Active credit portfolio management - bringing the capital market perspective into bank lending: a practitioner's view
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Frankfurt, M. ; Berlin ; Bern ; Bruxelles ; New York, NY ; Oxford ; Wien
Lang
2007
|
| Edition: | 1. Aufl. |
| Series: | European University Studies
Series V, Economics and Management ; Vol. 3276 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIV, 429 S. graph. Darst. 21 cm |
| ISBN: | 9783631569351 |
Staff View
MARC
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| 245 | 1 | 0 | |a Active credit portfolio management - bringing the capital market perspective into bank lending |b a practitioner's view |c Jochen Dürr |
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| 264 | 1 | |a Frankfurt, M. ; Berlin ; Bern ; Bruxelles ; New York, NY ; Oxford ; Wien |b Lang |c 2007 | |
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| adam_text | TABLE OF CONTENTS TABLEOF CONTENTS TABLE OF FIGURES XV TABLE OF
ABBREVIATIONS XIX TABLE OF SYMBOLS XXIII PART I: INTRODUCTION, CURRENT
STATUS OF RESEARCH, MOTIVATION, GOALS, AND STRUCTURE OF DISSERTATION 1 1
INTRODUCTION 1 1.1 RECENT DEVELOPMENTS IN THE GLOBAL CAPITAL MARKET 1
1.2 IMPLICATIONS FOR BANK LENDING BUSINESS - THE ACPM APPROACH 3 2
CURRENT STATUS OF RESEARCH ON ACPM 5 3 MOTIVATION, GOALS, AND STRUCTURE
OF DISSERTATION 7 3.1 PART II 7 3.2 PART III 8 3.3 PART IV 10 PART II:
THE ACPM APPROACH - DEVELOPMENT, INSTRUMENTS, THEORETICAL BACKGROUND,
AND VALUE CREATION POTENTIAL 11 1 CREDIT BUSINESS OF WHOLESALE BANKS 11
1.1 MARKET DEFINITIONS 11 1.2 BANKS AS FINANCIAL INTERMEDIARIES 12 1.2.1
DEFINITION OF BANKS AND THEIR ROLE ACCORDING TO BANKING THEORY 12 1.2.2
LEGITIMIZATION FOR BANKS DESPITE RECENT MARKET DEVELOPMENTS 15 1.3
BANKING SYSTEMS AND SYSTEMATIZATION OF BANKS 17 1.3.1 THE US BANKING
SYSTEM 18 1.3.2 THE GERMAN BANKING SYSTEM 19 1.3.3 RETAIL VS. WHOLESALE
BANKS 22 VII BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/986037230
DIGITALISIERT DURCH TABLEOF CONTENTS 1.4 OVERVIEW OF WHOLESALE CREDIT
BUSINESS 24 1.4.1 ORIGINATION, CREDIT APPROVAL AND MONITORING 25 1.4.2
CREDIT PORTFOLIO RISK AND PERFORMANCE MEASUREMENT 26 1.4.2.1 CREDIT
PORTFOLIO RISKS 27 1.4.2.2 MEASUREMENT OF CREDIT RISKS 30 1.4.2.3
DETERMINATION OF EC 37 1.4.2.4 STRATEGIES TO MINIMIZE UNEXPECTED CREDIT
RISKS 38 1.4.2.5 PERFORMANCE MEASUREMENT 39 1.4.3 REFINANCING 41 1.4.4
LOAN RESTRUCTURING AND WORKOUT 43 1.5 SUMMARY 44 2 DEVELOPMENT,
PRINCIPLES, AND IMPLEMENTATION OF THE ACPM APPROACH 49 2.1 THE
CONVENTIONAL WHOLESALE LENDING APPROACH - ORIGINATE AND HOLD 49 2.2
FORCES OF CHANGE IN CREDIT MARKETS 49 2.2.1 INCREASING SECONDARY CREDIT
MARKET LIQUIDITY 49 2.2.2 OPPORTUNITIES TO PERFORM REGULATORY CAPITAL
ARBITRAGE 50 2.2.2.1 CURRENT REGULATION BASLE I 50 2.2.2.2 REGULATORY
ARBITRAGE 52 2.2.2.3 CHANGES FOLLOWING PROPOSAL FOR NEW CAPITAL ADEQUACY
RULES BASLE II 52 2.2.3 ADVANCEMENTS IN CREDIT RISK ANALYTICS 53
2.2.3.1 THE COVARIANCE CREDIT PORTFOLIO MODEL (MARKOWITZ MODEL) 55
2.2.3.2 THE ACTUARIAL CREDIT PORTFOLIO MODEL 57 2.2.3.3 THE MERTON MODEL
57 2.2.3.4 THE MACROECONOMIC DEFAULT MODEL 58 2.2.3.5 THE MACROECONOMIC
CASH FLOW MODEL 59 2.2.3.6 SECOND-GENERATION CREDIT PORTFOLIO MODEIS 60
2.2.3.7 CREDIT PORTFOLIO MODEIS USED IN PRACTICE 60 2.2.4 DECLINING
PROFITABILITY OF BANKING BUSINESS 62 2.2.4.1 FALLING NEW LENDING MARGINS
62 2.2.4. TABLE OF CONTENTS 3 SECONDARY CREDIT MARKET INSTRUMENTS TO
ACTIVELY MANAGE LOAN PORTFOLIOS 77 3.1 LOAN SALES AND LOAN SYNDICATION
77 3.1.1 DEFINITION AND MOTIVATION FOR LOAN SALES AND LOAN SYNDICATION
77 3.1.1.1 LOAN SALES 77 3.1.1.2 LOAN SYNDICATION 78 3.1.2 TYPES OF
SYNDICATED LOANS AND STRUCTURE OF TYPICAL TRANSACTIONS 79 3.1.3 MARKET
DEVELOPMENT 83 3.1.3.1 LOAN SALES 83 3.1.3.2 LOAN SYNDICATION 85 3.2
CREDIT DERIVATIVES 89 3.2.1 DEFINITION AND CLASSIFICATION 89 3.2.2
STRAIGHT DERIVATIVES 93 3.2.2.1 SINGLE-NAME CREDIT DEFAULT INSTRUMENTS
93 3.2.2.2 SINGLE-NAME SPREAD (REPLICATION) INSTRUMENTS 96 3.2.2.3
BASKET DEFAULT INSTRUMENTS 99 3.2.2.4 BASKET SPREAD (REPLICATION)
INSTRUMENTS 101 3.2.2.5 CREDIT INDEX DERIVATIVES 101 3.2.3 REPACKAGED
AND TRANCHED DERIVATIVES 102 3.2.3.1 SINGLE-NAME INSTRUMENTS 102 3.2.3.2
BASKET INSTRUMENTS 103 3.2.4 MARKET DEVELOPMENT 103 3.3 SECURITIZATION
108 3.3.1 DEFINITION AND CLASSIFICATION 108 3.3.2 CDOS 110 3.3.2.1
CASH-BASED CDOS 110 3.3.2.2 SYNTHETIC CDOS 113 3.3.2.3 ADVANTAGES OF
SYNTHETIC OVER CASH-BASED CDOS 117 3.3.3 MBS 118 3.3.3.1 DEMARCATION OF
ABBS FROM MBS 118 3.3.3.2 EXCURSUS: GERMAN PFANDBRIEFE 119 3.3.3.3 MBS
120 3.3.4 MARKET DEVELOPMENT 122 3.4 COMPARISON OF SECONDARY CREDIT
MARKET INSTRUMENTS 125 3.4.1 METHODS AND SUITABILITY TO TRANSFER CREDIT
RISKS 126 3.4.1. TABLE OF CONTENTS 3.4.2 INFORMATION ASYMMETRIES 130
3.4.2.1 LOAN SALES AND LOAN SYNDICATION 130 3.4.2.2 CREDIT DERIVATIVES
L31 3.4.2.3 SECURITIZATION 133 3.4.3 ADDITIONAL RISKS RELATED TO USE OF
SECONDARY CREDIT MARKET INSTRUMENTS 134 3.4.4 IMPACT ON REGULATORY
CAPITAL REQUIREMENTS 134 3.4.4.1 LOAN SALES AND LOAN SYNDICATION 135
3.4.4.2 CREDIT DERIVATIVES 135 3.4.4.3 SECURITIZATION 136 3.4.5 MARKET
INTERDEPENDENCIES 139 4 THEORETICAL BACKGROUND AND VALUE CREATION
POTENTIAL OF THE ACPM APPROACH 143 4.1 PORTFOLIO SELECTION OF INDIVIDUAL
INVESTORS 143 4.1.1 RISK PREFERENCES 143 4.1.2 MEAN-VARIANCE EFFICIENT
PORTFOLIOS 146 4.1.2.1 TWO-FUND SEPARATION 146 4.1.2.2 TOBIN SEPARATION
147 4.1.3 MEAN-SHORTFALL EFFICIENT PORTFOLIOS 149 4.1.3.1 EFFICIENT
PORTFOLIO SELECTION UNDER NORMALLY DISTRIBUTED ASSET RETURNS AND
SHORTFALL PROBABILITY 149 4.1.3.2 GENERALIZATION OF DISTRIBUTION
FUNCTION 152 4.1.3.3 HIGHER-ORDER LPM 153 4.2 CAPITAL MARKET EQUILIBRIUM
153 4.2.1 MEAN-VARIANCE MARKET EQUILIBRIUM - THE CAPM 153 4.2.1.1
UNDERLYING ASSUMPTIONS 154 4.2.1.2 THE MODEL 154 4.2.2 MEAN-LPM MARKET
EQUILIBRIUM 157 4.3 VALUE CREATION OF THE ACPM APPROACH IN COMPLETE
CAPITAL MARKETS 159 4.3.1 MARKET VALUE MAXIMIZATION AS EVALUATION
CRITERION 159 4.3.2 FRRELEVANCE AND SEPARATION THEOREMS 160 4.3.3 VALUE
CREATION OF THE ACPM APPROACH 161 4.3.3.1 SECONDARY MARKET TRANSACTIONS
BETWEEN INTERMEDIARIES AND PRIVAT TABLE OF CONTENTS 4.4.1 MARKET
INCOMPLETIONS ACCORDING LO FINANCE THEORY 168 4.4.1.1 LIMITED MARKET
ACCESS 168 4.4.1.2 MARKET FRICTIONS 169 4.4.1.3 INFORMATION ASYMMETRIES
171 4.4.2 BANK-SPECIFIC MARKET INCOMPLETIONS 177 4.4.2.1 BANKING
SUPERVISION 177 4.4.2.2 DEPOSIT INSURANCE 178 4.4.2.3 STATE GUARANTEES
180 4.4.3 IMPLICATIONS FOR VALUE CREATION OF THE ACPM APPROACH 181
4.4.3.1 RISK DIVERSIFICATION AND REGULATORY ARBITRAGE 181 4.4.3.2
COLLATERALIZED REFINANCING 183 4.5 SUMMARY 185 PART III: EMPIRICAL STUDY
ON ACPM 191 1 THE GOALS OF THE EMPIRICAL STUDY 191 1.1 OBTAINING
EMPIRICAL EVIDENCE ON CPM BUSINESS MODEIS 191 1.2 DEDUCTING THE OPTIMAL
ACPM BUSINESS MODEL 192 2 DATA SAMPLE 195 3 METHODOLOGY TO OBTAIN AND
ANALYZE EMPIRICAL INFORMATION 199 3.1 FORM OF DATA COLLECTION 199 3.2
STRUCTURE AND CONTENT OF QUESTIONNAIRE 201 3.2.1 STRUCTURE OF
QUESTIONNAIRE 201 3.2.2 CONTENT OF QUESTIONNAIRE 202 3.3 ANALYSIS OF
EMPIRICAL INFORMATION 204 4 EMPIRICAL EVIDENCE ON CPM BUSINESS MODEIS
207 4.1 CPM BUSINESS MODEIS IDENTIFIED IN EMPIRICAL SAMPLE 207 4.1.1
MANDATE AND ASSET OWNERSHIP 207 4. 4. 4. 4.1.2 4. 4. .1.1 RISK
CONTROLLERS 207 .1.2 ACTIVE ADVISORS 208 .1.3 PROPRIETARY INVESTORS 209
REPORTING STRUCTURE 209 .2.1 LOCATION WITHIN ORGANIZATIONAL HIERARCHY
209 .2. TABLE OF CONTENTS 4.1.3 DISTRIBUTION OF CPM BUSINESS MODEIS
AMONGST PARTICIPANTS 211 4.1.3.1 RISK CONTROLLERS 211 4.1.3.2 ACTIVE
ADVISORS 2 11 4.1.3.3 PROPRIETARY INVESTORS 211 4.1.3.4 SPLIT OF
BUSINESS MODEIS IN PRIVATE-VS. PUBLIC-SIDE LOCATION 212 4.1.4 COMPARISON
TO GENERIC ACPM BUSINESS MODEIS 214 4.2 ASSET FOCUS OF CPM BUSINESS
MODEIS 216 4.3 CPM OBJECTIVES, DEGREES OF IMPLEMENTATION AND MAIN
IMPLEMENTATION BARRIERS 218 4.3.1 CHARACTERISTIC OBJECTIVES OF CPM
BUSINESS MODEIS AND DEGREES OF IMPLEMENTATION 218 4.3.1.1 RISK
CONTROLLERS 219 4.3.1.2 ACTIVE ADVISORS 220 4.3.1.3 PROPRIETARY
INVESTORS 222 4.3.2 MAIN IMPLEMENTATION BARRIERS 22 3 4.3.2.1 RISK
CONTROLLERS 223 4.3.2.2 ACTIVE ADVISORS 22 4 4.3.2.3 PROPRIETARY
INVESTORS 224 4.4 FUNCTIONAL COMPETENCIES OF CPM BUSINESS MODEIS 230
4.4.1 CREDIT POLICY SETTING 231 4.4.2 LOAN ORIGINATION AND UNDERWRITING
231 4.4.3 CREDIT PORTFOLIO CONTROLLING AND MANAGE NIE NT 234 4.4.3.1
CREDIT PORTFOLIO CONTROLLING 234 4.4.3.2 PORTFOLIO MANAGEMENT STYLES 236
4.4.4 SECONDARY CREDIT MARKET TRANSACTIONS 236 4.4.4.1 COMPETENCE OF CPM
BUSINESS MODEIS 236 4.4.4.2 MOTIVES FOR SECONDARY CREDIT MARKET
TRANSACTIONS 239 4.4.4.3 SECONDARY CREDIT MARKET INSTRUMENTS USED 240
4.4.4. TABLE OF CONTENTS 4.5 VALUE CREATION POTENTIAL OF CPM BUSINESS
MODEIS 259 4.5.1 VALUE CREATION DIMENSIONS IDENTIFIED IN EMPIRICAL
SAMPLE 259 4.5.1.1 IMPROVEMENT OF PRIMARY MARKET CREDIT BUSINESS 261
4.5.1.2 RISK DISTRIBUTION 262 4.5.1.3 REINVESTMENTS IN CREDIT ASSETS 263
4.5.1.4 REPACKAGING AND PLACEMENTS OF CREDIT RISKS 264 4.5.2
VALUE-MAXIMIZING CPM BUSINESS MODEL 265 4.6 SUMMARY: EMPIRICAL EVIDENCE
ON CPM BUSINESS MODEIS AND COMPARISON TO PREVIOUS EMPIRICAL RESEARCH 269
4.6.1 SUMMARY OF EMPIRICAL FINDINGS ON CPM BUSINESS MODEIS 269 4.6.1.1
RISK CONTROLLERS 270 4.6.1.2 ACTIVE ADVISORS 270 4.6.1.3 PROPRIETARY
INVESTORS 271 4.6.2 COMPARISON TO PREVIOUS EMPIRICAL RESEARCH ON CPM 272
4.6.2.1 ASSET FOCUS AND TYPES OF CPM UNITS 272 4.6.2.2 OBJECTIVES OF CPM
UNITS 273 4.6.2.3 INSTRUMENTS APPLIED TO MANAGE CREDIT PORTFOLIOS 274 5
OPTIMAL ACPM BUSINESS MODEL 277 5.1 RELATION BETWEEN SPECIFICATIONS OF
INTERNAL DETERMINANTS AND ESTABLISHED CPM BUSINESS MODEIS 279 5.1.1
ECONOMIC PERFORMANCE OF INSTITUTION 279 5.1.1.1 RELATION BETWEEN
INSTITUTIONS PERFORMANCE INDICATORS AND CPM OBJECTIVES 279 5.1.1.2
BUSINESS MODEL PROMISING HIGHEST IMPLEMENTATION SUCCESS FOR CPM
OBJECTIVES 284 5.1.2 INITIATOR FOR SETTING UP AN ACPM UNIT 287 5.1.3
GOVERNANCE PRINCIPLES OF INSTITUTION 292 5.1.3.1 BUSINESS STRATEGY 292
5.1.3.2 INCENTIVE STRUCTURE 298 5.2 RELATION BETWEEN SPECIFICATIONS OF
EXTERNAL DETERMINANTS AND ESTABLISHE TABLE OF CONTENTS PART IV: SUMMARY,
CRITICAL EVALUATION, AND FURTHER RESEARCH REQUIREMENTS 325 1 SUMMARY OF
DISCUSSED TOPICS AND KEY RESULTS 325 1.1 PART II 325 1.2 PART III 328 2
CRITICAL EVALUATION OF APPROACH AND FURTHER RESEARCH REQUIREMENTS 335
2.1 CRITICAL EVALUATION OF APPROACH 335 2.2 FURTHER RESEARCH
REQUIREMENTS 337 2.2.1 TRADABILITY OF CREDIT RISKS 337 2.2.2 APPLICATION
OF SECONDARY CREDIT MARKET INSTRUMENTS 339 2.2.3 REGULATORY REQUIREMENTS
340 2.2.4 ACPM APPROACH 341 APPENDIX 345 1 APPENDIX A: ADDITIONAL
FIGURES 345 2 APPENDIX B: QUESTIONNAIRE APPLIED IN EMPIRICAL STUDY ON
ACPM 359 GLOSSARY 395 XIV
|
| any_adam_object | 1 |
| author | Dürr, Jochen 1977- |
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| author_facet | Dürr, Jochen 1977- |
| author_role | aut |
| author_sort | Dürr, Jochen 1977- |
| author_variant | j d jd |
| building | Verbundindex |
| bvnumber | BV035643379 |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)315655228 (DE-599)DNB986037230 |
| dewey-full | 332.7 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.7 |
| dewey-search | 332.7 |
| dewey-sort | 3332.7 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Aufl. |
| format | Thesis Book |
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| genre_facet | Hochschulschrift |
| id | DE-604.BV035643379 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:42:17Z |
| institution | BVB |
| isbn | 9783631569351 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017698126 |
| oclc_num | 315655228 |
| open_access_boolean | |
| owner | DE-12 DE-703 |
| owner_facet | DE-12 DE-703 |
| physical | XXIV, 429 S. graph. Darst. 21 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Lang |
| record_format | marc |
| series | European University Studies |
| series2 | European University Studies : Series V, Economics and Management |
| spelling | Dürr, Jochen 1977- Verfasser (DE-588)132855240 aut Active credit portfolio management - bringing the capital market perspective into bank lending a practitioner's view Jochen Dürr 1. Aufl. Frankfurt, M. ; Berlin ; Bern ; Bruxelles ; New York, NY ; Oxford ; Wien Lang 2007 XXIV, 429 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier European University Studies : Series V, Economics and Management Vol. 3276 Zugl.: Rostock, Univ., Diss., 2007 Kredit (DE-588)4032923-9 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Bank (DE-588)4004436-1 s Kredit (DE-588)4032923-9 s Portfoliomanagement (DE-588)4115601-8 s DE-604 European University Studies Series V, Economics and Management ; Vol. 3276 (DE-604)BV000001798 3276 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017698126&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Dürr, Jochen 1977- Active credit portfolio management - bringing the capital market perspective into bank lending a practitioner's view European University Studies Kredit (DE-588)4032923-9 gnd Portfoliomanagement (DE-588)4115601-8 gnd Bank (DE-588)4004436-1 gnd |
| subject_GND | (DE-588)4032923-9 (DE-588)4115601-8 (DE-588)4004436-1 (DE-588)4113937-9 |
| title | Active credit portfolio management - bringing the capital market perspective into bank lending a practitioner's view |
| title_auth | Active credit portfolio management - bringing the capital market perspective into bank lending a practitioner's view |
| title_exact_search | Active credit portfolio management - bringing the capital market perspective into bank lending a practitioner's view |
| title_full | Active credit portfolio management - bringing the capital market perspective into bank lending a practitioner's view Jochen Dürr |
| title_fullStr | Active credit portfolio management - bringing the capital market perspective into bank lending a practitioner's view Jochen Dürr |
| title_full_unstemmed | Active credit portfolio management - bringing the capital market perspective into bank lending a practitioner's view Jochen Dürr |
| title_short | Active credit portfolio management - bringing the capital market perspective into bank lending |
| title_sort | active credit portfolio management bringing the capital market perspective into bank lending a practitioner s view |
| title_sub | a practitioner's view |
| topic | Kredit (DE-588)4032923-9 gnd Portfoliomanagement (DE-588)4115601-8 gnd Bank (DE-588)4004436-1 gnd |
| topic_facet | Kredit Portfoliomanagement Bank Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017698126&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000001798 |
| work_keys_str_mv | AT durrjochen activecreditportfoliomanagementbringingthecapitalmarketperspectiveintobanklendingapractitionersview |