Publication details

Zukunftsgerichtete Simulation variabel verzinslicher Passivprodukte in der normativen Perspektive des ICAAP: Eine empirische Erweiterung der Szenariobetrachtung

Title in English Forward-looking simulation of variable-rate liability products in the normative perspective of the ICAAP: An empirical extension of the scenario approach
Authors

SVOBODA Martin SEEL Gennadij

Year of publication 2023
Type Chapter of a book
MU Faculty or unit

Faculty of Law

Citation
Attached files
Description Within the normative perspective of risk-bearing capacity, variable-interest business must also be taken into account as part of capital planning. In practice, variable-interest transactions are calculated on the basis of moving averages, from which the mix ratios are also derived. According to regulatory requirements, the economic indicators must be taken into account accordingly when determining mix ratios. These also play an important role in deriving the adverse scenario within the normative perspective of the ICAAP. Future-oriented planning of the variable-interest business, taking economic factors into account, requires a number of time series models that take macroeconomic and market-specific determinants into account and can be implemented in a standardized and innovative simulation tool.

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