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Die Berücksichtigung des operationellen Risikos in der Neuen Basler Eigenkapitalvereinbarung

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  • Buchmüller, Patrik
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    Abstract

    Die Verluste der Barings-Bank durch unautorisierte Derivategeschäfte des Börsenhändlers Nick Leeson, das mögliche Versagen von Computersystemen oder die Zerstörung von Hauptverwaltungsgebäuden durch terroristische Anschläge sind Varianten des operationellen Risikos von Banken. Der Basler Ausschuss für Bankenaufsicht will durch die Berücksichtigung des operationellen Risikos im Rahmen der Neuen Basler Eigenkapitalvereinbarung die Insolvenzwahrscheinlichkeit der Banken reduzieren. Der vorliegende Beitrag untersucht, ob die vom Basler Ausschuss geplante Mindesteigenkapitalunterlegung des operationellen Risikos den Banken Anreize gibt, ihr operationelles Risiko zu verringern. Dabei zeigt sich, dass die aktuellen Vorschläge des Basler Ausschusses große Mängel besitzen und gegenüber den bisherigen Regelungen noch keine entscheidende Verbesserung darstellen. Zudem wird grundsätzlich infrage gestellt, ob Mindesteigenkapitalanforderungen ein geeignetes Instrument sind, um die Insolvenzgefahr zu reduzieren, die von selten eintretenden, mit hohen Verlusten verbundenen Schadensfällen ausgeht. --

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    Bibliographic Info

    Paper provided by University of Tübingen, School of Business and Economics in its series Tübinger Diskussionsbeiträge with number 227.

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    Date of creation: 2001
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    Handle: RePEc:zbw:tuedps:227

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    Keywords: Basler Eigenkapitalvereinbarung;

    References

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    1. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, Elsevier, vol. 1(1), pages 3-11, June.
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    5. Blum, Jurg, 1999. "Do capital adequacy requirements reduce risks in banking?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 23(5), pages 755-771, May.
    6. Buser, Stephen A & Chen, Andrew H & Kane, Edward J, 1981. "Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital," Journal of Finance, American Finance Association, American Finance Association, vol. 36(1), pages 51-60, March.
    7. Asli Demirguc-Kunt & Edward J. Kane, 2002. "Deposit Insurance Around the Globe: Where Does It Work?," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 16(2), pages 175-195, Spring.
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