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Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II

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  • Gürtler, Marc
  • Heithecker, Dirk
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    Abstract

    Gemäß den im Juni 2004 durch den Baseler Ausschuss endgültig verabschiedeten Kapitalstandards (Basel II) sind Kredite in Höhe des so genannten unerwarteten Verlusts mit Eigenkapital zu unterlegen. Für erwartete Verluste hat das jeweilige Kreditinstitut Rückstellungen zu bilden, wobei hier etwaige Differenzen in der Eigenkapitalunterlegung zu berücksichtigen sind. Damit die folglich relevanten Größen des unerwarteten und des erwarteten Verlusts ermittelbar sind, benötigt man für einen Kredit die Kenntnis der erwarteten Ausfallwahrscheinlichkeit (PD) und der erwarteten Verlustquote bei Ausfall (LGD). Während in Basel II für die Größe PD konkrete Vorschriften zur Bestimmung vorliegen, die auf dem Kreditrisikomodell von Vasicek (1987/1991) basieren, sind die Vorgaben zur Ermittlung des LGD noch ungenau und bilden allenfalls einen Rahmen, der für die Umsetzung zu beachten ist. Inhalt dieses Beitrags ist daher die Entwicklung einer auf dem Modell von Vasicek basierenden Berechnungsvorschrift für die Größe LGD, die den Rahmenbedingungen von Basel II genügt und darüber hinaus eine sachgerechte Berücksichtigung von Kreditsicherheiten vorsieht. -- According to the new capital adequacy framework (Basel II) finally adopted by the Basel Committee on Banking Supervision in June 2004 the eligible regulatory capital amounts to the unexpected losses of credits. For expected losses the bank has to make provisions, whereby differences between provisions and expected losses have to be included in the regulatory capital. To determine the relevant variables of unexpected and expected losses, the knowledge of the credit specific probability of default (PD) and the appropriate loss given default (LGD) is necessary. While the determination of PD is regulated in Basel II and based on the credit risk model of Vasicek (1987/1991), statements according to the calculation of the LGD are imprecise and can only act as a framework. Therefore this paper deals with the development of a calculation rule for the LGD, which is based on the model of Vasicek, and meets the basic conditions of Basel II. Furthermore, credit collaterals are considered.

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    Bibliographic Info

    Paper provided by Technische Universität Braunschweig, Institute of Finance in its series Working Papers with number FW08V3.

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    Date of creation: 2004
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    Handle: RePEc:zbw:tbsifw:fw08v3

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    Keywords: Basel II; Kapitalstandards; Loss Given Default; Probability of Default; Kreditrisiko; Kreditsicherheiten; Basel II; Capital Adequacy Requirements; Loss Given Default; Probability of Default; Collateral; Credit Risk;

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    1. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 12(3), pages 199-232, July.
    2. Edward I. Altman & Brooks Brady & Andrea Resti & Andrea Sironi, 2005. "The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 78(6), pages 2203-2228, November.
    3. Jon Frye, 2000. "Depressing recoveries," Emerging Issues, Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago, issue Oct.
    4. Briys, Eric & de Varenne, François, 1997. "Valuing Risky Fixed Rate Debt: An Extension," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 32(02), pages 239-248, June.
    5. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank, Research Centre.
    6. Jokivuolle, Esa & Peura, Samu, 2000. "A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans," Research Discussion Papers, Bank of Finland 2/2000, Bank of Finland.
    7. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(1-2), pages 119-149, January.
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