Dunkele Seiten der Kreditwirtschaft..

Ich habe ‚Essentials of Risk Management‚ wieder aus die Schublade geholt, weil ich meine ‚Associate Professional Risk Manager‘ Zertifizierung demnächst mal bestehen will. Und ich genieße mal wieder die Textabschnitte, die jetzt einen ganz anderen Klang bekommen haben. 🙂 (Das Buch ist in 2006 erschienen!)

Im Kasten ‚The Problem of Subprime Lending‘ zum beispiel:


Subprime lending is a new sector for most retail banks. That means that banks lack the historical data to predict the default rates of their subprime customers reliably. [..] it is quite unclear what might happen to subprime default statistics if there is a sharp rise in unemployment.

[..]Is it ethical to charge relatively poor customers high rates of interest, or to encourage them to borrow money when they are likely to struggle to pay it back?[..]

Oder im Kasten ‚Does Retail Credit Risk have a Dark Side‘?


The dark side of retail risk management has four prime causes:

  • Not all innovative retail credit products can be associated with enough historical loss data to make their risk assessments reliable.
  • Even well-understood retail credit products might begin to behave in an unexpected fashion under the influence of a sharp change in the economic environment, particularly if risk factors all get worse at the same time (the so-called perfect storm scenario). For example, in the mortgage industry, one ever-present worry is that a deep recession combined with higher interest rates might lead to a rise in mortgage defaults at the same time that house prices, and therefore collateral values, fall very sharply.
  • The tendency of consumers to default (or not) is a product of complex social and legal system that contimually changes. For example, the social and legal acceptability of personal bankruptcy, especially in the United States, is one factor that seemed to influence a rising trend in personal default in the 1990s.
  • Any operational issue that affects the credit assesment of customers can have a systematic effect on the whole consumer portfolio. Because consumer credit is run as a semiautomated decision-making process rather than as a series of tailored decisions,it’s vital that the credit process be designed and operated correctly.

Hier gefällt mir speziell den Abschnitt zum ‚unexpected fashion‘. Alles war schon bedacht, nur die Reihenfolge war anders, und mit einer starken kausalen Kette:

  • house prices, and therefore collateral values, fall very sharply
  • =>rise in mortgage defaults
  • =>liquidity crisis
  • =>a deep recession

Oder aber auch, im Kasten ‚Are the Rating Agencies up to the Job?‘ zum Thema Ratingagenturen:

Critics also point to a long-standing conflict of interest in the way that ratings are funded. Ideally, users of the ratings, such as investors, would pay agencies to rate companies: the company under the microscope would not make any payments at all to the rating agency. In reality, the largest rating agencies rely on issuer fees for the majority of their income, [..]

Und dann fiel mir noch auf, wie stark moderne Kreditportfoliobewertungswerkzeuge (das ist ein tolles Wort) auf Korrelationen setzen. Und in Krisensituationen ändern sich die Korrelationen selbstverständlich: sie werden größer. Oder in Klartext: alles get den Bach runter.

Ich bin gespannt wie es weiter geht.

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