowohl auf Bankbilanzdaten als auch auf der Gewinn- und Verlustrechnung von Banken beruhen. Diese Studie vergleicht häufig verwendete Risikomaße für Geschäftsbanken in den USA im Zeitraum von 1995 bis 2013. Es zeigt sich, dass alle getesteten Maße in der Lage sind, das während der Finanzkrise von 2007 bis 2009 stark angestiegene Risiko im US-Bankensystem abzubilden. Zur Prognose einer Bankinsolvenz erweist sich der einfach zu berechnende Anteil an notleidenden Vermögenswerten in der Bilanz als eine gute Ergänzung zu komplexeren Risikomaßen wie dem Z-score.

Suggested Citation

  • Noth, Felix & Tonzer, Lena, 2015. "Welche Risikomaße bilden das Ausfallrisiko für Geschäftsbanken adäquat ab? Eine Analyse am Beispiel US-amerikanischer Banken," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), vol. 21(2), pages 25-28.
    • Handle: RePEc:zbw:iwhwiw:iwh-2-15-4
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    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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