Westfälische WilhelmsUniversität Münster Institut für Kreditwesen Institut für Kreditwesen Direktor: Prof. Dr. Andreas Pfingsten Diskussionsbeitrag 02-04 Banks as Delegated Risk Managers Dipl.-Math. Hendrik Hakenes ISSN 0949-6610 März 2002 !"# $%& ' ( "&&" ) * + ,$ -. / 0* / * 1 #(2#3 $(%#(4 0* 56789 : (; 2 "<# 2 %4 ""%%<6""%%" =09 ! " " # $# ) ' > ,#;;% #(3". , .9 ! ? #(3< ' > ,#;;%. 9 " # # $ $ % ! / ,. ,. = ' , . 8 8 ' ' ? ' ! ,#;;(. @ 8 ' ' " %&'( %&')( "* %&&+( $ %&&,( --$# # ' 8 ' ! ,#;;;. 9 A @ B A @ ) @ ) 8 @ B @ ' ! ,#;;;. , . , . 7 - C ' ' > ,"&&#. D !$5 > ,"&&&. />' > ,#;;;. 7 ! - ' ! ,#;;;. E F E F ) ) @ A ' ) # A " " A 4 4 9 - C 9 ' ,. - , . , . ) ,> ". 5 , > 4. > ( > < 8 > 3 > G ! # ' ,/. H & I 9 J Ê H # J Ê 8 K A 8 A L C I B B B I , A . ) H # C I ) . * /0 1 * 2 3# $ 3 /0 1 # . % ( % ( 1* 1# $ -* 11* 40 1 * 1$ 5 5 % % ( (# 4 / A - @ I A I 8 ' ,-. A I B ) A Æ @ - ) B / - EF /A ? 9 # H # M I 9 J Ê I " I I, . H I , . ,#. " 1 * 4 1$ /0 -1 # 6 * $ -1 * Æ # . * 1 $ -1 $ 1 $# $7 1 # . 7 # " # %&&+ # 8898:(# ; 1- " $ 4# ; 4 $ < " 3 * * $ " $ - - 7*= 40 /# >; / " * 4?# ; * * 3 -1 3 * 7 -1 # * 1 -- 3 -1# ( J Ê ' I ,#. ? A I ,#. , : . 9 H ,". # 9 4 , H &. N I , . I, . H I , . ,#. = ,". ? / I ) - I ) ! # / 9 Ê /A A B - ,C. , C. /A 8 / - ! # ! " # !" # " H H . # # # .1 %&&(# 6 $* * * @ " "0 - * 40 -# A* $ - $ % ( % ( % ( % (# ; - $ B * - $ # C- "0 * * 7*= / 1 $ ¬Ø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Æ =OP H & - C /A ) Æ / -A , . , . H / - C 8 =O P - / =OP H & Æ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Ê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Æ ' = > 0 V @ / 5 0 $ V ,#;;#. ! 0) 5 M 0 ' 0 ,#;%(. 0 - 7 2 ' > 8 6" :" #3 N ( <G323&" @ ' 0 ,#;;;. $ - =9 ' ) M 8 % 4323G - $ ,"&&&. ' 8 "( #"(42#"<# V ,#;;3. - 79 ' Q 9 ; (% N 4 #G42"&G #% & ' ( 7 #9 > ! # , Q. H &9 / EF C / B - ) B - ) C /A A I - I / H #9 N EF C I , . I , . ) L ) I , . I , . #9 > =8 5 $ > 0 & ) * + * , + ./ , * , + ./ ' & ) * + * , + ʼ ./ , * , + Ê ¼ Í ./ Í ' ( ) * + ./ * + ./ * + 6@ 1 @ F3 1 -# " $ * 1 1* 4# E$- " J 4 1 # #; 7 "9 =8 5 ' = 7 FG H FG H FG H FG H FG H FG H FG H FG H 6@ 1 3 1 J % ( 2 $ 2 + 2 8 2 8 2 8# 40 3 3 = $ " < 1$ 7* 7* %00( M B1 # E "0 3 -# "& 7 49 > = ! # $ FG H¾ 2 FG H¿ FG H¾ 2 FG H½ FG H¾ 2 FG H¼ 2 2 2 6@ D . J 3* 1 $ 2 + 2 8# < B B1 *# $ %$ 2 FG H ( * 1 * %$ 2 FG H 2 ( 1 * 1 $# 4 3 1 - *# 1$ B1 # . B1 $ 2 8 2 8 %00(# "# 7 (9 > ! " , Q. H &9 / EF C / - - / B - ) B - ) C /A A I - I / H #9 N EF C I , . I , . ) L ) I , . I , . "" 7 <9 > = ! " $ + FG H¾ 2 FG H½ FG H¾ 2 FG H¼ 2 2 2 + 6@ D . + J 3* 1 $ 2 + 2 8# $ 4 7*= % 2 ( 1 *# - * 1$ $ - 1 # ; $ . + * 3@ 1* * *# "4
© Copyright 2026 Paperzz