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Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May 2011 1 EFDI Belgrade 2011.

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Presentation on theme: "Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May 2011 1 EFDI Belgrade 2011."— Presentation transcript:

1 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May EFDI Belgrade 2011

2 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May Funding Compen- sation Risk Adjusted Premiums Intervention Risk Adjusted Premiums Harmonization ? Environment Regulations (Basel II/III) Accounting Standards Business Models / Risk Profiles national Taxation / Laws

3 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May Risk Adjusted Premiums Funding Funding Compen- sation Risk Adjusted Premiums Intervention Contribution linked to individual risk Insurance Approach Funding linked to portfolio risk Insurance Approach and/or stressed to risk scenarios be Prepare Approach

4 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May Risk Adjusted Premiums Compensation Funding Compen- sation Risk Adjusted Premiums Intervention Liquidity linked to risk profile be Prepare Approach Organistation linked to risk situation to be Prepare Approach

5 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May Risk Adjusted Premiums Intervention Funding Compen- sation Risk Adjusted Premiums Intervention Risk analysis for early intervention purposes Early Warning Approach Individual migration analysis Early Warning Approach

6 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May Risk Adjusted Premiums Harmonization Environment Regulations (Basel II/III) Accounting Standards Business Models / Risk Profiles national Taxation / Laws …

7 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May Risk Adjusted Premiums Harmonization I Conceptual Framework Simple: the model needs to be understandable by DGS members. Accurate: the model should accurately reflect the relative risk that the DGS members pose to the fund (the model should be effective at discriminating banks into appropriate risk categories). Reasonable: in terms of amount of information required, i.e. the collection of the inputs for the model should avoid unduly burdening DGS members. Affordable/Sustainable: The model should not cause insolvency to any DGS member, i.e. the costs resulting from the model should be met by the DGS members. Flexible: the model should be adjustable to different countries, i.e. different economies, different legal structures, different financial markets, different bank types, different business strategies. Open and Transparent: the DGS should know why they are in a risk class and should be able to verify it. Impartial: the model should be fair. Banks with similar characteristics should be categorized similarly. (EFDI Working Group III: Development of Common Voluntary Approaches to include Risk Based Elements for DGS, 2009, Joint Research Centre)

8 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May Risk Adjusted Premiums Harmonization II Definition of power of discretion (national/central) criteria (quantitative/qualitative) risk oriented weighting system, sensitive thresholds methods (mathematical/statistical, experts know-how, mix of both) contribution range (risk coefficient - 75% up to 200%) number of risk classes (five?) back testing validation stress testing Consideration of an adequate level of flexibility (e.g. various business models, risk profiles, legal and competitive environments, accounting standards, regulatory options) European Forum of Deposit Insurers (EFDI) as a qualified platform for further discussion and coordination

9 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May Risk Adjusted Premiums EFDI Belgrade 2011 Thank you very much for your attention Bernd Bretschneider managing director GBB-Rating Gesellschaft für Bonitätsbeurteilung mbH (Credit Rating Agency) Kattenbug 1 D Cologne Germany Phone: Fax:

10 Bernd Bretschneider, GBB-Rating Risk Adjusted Premiums Belgrade, 30 May Risk Adjusted Premiums EFDI Belgrade 2011 CV Apprenticeship: SGZ-Bank AG (today DZ Bank), Frankfurt, Germany Studies of business administration:Friedrich-Alexander-Universität, Nuremberg, Germany Universität zu Köln, Cologne, Germany Academic Title: Diplom-Kaufmann University of Bradford, Bradford, UK Academic Title: MBA Consultant:Organisationsforum Wirtschaftskongress e.V. (OFW), Cologne, Germany Commerzbank AG: Knowledge based Systems, Frankfurt, Germany Commerzbank AG: Customer Analysis in the German Democratic Republic, Leipzig, Germany Manager Business Clients: Bayerische Hypotheken- und Wechsel-Bank AG (today UniCredit), Berlin, Germany Analyst/Managing Director:GBB-Rating Gesellschaft für Bonitätsbeurteilung mbH, Cologne, Germany Bernd Bretschneider managing director GBB-Rating Gesellschaft für Bonitätsbeurteilung mbH (Credit Rating Agency) Kattenbug 1 D Cologne Germany Phone: Fax:


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