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Regulatory capital for market and credit risk interaction: is current regulation always conservative?


Author Info

  • Breuer, Thomas
  • Jandacka, Martin
  • Rheinberger, Klaus
  • Summer, Martin


In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat both categories independently in the calculation of risk capital. In practice positions in a portfolio depend simultaneously on both market and credit risk factors. In this case, an approximation of the portfolio value function splitting value changes into a pure market risk plus pure credit risk component can lead to underestimation of risk. It can therefore not be argued that the current regulatory approach would always be conservative from a risk assessment perspective. We discuss this fact in the context of foreign currency loans and argue that under the traditional regulatory approach the true risk of a portfolio of foreign currency loans would be significantly underestimated. -- Unter der ersten Säule von Basel II wird das regulatorische Eigenkapital für Markt- und Kreditrisiko separat berechnet. Wenn wir vom operationalen Risiko absehen, errechnet sich das gesamte regulatorische Eigenkapital aus der Summe des Eigenkapitals, das für Markt- und Kreditrisiko zu hinterlegen ist. Diese Berechnung von Einzelkomponenten des regulatorischen Kapitals folgt in groben Zügen der Aufteilung in Bank- und Handelsbuch. In der traditionellen Denkweise ist Kreditrisiko hauptsächlich relevant in Bezug auf das Bankbuch während Marktrisiko als hauptsächlich relevant für das Handelsbuch angesehen wird. Diese Denkweise steht vermutlich auch hinter der weit verbreiteten Ansicht, dass die Aufsummierung von Kapitalkomponenten für einzelne Risikokategorien konservativ sei. Werden nämlich Bank- und Handelsbuch als Subportfolios des gesamten Bankportfolios gesehen, ergibt die Aufsummierung der einzelnen regulatorischen Kapitalkomponenten aufgrund eines Diversifikationsarguments eine obere Schranke für das regulatorische Eigenkapital. Wir behaupten, dass in vielen praktischen Risikobewertungssituationen eine Trennung von Markt- und Kreditrisiko anhand von Bank- und Handelsbuch nicht möglich ist. Wir zeigen, dass das Diversifizierungsargument aber nur dann gilt, wenn eine solche Aufteilung möglich ist. Nur dann, wenn das Bankportfolio separierbar ist in ein Subportfolio, das nur von Marktrisikofaktoren, nicht aber von Kreditrisikofaktoren abhängt und in ein Subportfolio, das nur von Kreditrisikofaktoren, nicht aber von Marktrisikofaktoren abhängt, ist das tatsächlich benötigte regulatorische Kapital kleiner oder gleich der Summe des Kapitals für Markt und Kreditrisiko. Ist diese Separation nicht möglich, kann unter dem Verfahren von Säule 1 das regulatorische Eigenkapital unterschätzt werden. Wir zeigen, dass in vielen Situationen Portfoliopositionen sowohl von Markt- als auch vom Kreditrisiko abhängen. In einer solchen Situation führt die traditionelle Berechnung des regulatorischen Eigenkapitals zu einer falschen Portfoliobewertung und als Konsequenz zu einer falschen Risikoeinschätzung. Wir zeigen anhand des Beispiels von Fremdwährungskrediten, dass diese Fehleinschätzung quantitativ bedeutend sein kann und zu einer schweren Unterschätzung des wahren Portfoliorisikos führt.

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Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2008,14.

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Date of creation: 2008
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Handle: RePEc:zbw:bubdp2:7324

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Keywords: integrated analysis of market and credit risk; risk management; foreign currency loans; banking regulation;

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  1. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "Global Business Cycles and Credit Risk," CESifo Working Paper Series 1548, CESifo Group Munich.
  2. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
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  6. Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge.
  7. Barnhill Jr., Theodore M. & Maxwell, William F., 2002. "Modeling correlated market and credit risk in fixed income portfolios," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 347-374, March.
  8. Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, vol. 97(2), pages 293-343, August.
  9. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
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Cited by:
  1. Sokolov, Yuri, 2012. "Modeling risk in a dynamically changing world: from association to causation," MPRA Paper 40096, University Library of Munich, Germany.
  2. Sokolov, Yuri, 2009. "Interaction between market and credit risk: Focus on the endogeneity of aggregate risk," MPRA Paper 18245, University Library of Munich, Germany.


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