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Investitionsrechnerische Bewertung von ausfallgefährdeten Krediten

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  • Nippel, Peter

Abstract

Mit diesem Beitrag soll ein grundlegender Zugang zur investitionsrechnerischen Bewertung von riskanten, ausfallgefährdeten Krediten geschaffen werden. Gegenübergestellt werden die Diskontierung von vereinbarten Zahlungen mit der Effektivverzinsung äquivalenter Kredite und die Diskontierung erwarteter Zahlungen aus dem Kredit mit risikoadäquaten Kapitalkosten. Dabei wird auch explizit zwischen Ausfallprämie und Risikoprämie i. e. S. unterschieden. Der angemessene Kapitalkostensatz enthält eine Risikoprämie i. e. S. Die bei Kreditvergabe mindestens zu fordernde Effektivverzinsung übersteigt den Kapitalkostensatz um die Ausfallprämie. Das Ausfallrisiko ist durch die (bedingten) periodenspezifischen Ausfallwahrscheinlichkeiten und Ausfallraten zu messen. Die allgemeine Darstellung der Bewertung in Abhängigkeit des Ausfallrisikos lässt serielle Korrelationen zwischen den Ausfallwahrscheinlichkeiten und Korrelationen zwischen Ausfallwahrscheinlichkeiten und Ausfallraten zu. Vereinfachende Annahmen zwecks Praktikabilität der Bewertung schließen solche Korrelationen dann jedoch aus. Mindestens zu fordernde Kreditkonditionen werden in Abhängigkeit vom Ausfallrisiko und dem Kapitalkostensatz analytisch bestimmt. Der Kreditkapitalkostensatz wiederum wird marktgleichgewichtsbezogen und in Relation zu den Gesamtkapitalkosten einer Bank als Kreditgeber bestimmt.

Suggested Citation

  • Nippel, Peter, 2016. "Investitionsrechnerische Bewertung von ausfallgefährdeten Krediten," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 664, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    • Handle: RePEc:zbw:cauman:664
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Ausfallprämie; Ausfallrisiko; Effektivverzinsung; erwartete Rendite; Investitionsrechnung; Kapitalkosten; Kreditbewertung; Kreditfinanzierung; Risikoprämie; Bond Valuation; Debt; Capital Budgeting; Default Premium; Default Risk; Expected Return; Cost of Debt; Risk Premium; Yield to Maturity;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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