Capital adequacy for counterparty risks: Comparison of commercial and regulatory approaches

Giese, Bertram and Grundmann, Thilo and Mitschele, Andreas (2012) Capital adequacy for counterparty risks: Comparison of commercial and regulatory approaches. Zeitschrift für das Gesamte Kreditwesen, 65 (11). pp. 543-549. ISSN 0341-4019

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Abstract

Bertram Giese, Controlling Financial Markets, Dr. Thilo Grundmann, group leader controlling overall bank management, both Landesbank Baden-Wuerttemberg and Prof. Dr. Andreas Mitschele, Program Director Business Administration Bank, Duale Hochschule Baden-Wurttemberg Stuttgart, Stuttgart / counterparty risks in the banking business need be underpinned by appropriate institutions due to regulatory requirements through equity. In addition, internal credit risk models are used, from which on the basis of the bank's own portfolio data, the economically necessary risk capital is calculated. Because of different parameters and assumptions, the economic capital requirements from soft considerably from the regulatory. These differences could have a serious impact on the control of the bank, and in particular the pricing of loans and the assessment of the risk-bearing capacity for credit risk. The authors analyze the respective approaches and work the differences between the two perspectives out. Then, the main parameters of credit risk modeling are examined and compared with comparison.

Item Type: Article
Article Type: Article
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Divisions: Faculty of Business, Computing and Applied Sciences > Business School > Business and Human Resource Management
Research Priority Areas: Applied Business Research
Depositing User: Ineke Tijsma
Date Deposited: 18 Mar 2015 13:32
Last Modified: 01 Sep 2016 20:57
URI: http://eprints.glos.ac.uk/id/eprint/1517

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