Risk tolerance
Under risk tolerance refers to the extent to which a decision maker is willing to take risks.
It thus represents a key figure with which the distance between the current company situation and an "undesirable development" (such as loss of the degree of investment) can be measured. However, such a development does not necessarily have to be equated with a “development threatening the continued existence of the company” within the meaning of Section 91 (2) AktG. With the help of IDW PS 981 , risk-bearing capacity concepts are presented and recommended within the framework of the principles of proper examination of risk management systems in accordance with Section 107 (3) AktG, which, among other things, enables companies to clearly define risk tolerance according to their goals.
Furthermore, the risk tolerance can be calculated as the reciprocal of the absolute risk aversion (in relation to the expected utility theory according to Arrow or Pratt ). The basis here is the company-specific utility function, which is compared in the first and second derivation in order to determine the absolute deviation.
Differentiation from the risk-bearing capacity
Very closely related to risk tolerance is risk-bearing capacity . It is a more elementary component of the mandatory early risk identification in accordance with Section 91 AktG and IDW PS 340 as a clarification of Section 317 (4) HGB in the company.
The significant difference to the risk tolerance is characterized by the extent of the risk.
The risk-bearing capacity measures the distance from the current “status quo” to the point that is classified as “development threatening the continued existence of the company” i. S. d. Section 91 (2) AktG is considered.
The target or this lower limit value must at least be adhered to and is necessary to secure the company's existence. For example, minimum requirements for a rating must not be violated (B rating) so that the company can "survive".
On the one hand, it can be viewed as the maximum loss at which the minimum rating is retained (risk-bearing capacity value) and, on the other hand, as the difference between the risk potential and the aggregated total risk scope.
Thus it should be noted:
Risk tolerance describes an assumed limit which should not be undercut or at least reached ( e.g. investment grade rating should not undercut at least BB +). A shortfall would not necessarily endanger the continued existence of the company.
Risk-bearing capacity, on the other hand, is the lower, critical limit that must not be fallen below in order to ensure the continued existence of the company.
Using risk aggregation ( Monte Carlo simulation ) one can nevertheless determine the probabilities with which the possible deviation will occur for both requirements.
Individual evidence
- ↑ http://wirtschaftslexikon.gabler.de/Archiv/830359687/risikotoleranz-v2.html accessed on November 18, 2017
- ↑ a b Gleißner, Werner; Wolfrum, Marco: Risk-bearing capacity, risk tolerance, risk appetite and risk coverage potential. Controller magazine. November / December 2017 pp. 77–84.
- ^ Arrow-Pratt-Maß in the Wirtschaftslexikon
- ↑ http://wirtschaftslexikon.gabler.de/Archiv/830359603/arrow-pratt-mass-v2.html accessed on November 18, 2017
- ↑ Gleißner, W. (2017): Risk Management, KonTraG and IDW PS 340, in: WPg - Die Wirtschaftsprüfung, 3/2017, pp. 158–164.