IDEAS home Printed from https://ideas.repec.org/a/bpj/zfbrbw/v12y2000i2p101-112n2.html
   My bibliography  Save this article

Kreditrisikomodelle und Regulierung

Author

Listed:
  • Grundke Peter

    (Dipl.-Math. Dipl.-Kfm., wissenschafilicher Mitarbeiter an der Universität zu Köln)

Abstract

In Kreisen der Bankenaufsicht wird in zunehmenden Maße der Einsatz von Portfoliomodellen zur Regulierung der Übernahme von Kreditrisiken durch Banken diskutiert. Derartige Modelle messen Kreditrisiken auf Portfolioebene und berücksichtigen dabei stochastische Abhängigkeiten zwischen den Bonitätszustandsänderungen der Kreditnehmer. Der Verfasser stellt zwei kommerziell vertriebene Kreditportfoliorisikomodeüe, CreditMetric™ und CreditPortfolio- View™, anhand von Ablaufdiagrammen dar und beschreibt die wichtigsten Modeilunterschiede. Auf der Basis dieses Vergleiches werden gravierende Probleme diskutiert, die einer Verwendung der Modelle zu Regulierungszwecken derzeit im Wege stehen

Suggested Citation

  • Grundke Peter, 2000. "Kreditrisikomodelle und Regulierung," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 12(2), pages 101-112, April.
    • Handle: RePEc:bpj:zfbrbw:v:12:y:2000:i:2:p:101-112:n:2
    DOI: 10.15375/zbb-2000-0202
    as

    Download full text from publisher

    File URL: https://doi.org/10.15375/zbb-2000-0202
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.15375/zbb-2000-0202?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:zfbrbw:v:12:y:2000:i:2:p:101-112:n:2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.