Optimal economic capital allocation in banking on the basis of decision rights:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Sternenfels
Verlag Wissenschaft & Praxis
2015
|
| Schriftenreihe: | Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim
52 |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | 213 Seiten Diagramme 21 cm, 305 g |
| ISBN: | 9783896737076 |
Internformat
MARC
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Datensatz im Suchindex
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7
CONTENTS
FIGURES 11
TABLES 15
ALGORITHMS 17
1 INTRODUCTION 19
1.1 PROBLEM AND RESEARCH QUESTION 19
1.2 ORGANIZATION OF THE RESEARCH 21
2 CORPORATE MANAGEMENT BY ECONOMIC CAPITAL
ALLOCATION 25
2.1 PROPERTIES OF ECONOMIC CAPITAL 25
2.2 REQUIRED ECONOMIC CAPITAL BY DOWNSIDE RISK MEASUREMENT 26
2.3 CORPORATE MANAGEMENT BY BANK-WIDE VAR LIMIT SYSTEMS 28
2.4 ECONOMIC CAPITAL ALLOCATION ON THE BASIS OF RISK ADJUSTED
PERFORMANCE MEASUREMENT 31
2.4.1 INTRODUCTION TO RISK ADJUSTED PERFORMANCE MEASURES 31
2.4.2 CONTROVERSIAL BENCHMARKING ON THE BASIS OF HURDLE RATES 32
2.4.3 IMPLICATIONS OF LIMIT ADDRESSEES IN THE FORM OF DECISION MAKERS
.33
2.5 ECONOMIC CAPITAL ALLOCATION AS A SITUATION OF DELEGATION BY DECISION
RIGHTS 34
2.5.1 IMPLICATIONS FOR THE RISK MANAGEMENT PROCESS 34
2.5.2 COSTS OF DELEGATION BY DECISION RIGHTS 36
3 IMPLICATIONS OF RELATED FIELDS OF RESEARCH 41
3.1 DIFFERENT SITUATIONS OF ECONOMIC CAPITAL ALLOCATION 41
3.2 RISK CONTRIBUTION - A FORM OF ECONOMIC CAPITAL ALLOCATION 42
3.2.1 RISK CONTRIBUTION SCHEMES 42
3.2.2 PARTICULAR APPROACHES FROM THE FIELD OF RISK CONTRIBUTION 44
3.3 AXIOMATIZATION OF ECONOMIC CAPITAL ALLOCATION 46
3.3.1 AXIOMATIZATION OF RISK MEASURES 46
HTTP://D-NB.INFO/1073260941
8
3.3.2 TRANSFER OF THE AXIOMATIZATION FRAMEWORK TO ECONOMIC CAPITAL
ALLOCATION 48
3.4 RISK ASSESSMENT OVER TIME BY DYNAMIC RISK MEASURES 50
3.5 ECONOMIC CAPITAL ALLOCATION AS A MEANS OF CORPORATE MANAGEMENT 53
3.6 PORTFOLIO OPTIMIZATION UNDER A DOWNSIDE RISK CONSTRAINT 60
3.6.1 APPROACHES ON THE BASIS OF TRADITIONAL METHODS OF
OPTIMIZATION.60
3.6.2 HEURISTIC METHODS OF OPTIMIZATION 62
3.6.2.1 CATEGORIZATION OF THE FIELD OF HEURISTIC OPTIMIZATION 62
3.6.2.2 APPROACHES ON THE BASIS OF HEURISTIC OPTIMIZATION METHODS 64
4 BASIC MODEL OF OPTIMAL ECONOMIC CAPITAL
ALLOCATION 69
4.1 QUALITATIVE DESCRIPTION OF THE MODEL 69
4.2 DETERMINATION OF THE UNDERLYING STOCHASTIC PROGRAM 71
4.3 VALUATION OF THE OBJECTIVE FUNCTION ON THE BASIS OF A TRADING
SIMULATION 74
4.3.1 SIMULATION OF THE STOCKS' RETURNS 74
4.3.2 SIMULATION OF THE BUSINESS UNITS' PROFITS AND LOSSES 76
4.3.3 SIMULATION OF THE HETEROGENEOUS PROSPECTS OF SUCCESS OF THE
BUSINESS UNITS 78
4.4 OUT-OF-SAMPLE BACKTESTING AND THE ROLE OF IMPORTANCE SAMPLING 80
5 HEURISTIC OPTIMIZATION OF RISK LIMIT SYSTEMS BY
THRESHOLD ACCEPTING 83
5.1 VISUAL PROOF OF NON-CONVEXITY BY AN EXEMPLARY MODEL CASE 83
5.2 BASIC ALGORITHM OF THRESHOLD ACCEPTING 87
5.3 DETERMINATION OF START SOLUTIONS 89
5.4 NEIGHBORHOOD FUNCTION 94
5.4.1 BASIC DESIGN OF THE NEIGHBORHOOD FUNCTION 94
5.4.2 GENERATION OF THE TRANSFER VALUE 96
5.4.3 MONITORING OF THE CONSTRAINTS' SATISFACTION 99
5.5 GENERATION OF THE THRESHOLD SEQUENCE 101
5.6 PARALLELIZATION OF THRESHOLD ACCEPTING 104
6 PARAMETERIZATION OF THRESHOLD ACCEPTING 107
9
6.1 CONCEPT OF SUCCESSIVE PARAMETERIZATION IN CONTEXT WITH THE PRESENT
MODEL 107
6.2 EFFECTIVE COMBINATIONS OF THRESHOLDS AND TRANSFER VALUES 108
6.2.1 SIMPLE PARAMETERIZATION BY VISUAL ANALYSIS 108
6.2.2 COMPREHENSIVE ANALYSIS ON THE BASIS OF DETAILED GRID
STRUCTURES 112
6.2.3 EXCURSUS ON THE IMPACT OF THE TRANSFER VALUE GENERATION ON THE
PARAMETERIZATION 115
6.3 EFFECTIVE COMBINATIONS OF RESTARTS AND STEPS 119
6.3.1 APPROPRIATE COVERAGE OF THE SOLUTION SPACE 119
6.3.2 PARTICULAR ASPECTS OF PARALLEL COMPUTING 121
6.4 CONCLUDING REMARKS ON THE PARAMETERIZATION FOR DIFFERENT MODEL
CASES 123
7 SUPERIORITY OF OPTIMAL ECONOMIC CAPITAL
ALLOCATION - THE INFORMED CENTRAL PLANNER 125
7.1 INTRODUCTION TO THE BENCHMARKING OF ALLOCATION METHODS IN CASE OF
AN INFORMED CENTRAL PLANNER 125
7.2 BENCHMARKING OF ALLOCATION METHODS IN CASE OF AN INFORMED CENTRAL
PLANNER 127
7.2.1 ALLOCATION METHODS' PERFORMANCES BEFORE THE BACKGROUND OF
AN ARBITRARY MODEL BANK 127
7.2.2 PRECISE BENCHMARKING ON THE BASIS OF PARTICULAR MODEL SETTINGS.
132
7.2.2.1 IMPLEMENTATION OF A LEVEL PLAYING FIELD 132
7.2.2.2 IMPACT OF RESTRICTIONS THROUGH MINIMUM LIMITS 135
7.2.2.3 RELEVANCE OF OPTIMAL ALLOCATION IN CASE OF LESS PRIVATELY
INFORMED TRADERS 138
7.2.2.4 INFLUENCE OF HIGHER DEGREES OF DIVERSIFICATION IN THE FORM OF
HIGHER NUMBERS OF BUSINESS UNITS 141
7.3 DISCUSSION OF THE SUPERIORITY OF OPTIMAL ECONOMIC CAPITAL
ALLOCATION 143
8 UNINFORMED CENTRAL PLANNER - INFORMATION ON THE
BASIS OF BAYESIAN LEARNING 147
8.1 INTRODUCTION TO THE CASE OF AN UNINFORMED CENTRAL PLANNER 147
8.2 DESCRIPTION OF THE BAYESIAN LEARNING ALGORITHM 148
10
8.3 BAYESIAN LEARNING CENTRAL PLANNER IN CASE OF INDEPENDENTLY ACTING
DECISION MAKERS 153
8.3.1 BENCHMARKING OF ALLOCATION METHODS USING PERFECT PRIOR
PROBABILITIES 153
8.3.2 BENCHMARKING UNDER ADJUSTED PRIOR PROBABILITIES FOR THE
ANTICIPATION OF RISK UNDERESTIMATION 160
8.4 INFLUENCE OF HERDING DECISION MAKERS ON OPTIMAL ECONOMIC CAPITAL
ALLOCATION 168
8.4.1 HERDING AND INFORMATIONAL CASCADES IN CASE OF ECONOMIC
CAPITAL ALLOCATION 168
8.4.2 MODELING OF HERDING TENDENCIES AMONG THE DECISION MAKERS 170
8.4.3 BENCHMARKING OF ALLOCATION METHODS UNDER HERDING DECISION
MAKERS 176
8.5 CONCLUSIONS ON OPTIMAL ALLOCATION BEFORE THE BACKGROUND OF AN
UNINFORMED CENTRAL PLANNER 187
9 CONCLUSIONS 191
9.1 SUMMARY OF RESULTS 191
9.2 CLOSING REMARKS ON THE MODEL ASSUMPTIONS AND SUGGESTED FUTURE
RESEARCH 194
APPENDIX 195
REFERENCES 207 |
| any_adam_object | 1 |
| author | Müller, Jan |
| author_facet | Müller, Jan |
| author_role | aut |
| author_sort | Müller, Jan |
| author_variant | j m jm |
| building | Verbundindex |
| bvnumber | BV043636152 |
| classification_rvk | QC 210 |
| ctrlnum | (OCoLC)913607978 (DE-599)DNB1073260941 |
| dewey-full | 332.10681 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.10681 |
| dewey-search | 332.10681 |
| dewey-sort | 3332.10681 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Müller, Jan Verfasser aut Optimal economic capital allocation in banking on the basis of decision rights Jan Müller Sternenfels Verlag Wissenschaft & Praxis 2015 213 Seiten Diagramme 21 cm, 305 g txt rdacontent n rdamedia nc rdacarrier Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim 52 Literaturangaben Dissertation Universität Hohenheim 2015 Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Risikomaß (DE-588)4716345-8 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Corporate Management Riskomanagement Bayes Geldverteilung (DE-588)4113937-9 Hochschulschrift gnd-content Bank (DE-588)4004436-1 s Risikomanagement (DE-588)4121590-4 s Portfoliomanagement (DE-588)4115601-8 s Risikomaß (DE-588)4716345-8 s Entscheidung bei Unsicherheit (DE-588)4070864-0 s DE-604 Verlag Wissenschaft & Praxis Dr. Brauner GmbH (DE-588)1065966458 pbl Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim 52 (DE-604)BV000900011 52 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=5301330&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029050080&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Müller, Jan Optimal economic capital allocation in banking on the basis of decision rights Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim Portfoliomanagement (DE-588)4115601-8 gnd Risikomaß (DE-588)4716345-8 gnd Bank (DE-588)4004436-1 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4716345-8 (DE-588)4004436-1 (DE-588)4070864-0 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | Optimal economic capital allocation in banking on the basis of decision rights |
| title_auth | Optimal economic capital allocation in banking on the basis of decision rights |
| title_exact_search | Optimal economic capital allocation in banking on the basis of decision rights |
| title_full | Optimal economic capital allocation in banking on the basis of decision rights Jan Müller |
| title_fullStr | Optimal economic capital allocation in banking on the basis of decision rights Jan Müller |
| title_full_unstemmed | Optimal economic capital allocation in banking on the basis of decision rights Jan Müller |
| title_short | Optimal economic capital allocation in banking on the basis of decision rights |
| title_sort | optimal economic capital allocation in banking on the basis of decision rights |
| topic | Portfoliomanagement (DE-588)4115601-8 gnd Risikomaß (DE-588)4716345-8 gnd Bank (DE-588)4004436-1 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Portfoliomanagement Risikomaß Bank Entscheidung bei Unsicherheit Risikomanagement Hochschulschrift |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=5301330&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029050080&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000900011 |
| work_keys_str_mv | AT mullerjan optimaleconomiccapitalallocationinbankingonthebasisofdecisionrights AT verlagwissenschaftpraxisdrbraunergmbh optimaleconomiccapitalallocationinbankingonthebasisofdecisionrights |