Kapitalmarktorientierte Risikosteuerung in Banken: Marktwertsteuerung statt Marktzinsmethode
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Kapitalmarktorientierte Risikosteuerung in Banken: Marktwertsteuerung statt Marktzinsmethode
Credit and Capital Markets – Kredit und Kapital, Vol. 39 (2006), Iss. 2 : pp. 233–280
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Rolf Reichardt, Frankfurt/M.
References
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Abstract
Capital Market-oriented Risk Management by Banks: Market Valuation instead of the "Marktzinsmethode"
This article casts doubt on the "Marktzinsmethode" (a capital market-oriented transfer pricing method) as a basis for the dual risk management of credit and market price risk. The credit risks faced by a bank imply credit risk-induced market price risks and bank specific funding costs. Whilst credit risk-induced market price risks are not identified in the dual risk management, bank-specific funding costs are identified but not correctly allocated within banks.
The basic model of the "Marktzinsmethode" does not provide any solutions to these problems. In contrast to this, mismanagement impulses can be avoided from the outset by consistent market valuation (mark to market) of all financial instruments. Looking forward, first considerations are developed with respect to the implementation of a comprehensive market value based risk management in banks and as an example a suitable valuation model is presented.