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Periodenerfolgsmessung und Risikovorsorge im Kreditgeschäft: Ein grundlegender Überblick und Vergleich alternativer Ansätze der Bewertung von Kreditforderungen

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  • Hopp, Janina
  • Nippel, Peter

Abstract

Der Periodenerfolg im Kreditgeschäft hängt nicht nur von den Zinserträgen, sondern auch von der Bewertung der Kreditforderungen unter Berücksichtigung des Ausfallrisikos ab. Hier werden Wertberichtigungen für eingetretene Verluste, für erwartete Verluste, und solche zur Berücksichtigung von Marktwertänderungen gegenübergestellt und in ihren Auswirkungen im Hinblick auf den Periodenerfolg im Zeitablauf analysiert. Dadurch wird deutlich, inwiefern die verschiedenen Varianten von Wertberichtigungen als Risikovorsorge interpretiert werden können, und wie die Risikovorsorge verwendet wird. Die Betrachtung der Periodenerfolge im Zeitablauf erfolgt unter Berücksichtigung von tatsächlichen Kreditausfällen und von sich möglicherweise ändernden Ausfallerwartungen. Neben der theoretischen Analyse wird auch ein Zahlenbeispiel vorgestellt, in dem für verschiedene Szenarien mit unterschiedlichen Ausfallhistorien und mit oder ohne Änderungen von Ausfallerwartungen der Periodenerfolg im Zeitablauf bestimmt wird. So lässt sich z. B. erkennen, dass die Einführung der Risikovorsorge für erwartete Verluste in der Form, wie sie in IFRS 9 vorgesehen ist, einem Dynamic Loan Loss Provisioning unterlegen ist, und eine Entwicklung des Periodenerfolgs ähnlich wie bei Bilanzierung zum Fair Value bedingen kann.

Suggested Citation

  • Hopp, Janina & Nippel, Peter, 2015. "Periodenerfolgsmessung und Risikovorsorge im Kreditgeschäft: Ein grundlegender Überblick und Vergleich alternativer Ansätze der Bewertung von Kreditforderungen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 662, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    • Handle: RePEc:zbw:cauman:662
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    References listed on IDEAS

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    1. Bouvatier, Vincent & Lepetit, Laetitia, 2008. "Banks' procyclical behavior: Does provisioning matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 513-526, December.
    2. Bouvatier, Vincent & Lepetit, Laetitia, 2012. "Provisioning rules and bank lending: A theoretical model," Journal of Financial Stability, Elsevier, vol. 8(1), pages 25-31.
    3. Bikker, J.A. & Metzemakers, P.A.J., 2005. "Bank provisioning behaviour and procyclicality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 141-157, April.
    4. George J. Benston & Larry D. Wall, 2005. "How should banks account for loan losses?," Economic Review, Federal Reserve Bank of Atlanta, vol. 90(Q4), pages 19-38.
    5. Bouvatier, Vincent & Lepetit, Laetitia, 2012. "Provisioning rules and bank lending: A theoretical model," Journal of Financial Stability, Elsevier, vol. 8(1), pages 25-31.
    6. Nippel, Peter, 2015. "Eine finanzwirtschaftliche Analyse der Risikovorsorge für erwartete Verluste im Kreditgeschäft," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 659, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
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    More about this item

    Keywords

    Ausfallrisiko; Bonitäsrisiko; Cliff Effect; Dynamic Loan Loss Provisioning; eingetretener Verlust; erwarteter Verlust; Expected Credit Loss; Fair Value; IAS 39; IFRS 9; Kredibewertung; Lifetime Expected Credit Loss; Risikovorsorge; Risk Provisioning; Wertberichtigungen;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M48 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Government Policy and Regulation

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