Astrid HerrmannPlanung und Entscheidung im Umgang mit problembehafteten Kreditengagements – der Kundenwert als Zielgröße

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Planning and decision making on sub- and non-performing loans – the customer value as command variable.

An analysis based on the operational and organizational structure of credit monitoring according to the German minimum requirements for risk management (MaRisk).

Bank lending is a critical element of a bank’s business. But down-ratings and defaults stress the bank’s financial position. Thus, there is substantial need for an efficient management of sub- and non-performing loans.

The development of an efficient management of sub- and non-performing loans is the central target of this book. To accomplish this target, the book derives a decision making process for the treatment of sub- and non-performing loans during the credit monitoring phase. The process is based on the German minimum requirements for risk management (MaRisk). Within the process, two points in time (one for sub- and the other one for non-performing loans) have been identified in which the bank will have to decide whether it supports the borrower, terminates the relationship or does nothing at all. These situations are built up as one periodic decision-making models. The models formalize the relationship between the borrower’s rating and his need for bank support as assumed in the German MaRisk. Additionally, they use the customer value as command variable.

Furthermore, a sensitivity analysis on the parameters of the models is carried out to examine the importance of individual parameters on decision making. In a last step, the model on sub-performing loans is also transferred into a two periodic model based on flexible planning. This model shows how sub-performing loans can be subject to planning. The outlined approach is compliant to the German minimum requirements for risk management (MaRisk) as published by the German BaFin and furthermore leads to a more efficient management of sub- and non-performing loans.

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