Walter Schwaiger - Academia.edu (original) (raw)
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Papers by Walter Schwaiger
Proceedings of International Conference on Information Integration and Web-based Applications & Services - IIWAS '13, 2013
Modellierung Betrieblicher Informationssyteme Mobis, 2008
Industrial Engineering und Management, 2015
Industrial Engineering und Management, 2015
SSRN Electronic Journal, 2000
Das Ziel dieser Arbeit ist die Präsentation einer Erweiterung des ANSI/ISA-95 Modells, mit deren ... more Das Ziel dieser Arbeit ist die Präsentation einer Erweiterung des ANSI/ISA-95 Modells, mit deren Hilfe der Standard als Grundlage eines integrierten betrieblichen Informationssystem in Anlehnung an das REA-Modell verwendet werden kann. Der Standard ist in seiner Grundfassung auf die Modellierung der Produktionssteuerung und -kontrolle eines Industriebetriebes beschränkt. Wir präsentieren eine Erweiterung des Standards um finanzielle Aspekte. Diese Erweiterung ermöglicht es die finanziellen Bestände und Flüsse, die bei Ereignissen im aquire-convert-market-Ablauf eine Rolle spielen, zu thematisieren.
Journal of Banking & Finance, 2007
In this paper we develop a model of the economic value of credit rating systems. Increasing inter... more In this paper we develop a model of the economic value of credit rating systems. Increasing international competition and changes in the regulatory framework driven by the Basel Committee on Banking Supervision (Basel II) called forth incentives for banks to improve their credit rating systems. An improvement of the statistical power of a rating system decreases the potential effects of adverse selection, and, combined with meeting several qualitative standards, decreases the amount of regulatory capital requirements. As a consequence, many banks have to make investment decisions where they have to consider the costs and the potential benefits of improving their rating systems. In our model the quality of a rating system depends on several parameters such as the accuracy of forecasting individual default probabilities and the rating class structure. We measure effects of adverse selection in a competitive one-period framework by parameterizing customer elasticity. Capital requirements are obtained by applying the current framework released by the Basel Committee on Banking Supervision. Results of a numerical analysis indicate that improving a rating system with low accuracy to medium accuracy can increase the annual rate of return on a portfolio by 30-40 bp. This effect is even stronger for banks operating in markets with high customer elasticity and high loss rates. Compared to the estimated implementation costs banks could have a strong incentive to invest in their rating systems. The potential of reduced capital requirements on the portfolio return is rather weak compared to the effect of adverse selection.
Financial Markets and Portfolio Management, 2001
Proceedings of International Conference on Information Integration and Web-based Applications & Services - IIWAS '13, 2013
Modellierung Betrieblicher Informationssyteme Mobis, 2008
Industrial Engineering und Management, 2015
Industrial Engineering und Management, 2015
SSRN Electronic Journal, 2000
Das Ziel dieser Arbeit ist die Präsentation einer Erweiterung des ANSI/ISA-95 Modells, mit deren ... more Das Ziel dieser Arbeit ist die Präsentation einer Erweiterung des ANSI/ISA-95 Modells, mit deren Hilfe der Standard als Grundlage eines integrierten betrieblichen Informationssystem in Anlehnung an das REA-Modell verwendet werden kann. Der Standard ist in seiner Grundfassung auf die Modellierung der Produktionssteuerung und -kontrolle eines Industriebetriebes beschränkt. Wir präsentieren eine Erweiterung des Standards um finanzielle Aspekte. Diese Erweiterung ermöglicht es die finanziellen Bestände und Flüsse, die bei Ereignissen im aquire-convert-market-Ablauf eine Rolle spielen, zu thematisieren.
Journal of Banking & Finance, 2007
In this paper we develop a model of the economic value of credit rating systems. Increasing inter... more In this paper we develop a model of the economic value of credit rating systems. Increasing international competition and changes in the regulatory framework driven by the Basel Committee on Banking Supervision (Basel II) called forth incentives for banks to improve their credit rating systems. An improvement of the statistical power of a rating system decreases the potential effects of adverse selection, and, combined with meeting several qualitative standards, decreases the amount of regulatory capital requirements. As a consequence, many banks have to make investment decisions where they have to consider the costs and the potential benefits of improving their rating systems. In our model the quality of a rating system depends on several parameters such as the accuracy of forecasting individual default probabilities and the rating class structure. We measure effects of adverse selection in a competitive one-period framework by parameterizing customer elasticity. Capital requirements are obtained by applying the current framework released by the Basel Committee on Banking Supervision. Results of a numerical analysis indicate that improving a rating system with low accuracy to medium accuracy can increase the annual rate of return on a portfolio by 30-40 bp. This effect is even stronger for banks operating in markets with high customer elasticity and high loss rates. Compared to the estimated implementation costs banks could have a strong incentive to invest in their rating systems. The potential of reduced capital requirements on the portfolio return is rather weak compared to the effect of adverse selection.
Financial Markets and Portfolio Management, 2001