4.1 the starting point: Individual Decision Making and Risk Taking
WHO takes Risk??
4.1 The Risk taking decision
WHO decides???
4.1 The (unsolvable) Central agencies Problem
4.2 Management of Aggregated Risk Categories
The top-down Perspektive
4.2. Operational approach: how to handle different types of Risk
Hedging =schutz gegen Risiko
4.2
The differential Treatments of Risk categories from markets with different degrees of market perfection
What are there for categories??
this is where you make Profit
4.3 Management of Individual Risk taking I: Limit Systems
A comprehensive Limit System
4.3
Ex ante versus ex Post Perspektive of Limit Setting
What is ex post and ex ante
Ex post perspective:
The ex post approach looks at risk after decisions have already been made.
It tries to find the optimal portfolio by using past data, such as historical returns and correlations between assets.
Banks use models like Value at Risk (VaR) to measure how risky their positions are.
The main idea is that diversification reduces risk when assets are not perfectly correlated.
However, a weakness of this approach is that it ignores how decisions were made and how markets may react in the future.
Ex ante perspective:
The ex ante approach focuses on risk before decisions are made.
It asks how decision-making power should be allocated among different risk takers in a bank.
The goal is to prevent wrong decisions by setting limits and controls in advance.
It considers factors like who has better information, how quickly mistakes can be corrected, and whether individuals follow others (herding behavior).
This approach is more realistic but also more complex, and many of its problems are still not fully solved.
4.4 Management of Individual Risk Taking II: Minimum Prices and RAPMs
The Hundeleine rate and the cost of Capital
4.4 Hurdle rate and margin calculation
Calculation of the Minimum loan
4.4
“Cautious” pricing and market reaction: a simple Model with an integrated decision Perspektive I
A simple Model II: calculation the Minimum loan rate
A simple Model III: Modelling the Debitors decision
A simple Model IV: how prüfende Leeds to Desaster
A simple Model V: … and it gets even Worse
Hurdle rate and incentives: Some Final Remakes
Difference between economic Capital and Balance sheet Capital
Last changeda day ago
