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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011391709
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Banks, markets, and financial stability
Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...
Persistent link: https://www.econbiz.de/10010433396
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Calculating trading book capital : is risk separation appropriate?
Raupach, Peter - 2015
and default) and spread risk (represented by rating specific spread indices) combine to a total value-at-risk (VaR) 50 …
Persistent link: https://www.econbiz.de/10011299075
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Evaluation of minimum capital requirements for bank loans to SMEs
Düllmann, Klaus; Koziol, Philipp - 2013
, conditional on the respective rating category. We also compare the size of this effect with the capital relief that has been …
Persistent link: https://www.econbiz.de/10009751062
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Economic loan loss provision and expected loss
Hlawatsch, Stefan; Ostrowski, Sebastian - 2009
Persistent link: https://www.econbiz.de/10003840068
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A framework for LGD validation of retail portfolios
Hlawatsch, Stefan; Reichling, Peter - 2009
Persistent link: https://www.econbiz.de/10003874654
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How stressed are banks in the interbank market?
Abbassi, Puriya; Fecht, Falko; Weber, Patrick - 2013
We use a unique data set that comprises each bank’s bids in the Eurosystem’s main refinancing operations and its … that a bank’s willingness-to-pay is a good indicator for the probability that this bank draws on the LOLR facility. Our …
Persistent link: https://www.econbiz.de/10010192732
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Stress testing German banks against a global cost-of-capital shock
Düllmann, Klaus; Kick, Thomas - 2012
This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...
Persistent link: https://www.econbiz.de/10009509091
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To securitise or to price credit default risk?
McGowan, Danny; Nguyen, Huyen - 2020 - This draft: August 31, 2020
We evaluate if lenders price or securitise mortgages to mitigate credit risk. Exploiting exogenous variation in regional credit risk created by differences in foreclosure law along US state borders, we find that financial institutions respond to the law in heterogeneous ways. In the agency...
Persistent link: https://www.econbiz.de/10012269093
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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank’s credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …
Persistent link: https://www.econbiz.de/10009509090