Revision des Baseler Eigenkapitalakkords by Matthias Brauner
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Revision des Baseler Eigenkapitalakkords

Revision des Baseler Eigenkapitalakkords


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About the Book

Inhaltsangabe: Einleitung: Die Revision des Baseler Eingenkapitalakkords - kurz Basel II - hat sich zum geflügelten Wort entwickelt. Mittlerweile hat sich auch die Bundesregierung in dieses Verfahren eingeschaltet. Dies zeigt die Tragweite der geplanten Reformen. In der vorliegenden Arbeit werden auf Basis des ersten Konsultationspapieres (von 06/1999) die Revisionsvorschläge in ihren bis dato unveränderten Grundzügen dargestellt und in den wichtigen Aspekten kritisch betrachtet. Dabei liegt der Schwerpunkt auf der Analyse ratingabhängigen Eigenkapitalunterlegung. Anhand eines Beispiels wird dargelegt wie sich die Eigenkapitalunterlegung eines Bankportfolios bei Anwendung interner Ratings verändern kann. Ferner wird für ein Teilportfolio auch eine Simulation durch ein Kreditrisikomodelles vorgenommen und dabei die Wirkung des Portfolioeffekts auf die Eigenkapitalunterlegung dargestellt, die bei der ratingabhängigen Kalkulation nicht möglich ist. Die Arbeit schließt mit grundsätzlichen Empfehlungen für notwendige Anpassungen im Kreditgeschäft. Die Revision der 1988 beschlossenen und zwischenzeitlich nur im Bereich der Marktpreisrisiken modifizierten Eigenkapitalübereinkunft soll zum einen den Erfahrungen aus den Finanzkrisen der letzten Jahre Rechnung tragen. Zum anderen soll der Wandel in der Kreditwirtschaft, der sich z.B. durch die Einführung neuer Kapitalmarktinstrumente wie Kreditderivate manifestiert, berücksichtigt werden. Der 1988 beschlossene Akkord war wegweisend und wurde in vielen Ländern, die nicht im Baseler Ausschuß vertreten sind, in die nationale Gesetzgebung übernommen. Mit dem neuen Akkord soll der wachsenden Komplexität des Bankgeschäftes durch eine Flexibilisierung und Individualisierung der Aufsichtsregeln Rechnung getragen werden. Ein erster Schritt in diese Richtung wurde durch die Novellierung im Bereich der Marktpreisrisiken getan. Erstmals sind bankinterne Risikomodelle für die Bemessung von Marktpreisrisiken und der damit verbundenen n


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Product Details
  • ISBN-13: 9783838646800
  • Publisher: Diplom.de
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 9 mm
  • Weight: 263 gr
  • ISBN-10: 3838646800
  • Publisher Date: 01 Nov 2001
  • Height: 210 mm
  • No of Pages: 156
  • Series Title: German
  • Sub Title: Betrachtung der Mindesteigenkapitalanforderungen des Konsultationspapieres und Verdeutlichung der Auswirkungen am Beispiel
  • Width: 148 mm


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