Bankenrating pp 323-352 | Cite as

Integrierte Gesamtbanksteuerung

  • Holger Spielberg
  • Daniel Sommer
  • Henning Dankenbring


Bankgeschäft betreiben heißt, Erträge durch die kalkulierte Übernahme und das Management von Risiken zu erwirtschaften:

Most businesses shun risk... they try and pass on their financial risk to others so that they can concentrate on making and selling their products. To succeed, however, financial firms must seek out risk. In nearly all their business, by being able to separate well-priced from under-priced risks, they can prosper. By avoiding all risk, however, they cease to be financial firms at all and will wither away.1


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Artzner, P./Delbaen, F./Eber, J.-M./Heath, D. (1999): Coherent Measures of Risk, in: Math. Finance, Jahrgang 9,1999, Nr. 3, Seiten 203–228.Google Scholar
  2. Casserley, D. (1991): Facing up to the Risks, John Wiley, Chichester, 1991.Google Scholar
  3. Embrechts, P./Höing, A./Juri, A. (2003): Using Copulae to bound the Value-at-Risk for functions of dependent risks, in: Finance & Stochastics, Jahrgang 7,2003, Nr. 2, Seiten 145–167.Google Scholar
  4. Embrechts, R/Klüppelberg, C./Mikosch, T. (1997): Modelling Extremal Events for Insurance and Finance, Berlin 1997.Google Scholar
  5. Embrechts, P./McNeil, A./Straumann, D. (2002): Correlation and dependence in risk management: properties and pitfalls, in: Depster, M. A. H. (Ed.), Risk Management: Value at Risk and Beyond, Cambridge 2002, Seiten 176–223.CrossRefGoogle Scholar
  6. Embrechts, P./Resnick, S./Samorodnitsky, G. (1998): Living on the Edge, in: Risk, 1998, Nr.l, Seiten 96–100.Google Scholar
  7. Jorion, Ph. (2001): Value at Risk, 2nd edition, New York 2001.Google Scholar
  8. Matten, C. (2000): Managing Bank Capital — Capital Allocation and Performance Measurement, 2nd edition, Chichester, 2000.Google Scholar
  9. Koyluoglu, H.U./Stoker, J. (1998): Honour your contribution, in: Risk, 4/2002, Seiten 90–94.Google Scholar
  10. Rating (2001): Herausforderung für Kreditinstitute und Unternehmen vor dem Hintergrund von Basel II, in: KfW-Beiträge, 2001, Nr. 26, Seiten 24–32.Google Scholar
  11. Roncalli, T./Bouyé, E./Durrleman, V/Nikeghbali, A./Riboulet, G. (2000): Copulas for Finance — A Reading Guide and Some Applications, Working Paper, Groupe de Recherche Operationelle, Crédit Lyonnais, 2000.Google Scholar
  12. Tavakoli, J. M. (2001): Credit Derivatives & Synthetic Structures — A Guide to Instruments and Applications, John Wiley & Sons, New York, 2001.Google Scholar

Copyright information

© Betriebswirtschaftlicher Verlag Dr. Th. Gabler/GWV Fachverlage GmbH, Wiesbaden 2004

Authors and Affiliations

  • Holger Spielberg
  • Daniel Sommer
  • Henning Dankenbring

There are no affiliations available

Personalised recommendations