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Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound relative to the integrated capital level. The magnitude of the difference depends on the structure of the balance sheet and on the repricing characteristics of assets and liabilities.

Philipp Trannacher, Klagenfurt, Alpen-Adria-Univ., Dipl.-Arb., 2009

This paper studies the impact of market timing on Canadian firms' capital structure and makes a comparison with U.S. firms. There is no evidence that market timing affects Canadian firms' capital structure in the same manner as it affects their U.S. counterparts. The effect of past equity issues on Canadian firms' capital structure is transitory. Canadian firms adjust at a faster rate toward the leverage target than U.S. firms. These results challenge the generality of the market-timing theory of capital structure., L'auteure examine si la théorie selon laquelle les entreprises optent pour le financement par actions lorsque les conditions sont favorables sur le marché aide à expliquer la structure du capital des firmes canadiennes. À l'issue d'une comparaison entre le Canada et les États-Unis, elle constate que rien ne démontre qu'un tel comportement influe de la même manière dans les deux pays : l'incidence des émissions passées d'actions sur la structure du capital des firmes canadiennes est temporaire. Ces dernières retournent en effet plus rapidement à leur niveau cible d'endettement que leurs consoeurs américaines. Ces résultats remettent en question la validité générale de la théorie examinée.

We apply control rights theory to explain the structure and determinants of financial covenants in private equity backed leveraged buyouts. We analyze 130 German transactions from 2000 to 2008, covering about 40 percent of the LBO market during this period. We consider Germany to be a superior institutional context as creditors have substantial rights in case of borrower default and contracts are negotiated more rigorously. Regarding structure we find that the financial covenant structure, in terms of number and types, is standardized and appears to be much more conservative than in the United States. Additionally, our results suggest that financial covenants are designed in a hierarchical manner, with the Debt to EBITDA covenant being the first to breach in early years. Regarding determinants we are the first, to our knowledge, to apply a direct measure of financial covenant restrictiveness, which is the real negotiated item between lead arrangers and sponsors. Our results show that financial covenant restrictiveness is significantly negatively related to the size of the private equity group, which serves as a proxy for reputation. Further we show that target-related factors, like growth and profitability, have a strong impact on financial covenant restrictiveness. With regard to transaction-based factors, increasing financial risk leads to more restrictive financial covenants.

In der Arbeit wird die Eigenkapitalausstattung von Kreditgenossenschaften thematisiert. Hintergrund dafür ist, dass sich die Eigenkapitalschwäche von Genossenschaftsbanken zukünftig durch die Internationalisierung der Rechnungslegung und der Bankenregulierung weiter verschärfen könnte. Dafür werden die bilanziellen Rahmenbedingungen sowohl nach nationalen als auch nach internationalen Anforderungen aufgearbeitet und kritisch gewürdigt. Insbesondere die jüngste Überarbeitung des Genossenschaftsgesetzes und die aktuellen Diskussionen um die Kapitalabgrenzung zwischen Eigen- und Fremdkapital fließen in die Betrachtung ein. Weiterhin werden die praktischen Auswirkungen der Regelungen auf das kreditgenossenschaftliche Eigenkapital anhand empirischer Untersuchungen beleuchtet und interpretiert. Darauf aufbauend werden alternative Vorschläge zur Kapitalerhaltung und Steuerungsmöglichkeiten für das kreditgenossenschaftliche Eigenkapital erörtert. Sie sollen die managementseitigen Beeinflussungs- und Optimierungsmöglichkeiten aufzeigen.

This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of global factors, we show that this result cannot be explained away by recent world-wide trends. A more refined analysis based on an industry breakdown suggests that the increase in national index comovements is mainly driven by financial, industrials and consumer services sectors.

Millions of Americans have negative housing equity, meaning that the outstanding balance on their mortgage exceeds their home's current market value. Our data show that the overwhelming majority of these households will not lose their homes. Our finding is consistent with historical evidence: we examine more than 100,000 homeowners in Massachusetts who had negative equity during the early 1990s and find that fewer than 10 percent of these owners eventually lost their home to foreclosure. This result is also, contrary to popular belief, completely consistent with economic theory, which predicts that from the borrower's perspective, negative equity is a necessary but not a sufficient condition for foreclosure. Our findings imply that lenders and policymakers face a serious information problem in trying to help borrowers with negative equity, because it is difficult to determine which borrowers actually require help in order to prevent the loss of their homes to foreclosure.

This paper calculates an implied cost of equity for 19 developed countries from 1991 to 2006. During this period, there has been a decline in the cost of equity of about 10-15 bps per year, which can be partially attributed to declining government yields and declining inflation. Analyst forecast inaccuracy, a proxy for firm-level earnings opacity, is positively related to the cost of equity. If this variable captures differences in disclosure across firms, then improvements in disclosure regulation may benefit firms by lowering their cost of equity. I also include countrylevel variables that measure disclosure requirements, director liability, and the ability for shareholders to sue directors. Higher levels of these measures are associated with a lower cost of equity. Previous studies [e.g., Hail and Leuz (2006a)] have found a similar relation, but my study is unique in that it uses a different measure of investor protection, which may better reflect regulatory differences across countries, and it shows this relation holds for developed countries. After controlling for the characteristics of firms that analysts choose to cover in each country, differences in the properties of analyst forecasts across countries, and differences in accounting standards across countries, Canada’s cost of equity is statistically different from a handful of countries and is about 20 to 40 bps higher than that of the United States. Lowering Canadian firms' cost of equity by this amount would have large economic benefits given the size of Canada's capital markets., L'auteur calcule le coût implicite des capitaux propres dans 19 pays développés de 1991 à 2006. Durant cette période, le coût des capitaux propres a diminué d'environ 10 à 15 points de base par année, en partie sous l'effet de la baisse des rendements sur les obligations d'État et du recul de l'inflation. Les erreurs de prévision des analystes, une variable d'approximation à l'égard de l'opacité entourant les profits des sociétés, sont en relation positive avec le coût des capitaux propres. Si cette variable rend bien compte des disparités dans la communication de l'information financière des firmes, il serait alors possible que l'amélioration de la réglementation en la matière bénéficie aux entreprises en induisant une réduction du coût des capitaux propres. L'auteur intègre en outre des variables nationales afin de quantifier les exigences relatives à la communication financière, la responsabilité des conseils d'administration et la latitude des actionnaires à poursuivre ces derniers. Le coût des capitaux propres est relativement bas lorsque ces variables sont élevées. Des études antérieures (p. ex., Hail et Leuz, 2006a) avaient établi un lien analogue, mais l'étude de l'auteur se distingue à double titre : elle exploite une mesure différente de la protection des investisseurs, laquelle révèle peut-être mieux l'écart entre les réglementations nationales, et elle montre que ce lien vaut pour les pays développés. Une fois que sont prises en compte les caractéristiques des sociétés que les analystes choisissent de traiter dans chaque pays, ainsi que les différences entre les propriétés des prévisions formulées d'un pays à l'autre et entre les normes comptables nationales, il apparaît que le coût des capitaux propres au Canada diffère statistiquement de celui de certains pays et dépasse de quelque 20 à 40 points de base celui que supportent les entreprises américaines. Diminuer dans cet ordre de grandeur le coût des capitaux propres des firmes canadiennes apporterait des avantages économiques importants vu la taille des marchés financiers au Canada.

This paper extends the literature on bank capital structure by modeling capital structure as a function of important public policy and bank regulatory characteristics of the home country, as well as of bank-specific variables, country-level macroeconomic conditions, and country-level financial characteristics. The model is estimated with annual data from 1992 to 2005 for an unbalanced panel of the seventy-eight largest private banks in the world headquartered in twelve industrial countries. The results indicate that bank capital ratios are significantly affected in the hypothesized directions by most of the bank-specific variables. Several of the country characteristic and policy variables are also significant with the predicted sign: Banks maintain higher capital ratios in home countries in which the bank sector is relatively smaller and in countries that practice prompt corrective actions more actively, have more stringent capital requirements, and have more effective corporate governance structures.

Der internationale Finanzmarkt leidet derzeit unter den tiefgreifendsten Störungen seit der Weltwirtschaftskrise 1929. Wo liegen die Ursachen für die Krise? Wurden die Chancen für eine frühzeitige Eindämmung verpasst? Sind die verbreiteten Diagnoseansätze und die ergriffenen Maßnahmen zielführend? Wie ist das Finanzmarktstabilisierungsgesetz vor diesem Hintergrund zu beurteilen?

"The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz portfolio optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretically established) expected equilibrium returns which accounts for subjective investors’ views as well. In contrast to historical estimated returns, which lead to extreme asset weights within the Markowitz optimization, the Black-Litterman model generally results in balanced portfolio weights. However, the existence of investors’ views is crucial for the Black- Litterman model and with absent views no active portfolio management is possible. Moreover, problems with the implementation of the model arise, as analysts’ forecasts are typically not available in the way they are needed for the Black-Litterman-approach. In this context we present how analysts’ dividend forecasts can be used to determine an a-priori-estimation of the expected returns and how they can be integrated into the Black-Litterman model. For this purpose, confidences of the investors’ views are determined from the number of analysts’ forecasts as well as from a Monte-Carlo simulation. After introducing our two methods of view generation, we examine the effects of the Black-Litterman approach on portfolio weights in an empirical study. Finally, the perfor-mance of the Black-Litterman model is compared to alternative portfolio allocation strategies in an out-of-sample study." (author's abstract)

von Johannes Kraus Graz, Univ., Masterarb., 2008

Die Finanzierung mit Bankkrediten spielt für KMU in Deutschland und vielen anderen europäischen Ländern eine große Rolle (Europäische Kommission 2005). Dies gilt in besonderem Maße für kleinere Unternehmen, da für sie die mittlerweile entwickelten Fremdkapitalalternativen nicht infrage kommen (vgl. KfW 2005, 30). Etablierte KMU mit einer zumindest ausreichend gesicherten Bonität konnten bis in die jüngste Vergangenheit in der Regel auf ein umfassendes Kreditangebot mit relativ günstigen Kreditkonditionen zurückgreifen. Ursächlich hierfür waren der hohe Wettbewerb zwischen Banken und Sparkassen, die Identifikation der Kreditvergabe als „Ankerprodukt“ für den Aufbau einer dauerhaften Kundenverbindung (vgl. Singer 2006, 244) sowie Wettbewerbsverzerrungen durch öffentlich-rechtliche Kreditinstitute, die Refinanzierungskostenvorteile dazu nutzten, als Preissetzer am Kreditmarkt zu fungieren (vgl. Schöning 2003, 132).

This paper studies capital structure adjustment mechanisms of firms that experience substantial changes in leverage. Adjustments appear to be asymmetric among firms with large increases and those with large decreases in debt ratios. The different adjustments are not due to differences in leverage targets or industry distributions between the samples. Speeds of adjustment are found to be affected by market timing opportunities. The persistence of equity market timing opportunities slows some firms' rebalancing process., L'auteure examine les mécanismes d'ajustement de la structure du capital des entreprises qui subissent d'importantes modifications du levier financier. Ces entreprises s'ajustent à des rythmes différents selon que leur ratio d'endettement augmente ou diminue beaucoup. Cette asymétrie du rythme d'ajustement ne résulte pas de la présence d'écarts entre les ratios cibles d'endettement ni de différences dans la composition sectorielle des échantillons. La vitesse de l'ajustement apparaît plutôt influencée par les possibilités avantageuses de financement sur les marchés boursiers. Dans certaines entreprises, la persistance de ces possibilités ralentit le rééquilibrage.

"Die Institutionen nationaler Arbeits- und Kapitalmärkte werden in der sozialwissenschaftlichen Forschung regelmäßig als Erklärung für unterschiedlich aktive Wagniskapitalindustrien vor allem in frühen Beteiligungsphasen gehandelt. Diese Arbeit nimmt eine Reihe von bivariaten Analysen aus einer vergleichenden europäischen Perspektive vor, um die Rechtfertigung dieser Annahmen zu überprüfen. Sie kommt zu dem Ergebnis, dass zum einen ein Unterschied zwischen Arbeits- und Kapitalmarktstrukturen und den relevanten Größen, die durch diese Strukturen bedingt werden, gemacht werden muss. So muss zwischen der Stellung eines Kapitalmarktes im Sinne seiner relativen Marktkapitalisierung und der tatsächlichen Nutzung des Kapitalmarktes durch eine nationale Beteiligungsindustrie unterschieden werden, will man sicher gehen, dass die vorhandene Struktur auch tatsächlich den angenommenen Effekt auf relevante Akteure hat. Zum anderen wird gezeigt, dass die empirischen Zusammenhänge zwischen den Struktur- und Effektvariablen und der Frühphasenaktivität der nationalen Wagniskapitalgeber einer genaueren Überprüfung nicht standhalten. Die Arbeit kommt so zu dem Schluss, dass die allgemeinen Institutionen der Arbeits- und Kapitalmärkte ein schlechter Ansatzpunkt für Politikstrategien wären, deren Ziel eine Steigerung der Frühphaseninvestitionen ist." [Autorenreferat] "National labor and capital market institutions are seen in the social scientific literature as important determinants of comparative differences in the venture capital industry, particularly in its early stages. In this paper this hypothesis is tested through performing a number of bivariate analyses on data on European countries. The result of these analyses is that, firstly, one needs to differentiate between the structure of labor and capital markets and the effects of these structures, both of which are partly interdependent. In order to make reliable statements about the investment activity of venture capital industries, a distinction needs to be made for example between the relative market capitalization of a national stock market (structure) and its actual use by venture capitalists as an exit channel (effect). Secondly, it is shown that, under close examination, a causal relationship between structural variables, assumed effects and early stage activity cannot be found. In conclusion, global reformation of labor and capital market institutions is a poor policy strategy for increasing the amount of early stage investment in national economies." [author's abstract]

Mutual insurance companies and stock insurance companies are different forms of organized risk sharing: policyholders and owners are two distinct groups in a stock insurer, while they are one and the same in a mutual. This distinction is relevant to raising capital, selling policies, and sharing risk in the presence of financial distress. Up-front capital is necessary for a stock insurer to offer insurance at a fair premium, but not for a mutual. In the presence of an ownermanager conflict, holding capital is costly. Free-rider and commitment problems limit the degree of capitalization that a stock insurer can obtain. The mutual form, by tying sales of policies to the provision of capital, can overcome these problems at the potential cost of less diversified owners. JEL Classification: G22, G32

This paper documents the trends in the life-cycle profiles of net worth and housing equity between 1983 and 2004. The net worth of older households significantly increased during the housing boom of recent years. However, net worth grew by more than housing equity, in part because other assets also appreciated at the same time. Moreover, the younger elderly offset rising house prices by increasing their housing debt, and used some of the proceeds to invest in other assets. We also consider how much of their housing equity older households can actually tap, using reverse mortgages. This fraction is lower at younger ages, such that young retirees can consume less than half of their housing equity. These results imply that ‘consumable’ net worth is smaller than standard calculations of net worth. JEL Classification: G11, E21

This paper estimates the implied cost of equity for Canadian and U.S. firms using a methodology based on the dividend discount model and utilizing firms' current stock price and analysts' forecasted earnings. We find that firm size and firm stock liquidity are negatively related to cost of equity, while greater firm financial leverage and greater dispersion in analysts' earnings forecasts are associated with a higher cost of equity. Moreover, longer-term sovereign bond yields also seem to play a role in a firm's cost of equity. After controlling for several factors, both at a firm-level and at an aggregate level, we find that the cost of equity for Canadian firms is 30-50 bps higher than that of U.S. firms during 1988-2006. Because our estimates may not fully account for factors such as currency risk, inflation uncertainty, degree of market integration, personal taxes, and differences in regulatory environments, we might shed further light on these results by incorporating proxies for these factors and perhaps extending our comparison to more countries., En faisant appel à une méthodologie basée sur le modèle d'actualisation des dividendes et en exploitant des données relatives au prix actuel des actions et aux bénéfices anticipés par les analystes, les auteurs estiment le coût implicite des capitaux propres des firmes canadiennes et américaines. Ils constatent que la taille des sociétés et la liquidité des actions varient en sens inverse du coût des capitaux propres, alors que l'ampleur de l'endettement des entreprises et de la dispersion des prévisions de profits émanant des analystes est en relation positive avec des coûts élevés. Il semble, en outre, que les rendements des obligations d'État à long terme aient une incidence au chapitre du coût des fonds propres. Après avoir pris en compte plusieurs facteurs à l'échelle des entreprises individuelles aussi bien qu'au niveau agrégé, les auteurs concluent que le coût des capitaux propres des firmes canadiennes dépasse de 30 à 50 points de base celui supporté par les entreprises américaines entre 1988 et 2006. Comme l'étude peut ne pas tenir pleinement compte de facteurs tels que le risque de change, l'incertitude liée à l'inflation, le degré d'intégration des marchés, l'impôt des particuliers et les différences entre les cadres réglementaires, il pourrait s'avérer utile d'incorporer des variables d'approximation à l'égard de ces facteurs et, peut-être, d'étendre la comparaison à d'autres pays.

We document the cyclical behavior of debt, equity, and retained earnings for different firm categories using firm-level Canadian data. There is evidence of both procyclical equity and debt issuance for all firm categories but the timing differs. In particular, there is strong evidence that equity issuance increases in anticipation of an expansion. During this phase, some substitution between debt and equity takes place. After the expansion has reached its peak, equity issuance starts to decrease and during this phase there is strong evidence of procyclical debt issuance and some substitution out of equity seems to take place. Retained earnings is procyclical except for small firms., Au moyen de données recueillies à l'échelon de l'entreprise puis regroupées par taille d'entreprise, les auteurs étudient le comportement cyclique des émissions d'obligations et d'actions et des bénéfices non répartis des sociétés canadiennes. L'analyse de ces données indique que les émissions d'obligations et d'actions présentent un caractère procyclique peu importe la catégorie de taille examinée, mais qu'elles s'échelonnent différemment dans le temps. Elle révèle en particulier que le volume des actions émises augmente à l'approche d'une phase d'expansion, aux dépens de l'émission d'obligations. Passé le pic du cycle d'expansion, l'émission d'actions diminue et semble céder graduellement la place à l'émission d'obligations, dont le caractère procyclique se manifeste alors. Les bénéfices non répartis affichent un comportement procyclique, sauf dans le cas des petites entreprises.

We analyze the dynamics of banks' regulatory capital ratios. Using monthly data of regulatory capital ratios for a subset of large German banks, we estimate the target level and the adjustment speed of the capital ratio for each bank separately. We find evidence that, first, there exists a target level for a substantial percentage of banks; second, that private banks and banks with liquid assets are more likely to adjust their capital ratio tightly; and third, that banks compensate for low target capital ratios with low asset volatilities and high adjustment speeds. Fourth, banks with a target capital ratio seem to use an internal lower limit for their current ratios that is just above the regulatory minimum of 8%.

Klagenfurt, Alpen-Adria-Univ., Dipl.-Arb., 2007

Die Finanzierung der Unternehmen ist in Österreich auf ein sogenanntes "bank-based financial system" aufgebaut. Im internationalen Finanzwesen wird mit diesem Begriff ein Banken- und Finanzsystem eines Landes verstanden, in dem der Finanzierungsbedarf von Unternehmen und Privaten im jeweiligen Land überwiegend mit Hilfe der Kreditfinanzierung über Geschäftsbanken befriedigt wird. Die Situation der KMU kann insgesamt als sehr schlecht beurteilt werden. Die durchschnittliche österreichische Eigenkapitalquote von KMU liegt im Vergleich zu anderen europäischen Ländern an letzter Stelle. Belgische KMU können beispielsweise eine doppelt so hohe Eigenkapitalquote ausweisen. Aufgrund der jahrelangen Praxis der Unternehmensfinanzierung mittels Bankkrediten hat sich in Österreich kein entsprechendes Gegengewicht an alternativen Finanzierungsformen entwickelt. Die Entwicklung eines Marktes für Eigenkapital oder eigenkapitalähnliche Finanzierungsformen steht noch am Anfang. Die intensive Verflechtung mit dem Geschäftsbankensystem und die nicht in ausreichendem Ausmaß zur Verfügung stehenden Finanzierungsalternativen erzeugen einen hohen Druck auf die österreichischen KMU. Durch die Implementierung von Basel II und die damit verbundenen risikoadäquaten Kreditkonditionen wird dieser Druck nochmals verstärkt. Um die Eigenkapitalquote zu stärken, stehen dem Unternehmen unterschiedliche Möglichkeiten zur Verfügung. Unter gewissen Voraussetzungen können auch mezzanine Finanzierungsformen (bspw. eine typische bzw. atypische stille Beteiligung, partiarische Darlehen, Genussrechte) eine Eigenkapitalfunktion annehmen. Genannte Finanzierungsformen zählen zu den mezzaninen Finanzierungsinstrumenten, die in ihrer Charakteristik zwischen dem Eigen- und Fremdkapital angesiedelt sind. In der Regel handelt es sich dabei um Kapital auf Basis schuldrechtlicher Rechtsbeziehungen, welches für das Unternehmen gegebenen Eigenkapitalfunktion haben kann. Gerade diese Finanzierungsart, die Eigenkapital zuführen kann ohne dabei typisches Eigenkapital zu sein, eröffnet für KMU interessante Möglichkeiten zur Erhöhung ihrer Eigenkapitalausstattung. Die Gestaltungsvarianten von mezzaninen Finanzierungsformen sind sehr vielseitig. Damit sind natürlich auch eine Vielzahl an Fragen hinsichtlich der Bilanzierung bzw. der steuerlichen Behandlung verbunden. Die vielfältigen Ausgestaltungen der mezzaninen Finanzierungsarten machen dieses Thema aus bilanzieller und steuerlicher Sicht so interessant. Da die Zuteilung zu Eigen- oder Fremdkapital in handelsrechtlicher oder aber steuerrechtlicher Beurteilung unterschiedlichen Kriterien folgt, ist zu prüfen, ob bei ein und demselben Finanzierungsinstrument handelsrechtlich Eigenkapital vorliegen kann, während aus steuerlicher Sicht von Fremdkapital ausgegangen werden muss. Die Analyse der mezzaninen Finanzierungsinstrumente soll noch um einen sehr aktuellen Aspekt erweitert werden. Seit 1.1.2005 ist das Eigenkapitalersatz-Gesetz (EKEG) in Kraft. Durch dieses wurde die mezzanine Stellung des Gesellschafterdarlehens erstmals gesetzlich verankert. Es ist zu prüfen, inwieweit mezzanine Finanzierungsformen vom EKEG betroffen sind. Auch in diesem Zusammenhang werden interessante und vor allem sehr aktuelle bilanzielle und steuerliche Fragestellungen erwartet. Die Arbeit setzt sich zum Ziel, jene Finanzierungsinstrumente aufzubereiten, die aufgrund ihrer mezzaninen Stellung das Potential besitzen, die Eigenkapitalquote von KMU (bilanziell) zu stärken. Alle vier Finanzierungsformen (Gesellschafterdarlehen, stille Gesellschaft, Genussrechte und partiarische Darlehen) sind auch für kleine Unternehmen umsetzbar und bieten zudem auch in steuerlicher Hinsicht interessante Gestaltungsmöglichkeiten., Marc Brabant, Klagenfurt, Alpen-Adria-Univ., Diss., 2006

This paper analyzes the importance of equity finance for the R&D activity of small and medium-sized enterprises. We use information on almost 6000 German SMEs from a company survey. Using the intensity of banking competition at the district level as instrument to control for endogeneity, we find that a higher equity ratio is conducive to more R&D for young but not for old companies. Equity may be a constraining factor for young companies which have to rely on the original equity investment of their owners since they have not yet accumulated retained earnings and can relay less on outside financing. The positive influence is found for R&D intensity but not for the decision whether to perform R&D. Equity financing is therefore especially important for the most innovative, young companies.

The objective of the present dissertation as above submitted to obtain a doctor´s degree is to ascertain how and where Accounting according to the German Commerical Code (HGB) differs from the IAS/IFRS and US-GAAP standards and to assess the extent of such discrepancies. In short: The main concern is to respond to the question what differences there are and what impact they have. Whereas literature deals with the the first part of the problem at full length, it gives only few information on the second issue. However, when analysing the differences existing among accounting systems, it is by no means sufficient to confine oneself to the differences prevailing in the various accounting requirements. To get an idea of the measure of the accounting dissimilarities in pratice, it is necessary to examine the companies´ accounting and reporting practices. Hence, the focus of the present dissertation is put on an empirical part. The theoretical part provides mainly the basis for hypothesising. A survey carried out on the measure of dissimilarities in the manner described has so far been hardly possible since the companies in a country basically apply and work according to the local accounting rules being in effect. These rules are subject to the cultural influences in that country. If accounting standards are to be compared, it therefore ssems reasonable to have a more global view and include other countries as well. This approach does often not only take into account specific accounting criteria, but also cultural circumstances that, having an unintentional effect on the accounting result, may result in a completely distorted picture. A survey may avoid these disadvantages using the Comparability Index, which was introduced by GRAY in 1980. Since that time, this index has been adopted by a number of authors. It draws on data made available in that a company records two figures for equity capital and profit that have been determined according to different accounting standards. The effect of the discrepancies among accounting standards can be measured by relating these figures to each other, with the result accounting for the discrepancy in terms of a percentage debit difference. To ensure a meaningful use and processing of all data available, the index needs to be varied.The second chapter following the introduction centres on the comparison of the accounting standards according to the German Commerical Code (HGB) with the IAS/IFRS and US-GAAP standards. Afterwards, it describes and compares the accounting regulations in terms of particular items, establishing their repercussions on both equity capital and profit. The third chapter targets at fitting the research method into the scientific context. At the beginnig the forth chapter attends to the possible ways of implementing the IAS/IFRS and US-GAAP standards in German accountancy. The findings of the second chapter then serve as the basis for hypothesising. Futhermore the forth chapter comprises the empirical study of German listed companies with a double profit and equity capital record. The purpose is to make study segmentations, carrying out partial studies on "Non-HGB-standards", IAS/IFRS and US-GAAP standards. In a "superordinate" step, the entire financing period is taken into consideration. It then incorporates the study of indiviual financial years allowing to make statements on the developments recognized over a specific period of time. Another issue of the forth chapter is to compare "large" to "small" companies as well as to have a look at particular different accounting cases. These segmentations are carried out separately for equity capital and profit. The fifthand final chapter of the present dissertation gives a summary of the most important findings and conclusions.

Based on a quarterly regulatory dataset for German banks from 1999 to 2004, this paper analyzes the effects of banks' regulatory capital on the transmission of monetary policy in a system of liquidity networks. The dynamic panel regression results provide evidence in favor of the bank capital channel theory. Banks holding less regulatory capital and less interbank liquidity react more restrictively to a monetary tightening than their peers.

The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for portfolios with increasing sector concentration. The sector composition is based on credit information from the German central credit register. Finding that business sector concentration can substantially increase economic capital, the theoretical part of the paper explores whether this risk can be measured by a tractable model that avoids Monte Carlo simulations. We analyze a simplified version of the analytic value-at-risk approximation developed by Pykhtin (2004), which only requires risk parameters on a sector level. Sensitivity analyses with various input parameters show that the analytic approximation formulae perform well in approximating economic capital for portfolios which are homogeneous on a sector level in terms of PD and exposure size. Furthermore, we explore the robustness of our results for portfolios which are heterogeneous in terms of these two characteristics. We find that low granularity ceteris paribus causes the analytic approximation formulae to underestimate economic capital, whereas heterogeneity in individual PDs causes overestimation. Indicative results imply that in typical credit portfolios, PD heterogeneity will at least compensate for the granularity effect. This suggests that the analytic approximations estimate economic capital reasonably well and/or err on the conservative side.

Im Risikomanagement von Banken findet das Value at Risk-Konzept verstärkt Anwendung. Baut die Solvenzpolitik einer Bank auf dem Value at Risk-Konzept auf, müssen Aktiv- und Passivgeschäft der Bank simultan betrachtet werden. In einem Entscheidungsmodell für eine Bank werden die notwendige Eigenkapitalbasis und damit die Kapitalstruktur abgeleitet. Ganz entscheidenden Einfluss hat der vom Bankmanagement bzw. von der Bankenaufsicht geforderte Solvenzgrad.

This paper identifies the entrepreneur's exposure to idiosyncratic risk as an important determinant of the capital structure of private companies. The exposure to idiosyncratic risk is approximated by the share of personal net worth invested in one company (SNWI). Exposure to idiosyncratic risk increases cost of equity capital since higher equity returns are required as compensation. This makes bank financing more attractive. We find that SNWI increases the demand for new bank loans whereas we cannot identify an effect on the supply. Equilibrium values of leverage increase significantly in SNWI but there is no effect on the equilibrium interest rate.

In der Arbeit werden sowohl traditionelle als auch innovative Möglichkeiten der langfristigen Finanzierung in Molkereigenossenschaften beschrieben und nach finanzwirtschaftlichen Kriterien beurteilt. Ihre derzeitige Bedeutung und die Probleme bei ihrer Anwendung werden näher erläutert. Anhand der Analyse veröffentlichter Jahresabschlüsse werden Unterschiede in der Kapitalausstattung zwischen milchverarbeitenden Genossenschaften und Kapitalgesellschaften erarbeitet. Anschließend wird durch Modellberechnungen überprüft, inwieweit die einzelnen Finanzierungsmöglichkeiten künftig dazu beitragen können, die Kapitalausstattung der Molkereigenossenschaften zu verbessern. Aus den Ergebnissen werden Empfehlungen zur Finanzierung der Molkereigenossenschaften abgeleitet. The thesis describes traditional as well as innovative long term funding methods of dairy cooperatives and evaluates them according to financial criteria. The current significance and problems using these methods are described in greater detail. Differences in capital equipment between dairy cooperatives and corporations are acquired through analysis of publicized annual statements of accounts. An accounting model shows how the individual funding method is able to contribute in the future to improve capital equipment in the dairy cooperative. The conclusions are employed to make recommendations to fund dairy cooperatives.

"Die Eigenkapitalunterlegungspflicht von Kreditgeschäften von Banken erfolgt mit der Einführung der im Juni 2004 verabschiedeten neuen Eigenkapitalrichtlinien (Basel II) maßgeblich auf Grundlage des durch den Kreditnehmer induzierten Verlustrisikos. Dies ermöglicht, die Eigenkapitalanforderung – im Unterschied zur aktuell gültigen und pauschalen Regelung - im Rahmen einer risiko- und ertragsorientierten Kreditgeschäftssteuerung zu nutzen. Fraglich ist in diesem Zusammenhang, wie durch die Unterlegungspflicht entstehende Eigenkapitalkosten im Kreditgeschäft von Banken sachgerechte Berücksichtigung werden können. Schon Körnert / Rossaro (2005) diskutieren den gesonderten Ausweis des Eigenkapitalbeitrags zum Zinsüberschuss und des Eigenkapitalmalus im Kreditgeschäft im Rahmen der Marktzinsmethode. Da das dort präsentierte Vorgehen nur unter recht restriktiven Annahmen sachgerecht ist, wird im vorliegenden Beitrag ein verallgemeinertes Vorgehen gewählt." (Autorenreferat) "According to the new capital adequacy framework (Basel II) finally adopted by the Basel Committee on Banking Supervision in June 2004 the eligible regulatory capital for credit risk amounts to the potential loss, that arises from the default risk of an individual borrower in a portfolio context. Thus, regulatory capital requirement for an individual credit may serve as a basis for a cost accounting system that takes into account equity capital and its contribution to net income profit of interest operations. In this article, we show, how the bank benefits from the existence of equity capital using a market interest rate approach. Our proceeding is related to the approach of Körnert/ Rossaro (2005), but discusses a more general case with less restrictive assumptions." (author's abstract)

"Im Rahmen des IRB-Basisansatzes sieht Basel II eine Risikominderung durch Kreditsicherheiten nur bezüglich einzelner Kredite vor. Da in der Bankpraxis durch die Sicherungszweckerklärung Kreditsicherheiten oftmals für mehrere Krediten abgestellt sind, ergibt sich ein Zuordnungsproblem, das eine Bank mit dem Ziel einer minimalen Eigenkapitalunterlegungspflicht optimieren kann. Bei der Zuordnungsoptimierung gilt es, die aufsichtsrechtlichen Vorschriften hinsichtlich Bürgschaften und Garantien unter Berücksichtigung einer „konservativen“ Kreditrisikomessung umzusetzen. Die Autoren zeigen, welche Berechnungsvorschriften sich daraus ergeben und stellen das sich somit folgende Optimierungsproblems exemplarisch dar." [Autorenreferat]

Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts in the calculation of the economic capital. Two of the approaches are based on the Poisson mixture model CreditRisk+ and derive a loss distribution for an integrated portfolio. The third method treats the portfolio of non-performing exposure separately. All three calculations are supplemented by formulae for contributions of the counterpart to the economic capital.

Im November letzten Jahres veranstaltete das Europäische Patentamt einen Workshop zu den Veränderungen, die sich aus der Einführung von Vorschlägen zur Neufassung der Baseler Eigenkapitalvereinbarung von 1988 ergeben, die darauf zielen, die Kapitalanforderungen an Banken stärker als bisher vom ökonomischen Risiko abhängig zu machen. Diese Neuregelung sieht bei der Bestimmung der Eigenkapitalquote eine Reihe von Ansätzen zur Messung des Kreditrisikos und des operationellen Risikos vor und eröffnet gleichzeitig die Möglichkeit der Einbeziehung weiterer, bisher nicht berücksichtigter Sicherheiten, zu denen auch Patente gehören können, sofern ihre wirtschaftliche Bedeutung belegt werden kann. Dies bietet technologieorientierten, kleineren Firmen Möglichkeiten, ihre Kreditbedingungen zu verbessern. In zwei hier dokumentierten Vorträgen stellen Guido von Scheffer und Dirk Loop, IP Bewertungs AG, Hamburg, und Dr. Holger Himmel und Sven Mussler, PricewaterhouseCoopers, Frankfurt am Main, verschiedene Alternativen der Patentbewertung zur Absicherung von Kreditrisiken vor.

"According to the new capital adequacy framework (Basel II) finally adopted by the Basel Committee in June 2004 the eligibility of collaterals, especially financial collaterals, is extended in comparison to the existing rules. However, financial assets are valued conservatively in the credit context which suggests a strong correlation between collaterals and credit default rates. This paper discusses the impact of the dependency of financial collaterals and default rates on credit risk. Therefore, a general calculation framework for the loss rate of collateralized loans is given and an analytical solution for the valuation of financial collaterals is presented. Finally, the model is applied on empirical data of German insolvencies and German capital markets." (author's abstract)

"In the last decade, portfolio credit risk measurement has improved significantly. The current state-of-the-art models analyze the value of the portfolio at a certain risk horizon, e.g. one year. Most popular has become the Merton-type one-factor model of Vasicek, that builds the fundament of the new capital adequacy framework (Basel II) finally adopted by the Basel Committee On Banking Supervision in June 2004. Due to this approach credit risk only arises from defaults, and the model provides an analytical solution for the risk measures Value at Risk and Expected Loss. One of the less examined questions in this field of research is, how the time to maturity of loans affects the portfolio credit risk. In practice there is common agreement that credit risk rises with the maturity of a loan, but only few solutions considering different maturities are discussed. We present two new approaches, how to cope with the problem of the maturity in the Vasicek-model. We focus on the influence of the maturity in the theoretical framework of Merton and show solutions from empirical data of four rating agencies. Our results are close to the parameters, that are used in the maturity adjustment of Basel II and may help to get a better understanding on economic capital allocation of long-term loans." (author's abstract)

Does the combination of inflation and high corporate taxes explain the increase in bank leverage in the 20th century? Inflation automatically increases bank debt, while high corporate taxes hinder capital accumulation. Capital ratios therefore drop, until leverage-induced returns are sufficient to uphold them at constant levels. This theory was confronted with Swedish bank data 1870-2001. Bank capital ratios dropped when inflation and corporate tax rates were high, during WWI and in 1940-1980. The theory can explain the sinking bank capital ratios during these periods, but also their relative stability since the early 1980s. High corporate taxes and inflation were estimated to account for half of the drop in Swedish bank capital ratios since WWII.