Zur Rolle einer optimierten Verteilung von Sicherheiten im internen Risikomanagement

The experiences from the recent financial crises show that the estimation and control of credit risks in banks are of significant managerial and economic importance. In this setting, the internal risk management as well as corresponding legal policies put an emphasis primarily on the prognosis of future credit defaults, whereas the role and impact of collaterals only play a minor role. Against this background the paper at hand analyzes the optimized distribution of collaterals within the internal risk management of banks at first. Furthermore, we develop a new flexible allocation algorithm that exceeds the existing approaches concerning the optimization without giving up the rule of a conservative appraisal of credit risk.