Aufsätze Ökonomik

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Aufsätze Sozialethik


Prof. Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.

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Credit risk

In general, the risk of loss due to unfavorable changes in the creditworthiness of counterparties (customers, suppliers, brokers, insurers). – In the case of a bank, the risk that a counterparty will not be able to repay a loan granted plus interest when due (the risk that a loan will not be repaid). A distinction is often made between – credit default risk: the total or partial loss of the loan amount including interest payments, – liquidity risk: default on agreed interest payments and repayments by the customer, – creditworthiness risk: creditworthiness risk: the customer’s current and future solvency has not been accurately assessed), – collateralization risk: collateral provided to the bank is not sufficiently realizable, and – market risks: the potential losses resulting from deteriorations in the value of money or changes in the exchange rate in the case of foreign currency loans, as well as external shocks. – Banks try to use appropriate risk management to collateralize every loan – especially on the interbank money market – or to serve only counterparties (borrowers) with clear ratings. Regulators require banks to provide collateral for loans on an individual basis. – See default rate, expected, probability of default, Basel II, commitment fee, credit risk, industry concentration, loan-versus-paper, contingent loss, money market segments, credit, short-term, credit event, spread of terms, credit-risk premium, credit quality, lending principle, loan commitment, irrevocable, leveraged buyout risk, market discipline, microfinance, nonpurchase indemnity, collateral, rating, credit enhancement, probability of default, rating steps, risk, risk transparency, subprime crisis, TED spread, forward risk, underpinning, submarine effect, validation, securitization, inventory credit, backing. – Cf. Deutsche Bundesbank Monthly Report of December 2003, pp. 56 ff., ECB Monthly Report of January 2005, pp. 56 ff, Deutsche Bundesbank’s Monthly Report of June 2006, p. 35 ff. (methods of risk measurement), ECB’s Monthly Report of November 2006, p. 43 (rating changes and market reaction; with overviews), BaFin’s Annual Report 2003, p. 33 f. (on the regulatory side), BaFin’s Annual Report 2004, p. 97 ff. (implementation of corresponding rules in connection with Basel II: methods of calculating capital for credit risk) as well as the respective Annual Report of BaFin, Monthly Report of the Deutsche Bundesbank of December 2006, pp. 79 ff. (newly prescribed measurement methods, pp. 81 f.: credit risk mitigation techniques), Annual Report 2006 of BaFin, p. 58 (Basel Committee on Banking Supervision proposals on the regulatory assessment of credit risk), p. 114 (consideration of external credit assessments in the credit risk standardized approach), ECB Monthly Report of October 2007, pp. 36 ff. (reassessment of credit risks due to the distortions in connection with the subprime crisis; overviews), ECB Monthly Report of February 2008, pp. 73 et seq. (money market credit risk in individual segments), ECB Monthly Bulletin of December 2008, p. 76 (risk premiums in the face of the financial crisis; impact on potential growth), Financial Stability Report 2013, p. 63 (individual sectoral credit risks in stress tests).

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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
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