Yearbook 2015 Jahrbuch 2015 - firm.fm ?· Yearbook 2015 Jahrbuch 2015 Yearbook 2015 Jahrbuch 2015 DIE…

  • Published on
    15-Aug-2018

  • View
    213

  • Download
    0

Embed Size (px)

Transcript

  • Year

    book

    201

    5Ja

    hrbu

    ch 2

    015

    Yearbook 2015Jahrbuch 2015

    DIE MITGLIEDER (aktueller Stand zum Zeitpunkt der Drucklegung; eine aktuelle Mitgliederliste finden Sie unter www.firm.fm)

    Stiftende Mitglieder

    Premium-Mitglieder

    Ordentliche Mitglieder

    Frdermitglieder

    Gesellschaft fr Risikomanagement und Regulierung e. V.

    Main Triangel | Zum Laurenburger Hof 76 | 60594 Frankfurt am Main

    Tel.: +49 (0)69 94 41 80 51 | Fax: +49 (0)69 94 41 80 19

    info@firm.fm | www.firm.fm

  • Yearbook 2015Jahrbuch 2015

  • Yearbook 2015Jahrbuch 2015

  • CONTENTS

    CONTENTS | FIRM

    Foreword 10Wolfgang Hartmann

    Scenario analysis: Learning from the future 14Frank Romeike

    Stress and scenario analysis as key element of capital planning 17Holger Spielberg

    EBA/ECB Stress Test 2014: Credit risk modelling requirements and possible solutions 19Carsten Demski

    Retaining model-based capital charges 24Uwe Gaumert | Hans-Joachim Massenberg

    Risk weighting and risk sensitivity 26Rainer Baule | Christian Tallau

    Credit portfolios under stress 29Michael Kalkbrener | Natalie Packham

    Standardised and comprehensive risk classification based on the Value at Risk approach 32Ralf Kauther | Arndt Vlkle

    Valuation of bonds using an expert method 34Tino Lauer | Alexander Grling

    Methods of Estimating LossGiven Default 39Thomas Hartmann-Wendels | Patrick Miller | Eugen Tws

    A quantitative analysis approach to Non-Performing Loan portfolio management: observations from European Banks 41Jrg Erlebach | Dr. Christian Wagner | Michael Widowitz

    Basel III Drives Deleveraging and Risk Reallocations for European Banks 44Cynthia Chan | Robert Grossman | Gordon Scott

    Implications of the new bank supervision in Europe 47 Henning Dankenbring | Daniel Quinten

  • INHALTSVERZEICHNIS | FIRM

    Vorwort 114Wolfgang Hartmann

    Szenarioanalyse: Lernen aus der Zukunft 118Frank Romeike

    Stress- und Szenarioanalysen als Schlsselelement der Kapitalplanung 121Holger Spielberg

    EBA/EZB-Stresstest 2014: Modellierungsanforderungen Kreditrisiko und Lsungsanstze 123Carsten Demski

    Modellbasierte Kapitalunterlegung 128Uwe Gaumert | Hans-Joachim Massenberg

    Risikogewichtung und Risikosensitivitt 130Rainer Baule | Christian Tallau

    Kreditportfolios unter Stress 133Michael Kalkbrener | Natalie Packham

    Einheitliche und bergreifende Risikoklassifizierung auf Basis des Value-at-Risk-Ansatzes 136Ralf Kauther | Arndt Vlkle

    Bewertung von Anleihen mittels Expertenverfahren 138Tino Lauer | Alexander Grling

    Methoden zur Loss-Given-Default-Schtzung 142Thomas Hartmann-Wendels | Patrick Miller | Eugen Tws

    Ein Ansatz zur quantitativen Analyse des Portfoliomanagements notleidender Kredite: Beobachtungen bei europischen Banken 145Jrg Erlebach | Dr. Christian Wagner | Michael Widowitz

    Basel III frdert Deleveraging und Risikoumverteilung europischer Banken 148Cynthia Chan | Robert Grossman | Gordon Scott

    Implikationen der neuen Bankenaufsicht in Europa 151 Henning Dankenbring | Daniel Quinten

    INHALTSVERZEICHNIS

  • CONTENTS | FIRM

    Financial market regulation Review of achievements and new paradigms? 49Stephan Bredt

    Global Legal Entity Identifier Foundation (GLEIF) 51Wolfgang Knig

    Business Judgement Rule 53Wolfgang Hartmann | Frank Romeike

    Effective compliance and beyond 57Philip Bacher | Erik Lders | Uwe Stegemann | Joyce Clark

    Risk culture makes it easier to balance compliance and corporate management 61 Christoph Schwager | Andrea Fechner

    Reputational risks for banks focus on stakeholders 64Anja Hirt-Schlotmann | Sabine Schmax | Frank Westhoff

    Building the Transparent Bank 67Gerold Grasshoff | Thomas Pfuhler | Norbert Gittfried | Filip Saelens

    Efficient internal risk reporting 69Ralf Kehlenbeck | Maik Frey

    Establishment of a proactive internal audit function 71Christian Sewing | Thorsten Schmidt

    Risk management in Federal debt management 74Carsten Lehr | Matthias Reusch

    Using Swaptions to manage the interest rate risk of a German building society 77Jrgen Steffan | Rainer Eichwede

    Cyber security in the banking sector 81Andreas Eicher | Frank Romeike

    Sustainability as a driver of value and values in banks can values generate value? 84Fabian Leonhardt | Arnd Wiedemann

    Implications from neuro economics for the understanding of investment behavior 86Alexander Niklas Husler | Bernd Weber

  • Neue Ziele fr die Finanzmarkt regulierung? 153Stephan Bredt

    Global Legal Entity Identifier Foundation (GLEIF) 155Wolfgang Knig

    Business Judgement Rule 157Wolfgang Hartmann | Frank Romeike

    Effektive Compliance und mehr 161Philip Bacher | Erik Lders | Uwe Stegemann | Joyce Clark

    Risikokultur erleichtert Spagat zwischen Compliance und Unternehmenssteuerung 165 Christoph Schwager | Andrea Fechner

    Reputationsrisiken von Banken Stakeholder im Fokus 168Anja Hirt-Schlotmann | Sabine Schmax | Frank Westhoff

    Der Weg zur transparenten Bank 171Gerold Grasshoff | Thomas Pfuhler | Norbert Gittfried | Filip Saelens

    Steigerung der Effizienz des internen Risikoreportings 173Ralf Kehlenbeck | Maik Frey

    Etablierung einer pro-aktiven Audit-Funktion 175Christian Sewing | Thorsten Schmidt

    Risikomanagement im Bundesschuldenwesen 178Carsten Lehr | Matthias Reusch

    Swaptions zur Steuerung des Zinsnderungsrisikos bei Bausparkassen 181Jrgen Steffan | Rainer Eichwede

    Cybersicherheit im Bankenumfeld 185Andreas Eicher | Frank Romeike

    Nachhaltigkeit als Wert- und Wertetreiber in Banken Lassen sich mit Werten Werte schaffen? 188Fabian Leonhardt | Arnd Wiedemann

    Folgerungen aus der Neuro konomie fr das Verstndnis des Anlageverhaltens 190Alexander Niklas Husler | Bernd Weber

    INHALTSVERZEICHNIS | FIRM

  • CONTENTS | FIRM

    FIRM A Look at our past, present and future 88Wolfgang Hartmann

    FIRM Members of the Executive Board 90

    About FIRM 91

    FIRM Advisory Board 92Gnter Franke | Carsten Lehr

    FIRM Risk Roundtable 95Martin Knippschild

    FIRM Working Group 97

    FIRM educational programmes 98Wolfgang J. Reittinger | Udo Steffens

    FIRM education 102Uwe Walz

    FIRM research projects 103Wolfgang Knig | Gnter Franke

    FIRM Alumni Refreshing the FIRM alumni programme 105Sebastian Rick | Norman Ziemens

    FIRM Offsite and research conference 2014 106Frank Romeike

    FIRM & Frankfurt Main Finance 112Lutz Raettig

    The Frankfurt Institute for Risk Management and Regulation 88 112

  • FIRM Rckblick, Innenansichten und Ausblick 192Wolfgang Hartmann

    FIRM Vorstand 194

    FIRM Profil 195

    FIRM Beirat 196 Gnter Franke | Carsten Lehr

    FIRM Risk Roundtable 199Martin Knippschild

    FIRM Working Group 201

    FIRM Lehrprogramme 202Wolfgang J. Reittinger | Udo Steffens

    FIRM Weiterbildung 205Uwe Walz

    FIRM Forschungsprojekte 207Wolfgang Knig | Gnter Franke

    FIRM Alumni Refresh des FIRM-Alumni-Programms 209Sebastian Rick | Norman Ziemens

    FIRM Offsite und Forschungskonferenz 2014 210Frank Romeike

    FIRM & Frankfurt Main Finance 216Lutz Raettig

    INHALTSVERZEICHNIS | FIRM

    Frankfurter Institut fr Risikomanagement und Regulierung 192 216

  • firm Frankfurt Institute for Risk Management and Regulation

    10

    ForewordLadies and Gentlemen,

    This is the fourth edition of the FIRM Yearbook and it reports on both FIRM's work and, with a selection of 26 articles by respected authors, provides an overview of current risk management and regulatory issues. The last year was a watershed. On 1st January 2014, the bank-ing union in the Euro zone was born, with implementation of Basel III, CRR and CRD IV providing the legal framework. In addition, in 2014 major banks were undergoing AQRs (asset quality reviews) and stress tests by the ECB, while on 4th November 2014 the ECB took over direct supervision of these institutions.

    Of course, the new supervisory framework will take a while to bed in, and there are transitional periods for some issues (such as introduc-tion of the leverage ratio). This is the right approach, as huge adjust-ments are required in bank management and corporate governance. It could take some time yet before people and business processes have adapted to all the new developments. At the same time, the economic and technical conditions in the banking sector continue to develop and determine strategic direction. Needless to say, this applies not only to the players themselves.

    However, we must not ignore the fact that the influence of regula-tion on the options for making future transactions and thus on the market position of banks, insurance companies and asset managers is considerable. The winners from the current changes will be those, who can correctly assess the dynamics of the developments and draw appropriate conclusions. There is no question that there will also be losers, with a rearrangement of the European financial market definitely on the cards.

    With all this in mind, the articles in this yearbook provide a picture of the broad spectrum of issues that professional bank managers have to include in their calculations these days. Regrettably, it is not possible to go into detail on every single topic that is currently being discussed.

    We begin with three articles by authors who address the issue of stress tests, which European banks will be faced with on an annual basis in the future.

    Firstly, Frank Romeike's article Scenario analysis: Learning from the future encourages us to use appropriate scenarios to carry out simu-lation ca