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Die Diskussion um Prozyklizität versus Risikosensitivität im Basler Konsultationsprozess
Eine empirische Schätzung der asset return correlation und der Ausfallwahrscheinlichkeit für Österreich
Vondra, Klaus | Weiser, Harald
Credit and Capital Markets – Kredit und Kapital, Vol. 39 (2006), Iss. 1 : pp. 75–95
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Klaus Vondra, Wien
Harald Weiser, Wien
References
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Abstract
The Discussion about Procyclicality versus Risk Sensitivity in the Basle II Consultation Process
An Empirical Estimation of the Asset Return Correlation and the Default Probability for Austria
This article throws some light on the development of the basic calculation formulas governing companies’ own-capital requirements within the framework of the Basle II consultation process. Although the Basle Committee makes reference to theoretical models for calculating the required own capital resources, these models no longer conform to the theoretical basis owing to various formula modifications. Based on a maximum likelihood estimation for Austria, we have reached the unambiguous conclusion that the Basle Committee must have decided upon the calculation formulas by the primary objective of an average 8% in terms of own capital resources as distinct from theoretico-empirical requirements. This gives again rise to questions about the driving forces at the base of the current calculation method.