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 Kredit-, Markt- und operativen Risiken - den drei wichtigsten im Basel II Akkord festgehaltenen
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