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Zur Rolle einer optimierten Verteilung von Sicherheiten im Risikomanagement: Motivation, Modellierung und Implikationen

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  • Börstler, Daniel
  • Mölls, Sascha H.

Abstract

Die Erfahrungen aus der jüngsten Finanzmarktkrise zeigen, dass der gezielten Abschätzung und Steuerung von Kreditrisiken in Banken eine enorme betriebs- und volkswirtschaftliche Bedeutung zukommt. Sowohl in der internen Kreditrisikomessung als auch bei den zugehörigen gesetzlichen Vorgaben liegt der Schwerpunkt dabei aber insbesondere auf der Prognose zukünftiger Ausfälle von Krediten, wohingegen Sicherheiten nur eine untergeordnete Bedeutung zukommt. Vor diesem Hintergrund analysiert der vorliegende Beitrag die optimierte Verteilung von Sicherheiten zunächst innerhalb bestehender fortgeschrittener Verfahren des Risikomanagements. Darüber hinaus wird auf der Grundlage eines Vergleichs der gängigen Verfahren eine flexible Zuordnungssystematik entwickelt. Diese neue Vorgehensweise über-trifft im Ergebnis die bestehenden Ansätze in ihrem Optimierungsziel, ohne dabei den Grundsatz einer konservativen Abschätzung aufgeben zu müssen.

Suggested Citation

  • Börstler, Daniel & Mölls, Sascha H., 2010. "Zur Rolle einer optimierten Verteilung von Sicherheiten im Risikomanagement: Motivation, Modellierung und Implikationen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 653, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    • Handle: RePEc:zbw:cauman:653
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    References listed on IDEAS

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    1. Vetter, Michael & Cremers, Heinz, 2008. "Das IRB-Modell des Kreditrisikos im Vergleich zum Modell einer logarithmisch normalverteilten Verlustfunktion," Frankfurt School - Working Paper Series 102, Frankfurt School of Finance and Management.
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