JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Kapitalmarktorientierte Risikosteuerung in Banken: Marktwertsteuerung statt Marktzinsmethode
Credit and Capital Markets – Kredit und Kapital, Vol. 39 (2006), Iss. 2 : pp. 233–280
Additional Information
Article Details
Author Details
Rolf Reichardt, Frankfurt/M.
References
-
Benke, H./Flesch, H.-R.: Die Steuerung des Zinsänderungsrisikos, in Lüthje, B. (Hrsg.) Risikomanagement in Banken, Berichte und Analysen des Verbandes öffentlicher Banken, Bd. 13, Bonn 1991, S. 17-39.
Google Scholar -
Benke, H./Gebauer, B./Piaskowski, F.: Die Marktzinsmethode wird erwachsen: Das Barwertkonzept (I), Die Bank, 8/1991, S. 457-463.
Google Scholar -
Düllmann, K./Uhrig-Homburg, M./Windfuhr, M.: Risk Structure of Interest Rates: An Empirical Analysis for Deutschemark-denominated Bonds, European Financial Management Journal, Vol. 6, 2000, S. 367-388.
Google Scholar -
Duffie, D./Singleton, K. J.: Credit Risk: Pricing, Measurement, and Management, Princeton 2003.
Google Scholar -
Flechsig, R./Flesch, H.-R.: Die Wertsteuerung - Ein Ansatz des operativen Controlling im Wertbereich, Die Bank, 10/1982, S. 454-465.
Google Scholar
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.