Zeit für ein neues Modell?
Gemäß Säule II von Basel II müssen die Banken neue interne Verfahren für die Messung der Kapitaladäquanz entwickeln, was zu vermehrter Nutzung ökonomischer Kapitalmodelle geführt hat. Die jüngsten Marktturbulenzen wecken jedoch Zweifel, ob die aktuellen Modelle für diesen Zweck geeignet sind. Rob Davies berichtet
Eine einfache Aufgabe war die Risikoquantifizierung noch nie, aber in den letzten 18 Monaten ist sie noch um einiges problematischer geworden. Die globale Kreditkrise eskaliert zu einem Stressszenario, das Anfang 2007 noch undenkbar war: Folglich fragen sich jetzt viele, ob man sich im Risikomanagement eventuell zu stark auf Modellierungstechniken verlassen hat.
Die Modelle zur Einschätzung der
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Europe expects FRTB to bite on XVA hedges
Risk Benchmarking: One-third of European dealers fear new market risk rules will have major effect on hedges
Non-bank dealers urge rethink on FICC default fund reshuffle
Separating margin will cut bank capital, but non-banks warn they face disproportionate risk-sharing
Why a hybrid approach works best for AI in credit risk modelling
AI helps models look beyond quarterly reports, but CRO says governance curtails full automation
Eurex product co-head departs
Zubin Ramdarshan’s exit comes after exchange CEO Robbert Booij confirms departure
Off the grid? Dealers mull XVA cloud shift
Risk Benchmarking: 69% of European banks still run core XVA calculations predominantly on-premises, and 75% of global dealers
Banks want AML data upgrade to complement US regulatory reform
FinCEN’s proposed overhaul sparks debate on whether it will lead to smarter or weaker supervision
Swiss franc loan losses are a grey rhino for EU consumer finance
Impact on Polish banks exposed a blind spot on modelling legal risk that has wider implications, says mBank CRO Marek Lusztyn
CROs urged to use ‘creative’ stress tests for interconnected risks
Risk Live Asia: AI, cyber security and geopolitics mean faster shock transmission across risk types
