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Messung und Management von Kreditportfoliorisiken

Messung und Management von Kreditportfoliorisiken

          
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About the Book

Inhaltsangabe: Zusammenfassung: Während sich die Forschung bis in die neunziger Jahre schwerpunktmäßig mit Marktrisiken beschäftigte und auf diesem Sektor erhebliche Fortschritte machte, fand das Kreditwesen nur wenig Beachtung, obwohl es gerade im Bankensektor zu den größten Risikoquellen zählt. In den letzten Jahren hat die Messung und das Management von Kreditrisiken jedoch stark an Bedeutung gewonnen. Die Gründe für diese Entwicklung sind: die Globalisierung, die zum einen neuartige Kreditrisiken mit sich bringt (z.B. Emerging Markets) und zum andern den Wettbewerb verstärkt, was zu sinkenden Margen im Kreditgeschäft führt, der drastische Anstieg von Insolvenzen, der technologische Fortschritt bei modernen Computersystemen und Informationstechnologien, der wesentlich dazu beigetragen hat, neue Kreditrisikomodelle zu entwickeln und Kreditportfolios aktiv zu managen, die Disintermediation, d.h. die Loslösung von großen und gleichzeitig risikoarmen Schuldnern von ihren Banken aufgrund von gut funktionierenden, international vernetzten Märkten für Fremdfinanzierungstitel, ein drastischer Wertverfall und eine volatilere Bewertung von traditionellen Sicherheiten (z.B. Immobilien), bessere Möglichkeiten zum aktiven Management von Kreditrisiken durch Instrumente, wie beispielsweise Kreditderivate, und die zunehmende Liquidität von Sekundärmärkten für Finanzierungskontrakte. Der wohl wichtigste Punkt ist jedoch die Hoffnung der Banken, in absehbarer Zeit interne Modelle vorstellen zu können, die wie bei Marktrisiken von der Bankenaufsicht als Grundlage für die Eigenkapitalunterlegung von Kreditrisiken anerkannt werden. Im Zuge dieser Entwicklungen in Forschung und Praxis wurden verbesserte Rating- und Scoring-Ansätze einschließlich sensibler Frühwarnsysteme entwickelt und es entstanden ausgefeiltere Modelle zur Bepreisung von Kreditrisiken (wie zum Beispiel das risk adjusted return on capital Modell (RAROC)). Der wichtigste Schritt war jedoch, von der Einzelbetrachtung


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Product Details
  • ISBN-13: 9783838666716
  • Publisher: Diplom.de
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 6 mm
  • Width: 148 mm
  • ISBN-10: 3838666712
  • Publisher Date: 10 Apr 2003
  • Height: 210 mm
  • No of Pages: 96
  • Series Title: German
  • Weight: 136 gr


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