IDEAS home Printed from https://ideas.repec.org/p/zbw/cauman/653.html
   My bibliography  Save this paper

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/147570/1/manuskript_653.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dietmar Harhoff & Elisabeth Mueller & John Van Reenen, 2014. "What are the Channels for Technology Sourcing? Panel Data Evidence from German Companies," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 23(1), pages 204-224, March.
    2. Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series 146, Frankfurt School of Finance and Management.
    3. Hübsch, Arnd & Walther, Ursula, 2012. "The impact of network inhomogeneities on contagion and system stability," CPQF Working Paper Series 32, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    4. Behley, Dustin & Leyer, Michael, 2011. "Evaluating concepts for short-term control in financial service processes," Frankfurt School - Working Paper Series 183, Frankfurt School of Finance and Management.
    5. Andriani, Pierpaolo & Herrmann-Pillath, Carsten, 2011. "Transactional innovation and the de-commoditization of the Brazilian coffee trade," Frankfurt School - Working Paper Series 162, Frankfurt School of Finance and Management.
    6. Löchel, Horst & Li, Helena Xiang, 2011. "Understanding the high profitability of Chinese banks," Frankfurt School - Working Paper Series 177, Frankfurt School of Finance and Management.
    7. Herrmann-Pillath, Carsten, 2010. "Meaning and function in the theory of consumer choice: dual selves in evolving networks," Frankfurt School - Working Paper Series 153, Frankfurt School of Finance and Management.
    8. Herrmann-Pillath Carsten, 2014. "Naturalizing Institutions: Evolutionary Principles and Application on the Case of Money," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 234(2-3), pages 388-421, April.
    9. Roßbach, Peter & Karlow, Denis, 2011. "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series 164, Frankfurt School of Finance and Management.
    10. Boeing, Philipp & Mueller, Elisabeth & Sandner, Philipp, 2012. "What makes Chinese firms productive? Learning from indigenous and foreign sources of knowledge," Frankfurt School - Working Paper Series 196, Frankfurt School of Finance and Management.
    11. Klein, Michael, 2012. "Infrastructure policy: Basic design options," Frankfurt School - Working Paper Series 185, Frankfurt School of Finance and Management.
    12. C. Herrmann-Pillath, 2011. "A Neurolinguistic Approach to Performativity in Economics," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 2.
    13. Beyna, Ingo & Wystup, Uwe, 2010. "On the calibration of the Cheyette interest rate model," CPQF Working Paper Series 25, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    14. Umber, Marc P. & Grote, Michael H. & Frey, Rainer, 2010. "Europe integrates less than you think: Evidence from the market for corporate control in Europe and the US," Frankfurt School - Working Paper Series 150, Frankfurt School of Finance and Management.
    15. Susanne Griebsch & Uwe Wystup, 2011. "On the valuation of fader and discrete barrier options in Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 693-709.
    16. Herrmann-Pillath, Carsten, 2011. "The evolutionary approach to entropy: Reconciling Georgescu-Roegen's natural philosophy with the maximum entropy framework," Ecological Economics, Elsevier, vol. 70(4), pages 606-616, February.
    17. Herrmann-Pillath, Carsten, 2011. "Revisiting the Gaia hypothesis: Maximum Entropy, Kauffman's 'Fourth Law' and physiosemeiosis," Frankfurt School - Working Paper Series 160, Frankfurt School of Finance and Management.
    18. Klein, Michael, 2011. "Enrichment with growth," Policy Research Working Paper Series 5855, The World Bank.
    19. Christina E. Bannier, 2010. "Is there a Holdup Benefit in Heterogeneous Multiple Bank Financing?," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 166(4), pages 641-661, December.
    20. Klein, Michael & Mayer, Colin, 2011. "Mobile banking and financial inclusion: The regulatory lessons," Frankfurt School - Working Paper Series 166, Frankfurt School of Finance and Management.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:cauman:653. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/ibkiede.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.