The Loss Distribution of the Entrepreneurial Bad Debt Risk – a Simulation-based Model
Henry Dannenberg
IWH Discussion Papers,
No. 10,
2006
Abstract
The risk of bad debt losses evolves for companies which grant payment targets. Possible losses have to be covered by these companies equity and liquidity reserves. The question of how to quantify the level of risk of bad debt losses will be discussed in this paper. Input values of this risk are the probability of default, exposure at default and loss given default. It is shown how companies can derive probability functions to describe uncertainty and variability for each input value. Based on these probability functions a simulation model is developed to quantify the risk of bad debt losses. Based on an empirical study probability functions for probability of default and loss given default are presented.
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Management von Mitarbeiterrisiken in Unternehmen
Henry Dannenberg
Risikomanagement im Unternehmen Praxisratgeber für die Einführung und Umsetzung, Kapitel 12-7,
2006
Abstract
The paper shows how to quantify the risk of loosing employees. Firstly, reasons will be determined that explain the loss of an employee. Dependent on these reasons, it is shown how to quantify the probability of losing an employee and possible losses that follow an employee loss. Based on these components of risks, a simulation based model is developed which aggregates the risk of all employees of a company to the distribution of the employees risk for the whole company. Finally, a tool for an easy calculating of this risk is presented.
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Hausgemachte (Forderungsausfall)-Risiken - IWH Studie: Kreditoreneigenschaften beeinflussen die Liquidität
Henry Dannenberg
inForm Magazin für Risikomanagement Ausgabe 32 März 2006,
2006
Abstract
An IWH study shows that criteria of companies like size, average amount of debits, customer structure and foreign activities are indicators of the grade of risks of bad debt losses. The study also shows that the calculation of capital surplus to cover risks of bad debt losses that are based on criteria of creditors could be possible.
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Prekäre Einkommenslagen in Deutschland: Ein Ost-West-Vergleich 1996 bis 2002
Herbert S. Buscher, Juliane Parys
IWH Discussion Papers,
No. 2,
2006
Abstract
The paper investigates the distribution of equivalence-weighted net household income for West and East Germany, covering the period from 1996 to 2002. The data set used is the annual cross section data set “Mikrozensus”. The main issues of the paper are twofold. First, we analyze standard measures of income distributions as well as measures of inequality. Second, we set up a Logit model to explain relative poorness in East and West Germany using Mikrozensus data to capture household characteristics. The main focus in this section deals with the question how different types of forms of living and the number of children will affect the risk of falling into precarious income situations. The results show that the risk of getting poor is higher for families with children as well as for single persons with children.
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Angewandte Industrieökonomik: Theorien, Modelle, Anwendungen
Ulrich Blum, Simone Müller, Andreas Weiske
,
2006
Abstract
Modern entrepreneurship comprises a mix of bourgeois morale and the striving for adventure: Bourgeois morale implies efficiency, reputation, the rule of the law. And adventure implies new frontiers, the spirit of competition, innovation and a pioneer’s attitude – up to the destruction of competitors. The modern entrepreneur’s social position thus is a ambiguous; the entrepreneur needs a special attitude with respect to economic activity as discussed by Werner Sombard (1913) and Max Weber (1905); society has to accept the positive ethical quality of profit seeking in order to survive. The modern theory of the enterprise promoted by neoclassic theory does not include any of these elements of real entrepreneurship. Industrial organisation theory tries to structure models closer to reality, thus allowing empirical testing. In many aspects, it is based on neoclassic theory, but also accepts the concept of strategic behaviour which includes potential reactions of other market participants in ones own activities. Elements of evolutionary economics, risk theory and modern information theory thus become important. The overarching question of the entrepreneur, who strives for a higher than normal profit in the market becomes: under which conditions should I enter the market and under which conditions will potential entrants do the same? How should I set my prizes and what reactions must I expect? How can I signal friendly behaviour to competitors? How can I differentiate myself from them? What importance do innovations and advertising have? The book roles out these questions in three large chapters on technology and market structure, on prize setting and signalling, and on research, development and innovation. An introduction explains individual behavioural patterns within the societal context – often in a historical perspective. Three methodological chapters introduce the reader into strategic thinking as the core aspect of the industrial organisation theory, the “old industrial organisation theory” and the neoclassic basic models. Each chapter is extended by exercises and tips for solutions.
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Are vendor properies useful indicators to quantify the extent of the default risk
Henry Dannenberg
Wirtschaft im Wandel,
No. 12,
2005
Abstract
Für Unternehmen, die ihren Kunden Zahlungsziele einräumen, besteht die Gefahr, daß ein Kunde nach Ablauf der Zahlungsfrist nicht in der Lage ist, die an ihn gestellten Rechnungen zu begleichen. In diesem Fall erleidet der Gläubiger einen Verlust, der unter Umständen die eigene Zahlungsunfähigkeit oder Überschuldung zur Folge haben kann. Um der Gefahr einer eigenen durch den Forderungsverlust bedingten Folgeinsolvenz vorzubeugen, sind von einem Unternehmen hinreichend hohe Reserven in Form von Eigenkapital bzw. Liquidität bereitzustellen, auf die im Schadensfall zurückgegriffen werden kann. Die korrekte Bewertung dieser Reserve ist vor allem unter Allokationsgesichtspunkten interessant. Im vorliegenden Beitrag wird anhand einer Unternehmensbefragung unter ostdeutschen Industriebetrieben untersucht, ob aufgrund von bestimmten Eigenschaften eines Unternehmens, das seinen Kunden Zahlungsziele einräumt, Rückschlüsse auf die Höhe der erforderlichen Eigenkapital- bzw. Liquiditätsreserven möglich sind. Die Untersuchung zeigt, daß Merkmale wie Größe, durchschnittlich gewährte Forderungshöhe, Kundenstruktur und Auslandsaktivität gefunden werden können, anhand derer zwischen Unternehmen mit hohen und Unternehmen mit geringen Forderungsausfallrisiken unterschieden werden kann. Dieses Ergebnis deutet darauf hin, daß die Bewertung der erforderlichen Reserven zur Deckung des Forderungsausfallrisikos auf Grundlage von Eigenschaften des zahlungszielgewährenden Unternehmens möglich sind.
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Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme
Ulrich Blum, Werner Gleißner, Frank Leibbrand
IWH Discussion Papers,
No. 6,
2005
Abstract
In our paper, we analyze, based on a new rating methodology, 105 enterprises from Saxony with respect to their ability to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk and a stochastic simulation model of enterprise development. The results show that the method used is superior to presently used approaches and that it extends our knowledge of enterprise development. On and above its Basel-II applicability, it is a tool to analyze individual development strategies of firms.
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Deposit Insurance, Moral Hazard and Market Monitoring
Reint E. Gropp, Jukka M. Vesala
Review of Finance,
No. 4,
2004
Abstract
The paper analyses the relationship between deposit insurance, debt-holder monitoring, and risk taking. In a stylised banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non-deposit creditors. Testing the model using EU bank level data yields evidence consistent with the model, suggesting that explicit deposit insurance may serve as a commitment device to limit the safety net and permit monitoring by uninsured subordinated debt holders. We further find that credible limits to the safety net reduce risk taking of smaller banks with low charter values and sizeable subordinated debt shares only. However, we also find that the introduction of explicit deposit insurance tends to increase the share of insured deposits in banks' liabilities.
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Bank Market Discipline and Indicators of Banking System Risk: The European Evidence
Reint E. Gropp
Market Discipline Across Countries and Industries,
2004
Abstract
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Risikoorientierte Prämiendifferenzierung in der Kfz-Haftpflichtversicherung
Christian Growitsch, R. Schwarze, H.-P. Schwintowski, Thomas Wein
External Publications,
2004
Abstract
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