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Assessing contagion risks from the CDS market

Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2013

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Persistent link: https://www.econbiz.de/10011972792

Assessing Contagion Risks from the CDS Market

Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2021

Over the past few years the CDS market’s role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country’s sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Persistent link: https://www.econbiz.de/10013248871

What drives the short-term fluctuations of banks' exposure to interest rate risk?

Memmel, Christoph - 2019

We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank …

Persistent link: https://www.econbiz.de/10011968696

Financial Intermediation and the Post-Crisis Financial System

Shin, Hyun Song - 2013

Securitization was meant to disperse credit risk to those who were better able to bear it. In practice, securitization appears to have concentrated the risks in the financial intermediary sector itself. This paper outlines an accounting framework for the financial system for assessing the impact...

Persistent link: https://www.econbiz.de/10013094784

Banks' concentration versus diversification in the loan portfolio : new evidence from Germany

Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013

risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …

Persistent link: https://www.econbiz.de/10010233376

Banks’ Credit Losses and Lending Dynamics

Raupach, Peter; Memmel, Christoph - 2023

To study bank behavior, we use tail events in the history of a bank's credit losses as a new type of shock to capital …. When defined appropriately, such events are virtually unpredictable for bank managers and spread evenly over time and banks … competitor of each bank that replicates its sectoral and geographic portfolio composition. This new method combines the …

Persistent link: https://www.econbiz.de/10014355636

Interest and Credit Risk Management in German Banks : Evidence From a Quantitative Survey

Drager, Vanessa - 2020

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...

Persistent link: https://www.econbiz.de/10012841281

Banks' credit losses and lending dynamics

Raupach, Peter; Memmel, Christoph - 2021

using a new method, the construction of tailored hypothetical bank competitors. …

Persistent link: https://www.econbiz.de/10012651083

Banks' Credit Losses and Lending Dynamics

Raupach, Peter; Memmel, Christoph - 2021

using a new method, the construction of tailored hypothetical bank competitors …

Persistent link: https://www.econbiz.de/10013313540

Interest and credit risk management in German banks : evidence from a quantitative survey

Dräger, Vanessa; Heckmann, Lotta; Memmel, Christoph - 2020

Persistent link: https://www.econbiz.de/10012160610