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