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Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements

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  • Gann, Philipp
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    Abstract

    Vorliegende Arbeit sucht die Ursachen des Wandels der traditionellen Geschäftsstrategie von Kreditinstituten zu einem aktiven Steuerungsansatz unter dem Gesichtspunkt des Einflusses aufsichtsrechtlicher Anforderungen genauer zu analysieren. Es wird gezeigt, dass nicht nur ökonomische Faktoren, sondern auch regulatorische Vorgaben ein wesentlicher Treiber für die Weiterentwicklung der Gesamtbanksteuerung in Richtung eines aktiven Managements sämtlicher bewusst übernommener sowie dem Bankgeschäft inhärenten Risiken sein können. Dabei wird infolge der hohen Bedeutung bonitätsrisikobehafteter Assets für die Ertrags- und Risikolage der Banken im speziellen auf das Kreditgeschäft eingegangen. Anhand der Darstellung des in der zweiten Säule der Internationalen Konvergenz der Kapitalmessung und Eigenkapitalanforderungen (Basel II) des Baseler Ausschusses für Bankenaufsicht abgebildeten Internal Capital Adequacy Assessment Process (ICAAP) sowie den damit zusammenhängenden internationalen sowie nationalen Vorgaben wird dargelegt, dass diese Anforderungen in weiten Teilen mit den grundlegenden ökonomischen Ansprüchen an ein effizientes wertorientiertes Kreditportfoliomanagement übereinstimmen. Die aufsichtsrechtliche Pflicht zur Umsetzung des ICAAP und die ökonomische Notwendigkeit der Implementierung eines AKPM können somit als zwei Seiten einer Medaille betrachtet werden.

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    Bibliographic Info

    Paper provided by University of Munich, Munich School of Management in its series Discussion Papers in Business Administration with number 4831.

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    Date of creation: Jul 2008
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    Handle: RePEc:lmu:msmdpa:4831

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    Keywords: Wertorientierte Banksteuerung; aktives Kreditportfoliomanagement; Internal Capital Adequacy Assessment Process; ICAAP; Stresstesting; Basel II; marktorientiertes Credit Pricing;

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