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Financial network systemic risk contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Center for Financial Studies - 2013

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market as well as balance sheet information,...

Persistent link: https://www.econbiz.de/10010958644

The cost of firms' debt financing

Pianeselli, Daniele; Zaghini, Andrea - Center for Financial Studies - 2013

. By looking at 5,500 issues over the period 2005-2012, we find that in recent years the sovereign debt market turbulence … premium due to the negative spillovers from the sovereign debt crisis, while German firms got a discount of 40 basis points. …

Persistent link: https://www.econbiz.de/10010958710

Systemic risk spillovers in the European banking and sovereign network

Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomas A.; … - Center for Financial Studies - 2014

the European sovereign debt crisis and how it is reflected in network statistics and systemic risk measures. Illustrating …

Persistent link: https://www.econbiz.de/10010958802

Granularity of corporate debt

Choi, Jaewon; Hackbarth, Dirk; Zechner, Josef - Center for Financial Studies - 2013

We study to what extent firms spread out their debt maturity dates across time, which we call granularity of corporate … debt. We consider the role of debt granularity using a simple model in which a firm's inability to roll over expiring debt … single large one, firms may diversify debt rollovers across maturity dates. We construct granularity measures using data on …

Persistent link: https://www.econbiz.de/10010958706

Universal Banks and Relationships with Firms

Elsas, Ralf; Krahnen, Jan Pieter - Center for Financial Studies - 2003

Some of the most widely expressed myths about the German financial system are concerned with the close ties and intensive interaction between banks and firms, often described as Hausbank relationships. Links between banks and firms include direct shareholdings, board representation, and proxy...

Persistent link: https://www.econbiz.de/10010986500

Universal Banks and Relationships with Firms

Elsas, Ralf; Krahnen, Jan Pieter - Center for Financial Studies - 2003

Persistent link: https://www.econbiz.de/10005600439

Credit market competition and capital regulation

Allen, Franklin; Carletti, Elena; Marquez, Robert - Center for Financial Studies - 2005

stressed in the literature on the use of subordinated debt, but also from the asset side. This will be particularly true if …

Persistent link: https://www.econbiz.de/10010958587

Countdown for the New Basle Capital Accord: Are German banks ready for the internal ratings-based approach?

Ewert, Ralf; Szczesny, Andrea - Center for Financial Studies - 2001

This paper uses a unique data set from credit files of six leading German banks to provide some empirical insights into their rating systems used to classify corporate borrowers. On the basis of the New Basle Capital Accord, which allows banks to use their internal rating systems to compute...

Persistent link: https://www.econbiz.de/10010958658

Credit Market Competition and Capital Regulation

Allen, Franklin; Carletti, Elena; Marquez, Robert - Center for Financial Studies - 2005

stressed in the literature on the use of subordinated debt, but also from the asset side. This will be particularly true if …

Persistent link: https://www.econbiz.de/10005176435

Financial disclosure and market transparency with costly information processing

Di Maggio, Marco; Pagano, Marco - Center for Financial Studies - 2014

We study a model where some investors ("hedgers") are bad at information processing, while others ("speculators") have superior information-processing ability and trade purely to exploit it. The disclosure of financial information induces a trade externality: if speculators refrain from trading,...

Persistent link: https://www.econbiz.de/10010961636