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Informationseffizienz von Ratingsystemen

Informationseffizienz von Ratingsystemen

          
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About the Book

Inhaltsangabe: Zusammenfassung: Das Kreditgeschäft einer Bank arbeitet wirtschaftlich, wenn sich die übernommenen Risiken gerecht vergütet werden lassen. Dennoch ist es für eine Bank nicht ausreichend, ein System implementiert zu haben, das auf der Basis von Bonitätsbewertungen (Ratings) für Schuldner Risikoprämien berechnet. Vielmehr ist die Qualität des verwendeten Ratingsystems von ausdrücklicher Bedeutung. Die Qualität entscheidet darüber, ob in dem System die qualitativen und quantitativen bonitätsrelevanten Faktoren gerade so aggregiert werden, dass eine Ausfallwahrscheinlichkeit mit hoher Prognosegenauigkeit resultiert. Ein Beurteilungskriterium für die Qualität von Ratingsystemen in Banken und Ratingagenturen stellt das Kriterium der Informationseffizienz dar. Bisher stand lediglich die Überprüfung dieser Effizienz-Eigenschaft für den Kapitalmarkt im Vordergrund der wissenschaftlichen Betrachtungen, dennoch können die Überlegungen zur Informationseffizienz des Kapitalmarktes auf Grund der Similarität des Bewertungsobjektes auf Ratings bzw. Ratingsysteme übertragen werden. Die Kernaufgabe der vorliegenden Arbeit bestand in der Präsentation und Ausformulierung von Modellen, die geeignet erscheinen, die Effizienzeigenschaft in Ratingsystemen nachzuweisen. Zur detaillierteren Analyse wurde - angelehnt an Fama (1970) und derselbe (1991) - die Unterteilung des Informationseffizienzkriteriums in die schwache, die halbstrenge und die strenge Informationseffizienz übernommen. Die Arbeit schlägt folgende Modelle vor und bewertet außerdem kritisch deren Relevanz im praktischen Einsatz: Schwache Informationseffizienz: t-Test für Mittelwerte als Schätzer für aktuelle Ausfallwahrscheinlichkeiten von Ratingklassen. Halbstrenge Informationseffizienz: Volatilitäten und Beta-Faktoren von börsennotierten Unternehmen als Schätzer für halbstreng-informationseffiziente Ausfallwahrscheinlichkeiten von Unternehmen; Fons-Modell (Anleihenbewertung) zur Ermittlung von halbstre


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Product Details
  • ISBN-13: 9783838671314
  • Publisher: Diplom.de
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 7 mm
  • Width: 148 mm
  • ISBN-10: 3838671317
  • Publisher Date: 21 Aug 2003
  • Height: 210 mm
  • No of Pages: 114
  • Series Title: German
  • Weight: 159 gr


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