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Home > Business & Economics > Industry & industrial studies > Messung des Zinsänderungsrisikos im Anlagebuch. Analyse des Konsultationspapiers des Basler Ausschusses Nr. 319
Messung des Zinsänderungsrisikos im Anlagebuch. Analyse des Konsultationspapiers des Basler Ausschusses Nr. 319

Messung des Zinsänderungsrisikos im Anlagebuch. Analyse des Konsultationspapiers des Basler Ausschusses Nr. 319


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About the Book

Studienarbeit aus dem Jahr 2016 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 1,0, Universität zu Köln (Universität zu Köln), Sprache: Deutsch, Abstract: Zuerst werden im Folgenden die vom BCBS (Basler Ausschuss für Bankenaufsicht) beschriebenen Zinsschockszenarien dargestellt, dann auf die Systematik der Aufteilung der Positionen des Anlagebuchs auf die Laufzeitbänder eingegangen und dabei besonders die Überlegungen zu variablen Einlagen dargestellt. Diese sind von besonderem Interesse, da hier beide Parteien die Möglichkeit haben, unmittelbar zu reagieren, der Bankkunde kann diese rechtlich gesehen täglich verfügen und die Bank den Zinssatz variabel anpassen. Da die verhaltensbezogene Laufzeit länger ist als die vertragliche Laufzeit, werden Annahmen über die verhaltensbezogene Laufzeit getroffen, die die Messung des Zinsänderungsrisikos beeinflussen. Anschließend folgt die Darstellung, wie Zinsänderungsrisiken künftig bei der Eigenkapitalunterlegung zu berücksichtigen wären und abschließend eine Gesamtschau der Arbeit. Generell entstehen "Zinsänderungsrisiken [..] aus unterschiedlichen Zinsbindungsdauern auf Aktiv- und Passivseite sowie aus unterschiedlichem Zinsanpassungsverhalten variabel verzinslicher Positionen" (Hartmann-Wendels et al., 2015, S. 561). Diese Zinsänderungsrisiken sind für Banken momentan von besonderem Interesse, da die Anleger von langfristigen Anlagen auf Sichteinlagen umgeschichtet haben und Kreditnehmer sich das niedrige Zinsniveau durch lange Sollzinsbindungsfristen gesichert haben. Insbesondere die sinkenden Opportunitätskosten der Geldhaltung (rückläufiger Zinsabstand zwischen Spar- bzw. Termineinlagen und Sichteinlagen), die Risikoaversion und die Liquiditätspräferenz der Anleger haben zu dieser Entwicklung geführt. Von der Europäischen Bankenaufsichts-behörde (EBA) wird das Thema der Steuerung des Zinsänderungsrisikos bei Geschäften des Anlagebuchs ebenfalls durch eine neu herausgegebene Leitlinie adressiert, darin geht es be


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Product Details
  • ISBN-13: 9783668242234
  • Publisher: Grin Publishing
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 2 mm
  • Width: 148 mm
  • ISBN-10: 3668242232
  • Publisher Date: 17 Jun 2016
  • Height: 210 mm
  • No of Pages: 28
  • Series Title: German
  • Weight: 100 gr


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Messung des Zinsänderungsrisikos im Anlagebuch. Analyse des Konsultationspapiers des Basler Ausschusses Nr. 319
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