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Besprechung des Artikels: 'Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten'

Besprechung des Artikels: 'Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten'

          
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About the Book

Studienarbeit aus dem Jahr 2006 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 1,0, Karl-Franzens-Universität Graz (Banken und Finanzierung), 8 Quellen im Literaturverzeichnis, Sprache: Deutsch, Abstract: Hinsichtlich der steigenden Anforderungen an das Risikomanagement von Banken der letzten Jahre, wird die Quantifizierung einzelner Risikobereiche immer bedeutender. Einerseits ist es den Banken seit Basel II möglich, risikoadäquate Eigenkapitalunterlegungen anhand interner Bonitätseinstufungen festzulegen, auf der anderen Seite sind aber auch die Aufsichtsbehörden an einer auf Einzel-Risikobereiche konzentrierten Aufsicht interessiert. Vor allem das Kreditrisiko der Banken gehört zu den wesentlichen Faktoren für die Abschätzung der Ausfallswahrscheinlichkeit von Banken. Für die Bewertung des Kreditrisikos gibt es grundsätzlich mehrere Möglichkeiten: - Heuristischer Methoden, die sich in erster Linie auf subjektive, praktische Erfahrungen und Expertenaussagen stützen - Statistische Methoden, die historische Daten als Basis für ihre Bewertung heranziehen - Kausale Modelle, die sich rein durch analytische Beziehungen aus der Finanztheorie ohne Verwendung historischer Daten ergeben - Hybride Formen, die sich aus Kombinationen der vorhergehenden Methoden zusammensetzen Der zu Grunde liegende Artikel beschäftigt sich mit statistischen Verfahren, speziell mit dem Logit- und Probit- Modell, zur Modellierung von Kreditausfallwahrscheinlichkeiten, weshalb sich diese Arbeit ebenfalls auf die Betrachtung statistischer Methoden, mit Schwerpunkt auf die zuvor genannten Modelle, beschränken wird. Im Weiteren (Kapitel 2) wird zunächst auf die grundsätzliche Funktionsweise dieser Modellansätze eingegangen. Danach sollen in Kapitel 3 auch noch weitere mögliche, statistische Verfahren zur Kreditrisiko Beurteilung aufgezeigt und die Vor- und Nachteile einzelner Ansätze herausgearbeitet werden. Kapitel 4 stellt eine generelle Vorgehensweise bei der Schätzung eines Probit-


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Product Details
  • ISBN-13: 9783638927543
  • Publisher: Grin Publishing
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 2 mm
  • Width: 140 mm
  • ISBN-10: 3638927547
  • Publisher Date: 01 Apr 2008
  • Height: 216 mm
  • No of Pages: 28
  • Series Title: German
  • Weight: 45 gr


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Besprechung des Artikels: 'Ökonometrische Verfahren zur Modellierung von Kreditausfallwahrscheinlichkeiten'
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