IDEAS home Printed from https://ideas.repec.org/p/lmu/msmdpa/4831.html
   My bibliography  Save this paper

Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements

Author

Listed:
  • Gann, Philipp

Abstract

Vorliegende Arbeit sucht die Ursachen des Wandels der traditionellen Geschäftsstrategie von Kreditinstituten zu einem aktiven Steuerungsansatz unter dem Gesichtspunkt des Einflusses aufsichtsrechtlicher Anforderungen genauer zu analysieren. Es wird gezeigt, dass nicht nur ökonomische Faktoren, sondern auch regulatorische Vorgaben ein wesentlicher Treiber für die Weiterentwicklung der Gesamtbanksteuerung in Richtung eines aktiven Managements sämtlicher bewusst übernommener sowie dem Bankgeschäft inhärenten Risiken sein können. Dabei wird infolge der hohen Bedeutung bonitätsrisikobehafteter Assets für die Ertrags- und Risikolage der Banken im speziellen auf das Kreditgeschäft eingegangen. Anhand der Darstellung des in der zweiten Säule der Internationalen Konvergenz der Kapitalmessung und Eigenkapitalanforderungen (Basel II) des Baseler Ausschusses für Bankenaufsicht abgebildeten Internal Capital Adequacy Assessment Process (ICAAP) sowie den damit zusammenhängenden internationalen sowie nationalen Vorgaben wird dargelegt, dass diese Anforderungen in weiten Teilen mit den grundlegenden ökonomischen Ansprüchen an ein effizientes wertorientiertes Kreditportfoliomanagement übereinstimmen. Die aufsichtsrechtliche Pflicht zur Umsetzung des ICAAP und die ökonomische Notwendigkeit der Implementierung eines AKPM können somit als zwei Seiten einer Medaille betrachtet werden.

Suggested Citation

  • Gann, Philipp, 2008. "Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements," Discussion Papers in Business Administration 4831, University of Munich, Munich School of Management.
  • Handle: RePEc:lmu:msmdpa:4831
    as

    Download full text from publisher

    File URL: https://epub.ub.uni-muenchen.de/4831/2/ICAAP_AKPM_23.09.2008.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Jeffery D. Amato & Eli M Remolona, 2005. "The pricing of unexpected credit losses," BIS Working Papers 190, Bank for International Settlements.
    2. Stewart C. Myers & Nicholas S. Majluf, 1984. "Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have," NBER Working Papers 1396, National Bureau of Economic Research, Inc.
    3. Myers, Stewart C. & Majluf, Nicholas S., 1984. "Corporate financing and investment decisions when firms have information that investors do not have," Journal of Financial Economics, Elsevier, vol. 13(2), pages 187-221, June.
    4. Edward Zaik & John Walter & Gabriela Retting & Christopher James, 1996. "Raroc At Bank Of America: From Theory To Practice," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(2), pages 83-93.
    5. Boot, Arnoud W A & Thakor, Anjan V, 1993. " Security Design," Journal of Finance, American Finance Association, vol. 48(4), pages 1349-1378, September.
    6. Dilip Madan & Haluk Unal, 1996. "Pricing the Risks of Default," Center for Financial Institutions Working Papers 94-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
    7. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    8. George M. CONSTANTINIDES & Jonathan E. INGERSOLL Jr., 2005. "Optimal Bond Trading With Personal Taxes," World Scientific Book Chapters,in: Theory Of Valuation, chapter 6, pages 165-206 World Scientific Publishing Co. Pte. Ltd..
    9. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409 World Scientific Publishing Co. Pte. Ltd..
    10. Peter M. DeMarzo, 2005. "The Pooling and Tranching of Securities: A Model of Informed Intermediation," Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 1-35.
    11. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    12. John Y. Campbell & Glen B. Taksler, 2003. "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, vol. 58(6), pages 2321-2350, December.
    13. Nobuhiro Kiyotaki & John Moore, 1997. "Credit Chains," ESE Discussion Papers 118, Edinburgh School of Economics, University of Edinburgh.
    14. Kesten, Ralf, 2005. "ERIC versus EVA: Zwei wertorientierte Controllingkennzahlen im kritischen Vergleich," Arbeitspapiere der Nordakademie 2005-02, Nordakademie - Hochschule der Wirtschaft.
    15. Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
    16. Myers, Stewart C. & Majluf, Nicolás S., 1945-, 1984. "Corporate financing and investment decisions when firms have information that investors do not have," Working papers 1523-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    17. Nicolas Papageorgiou & Frank S. Skinner, 2006. "Credit Spreads And The Zero-Coupon Treasury Spot Curve," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(3), pages 421-439.
    18. repec:kuk:journl:v:40:y:2007:i:1 is not listed on IDEAS
    19. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    20. Pierides, Yiannos A., 1997. "The pricing of credit risk derivatives," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1579-1611, August.
    21. Bernd Rudolph, 2007. "Kreditrisikotransfer - Abbau alter gegen den Aufbau neuer Risiken?," Credit and Capital Markets, Credit and Capital Markets, vol. 40(1), pages 1-16.
    22. Jeffery D Amato & Eli M Remolona, 2003. "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
    23. Edwin J. Elton, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, vol. 56(1), pages 247-277, February.
    24. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    25. Christos Pitelis & Roger Sugden & James R. Wilson, 2006. "Introduction," Chapters,in: Clusters and Globalisation, chapter 1 Edward Elgar Publishing.
    26. Gorton, Gary & Pennacchi, George, 1990. " Financial Intermediaries and Liquidity Creation," Journal of Finance, American Finance Association, vol. 45(1), pages 49-71, March.
    27. Thomas C. Wilson, 1998. "Portfolio credit risk," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 71-82.
    28. Pierre Collin-Dufresne, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Wertorientierte Banksteuerung; aktives Kreditportfoliomanagement; Internal Capital Adequacy Assessment Process; ICAAP; Stresstesting; Basel II; marktorientiertes Credit Pricing;

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:lmu:msmdpa:4831. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Debbie Claassen). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.