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Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

The ESRB at 1

Gerlach, Stefan (ed.); Gnan, Ernest (ed.); Ulbrich, Jens (ed.) - Conference on ESRB at 1 <1, 2011, Berlin>; SUERF - The …; … - 2012

SUERF – The European Money and Finance Forum, the Deutsche Bundesbank and the Institute for Monetary and Financial Stability (IMFS) took the opportunity of the first anniversary of this new institution to organise a joint conference in Berlin on 8-9 November 2011. The purpose of this event was...

Persistent link: https://www.econbiz.de/10011711529

Restructuring counterparty credit risk

Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013

We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...

Persistent link: https://www.econbiz.de/10010957120

More or less aggressive? Robust monetary policy in a New Keynesian model with financial distress

Gerke, Rafael; Hammermann, Felix; Lewis, Vivien - Deutsche Bundesbank - 2009

This paper investigates the optimal monetary policy response to a shock to collateral when policymakers act under … model misspecification leads to a more aggressive policy response. The same is true for a shock to collateral. A preference … of disturbances affect the economy: in the case of a shock to collateral the policymaker does not need to be as much …

Persistent link: https://www.econbiz.de/10005059030

Asset prices, collateral, and unconventional monetary policy in a DSGE model

Hilberg, Björn; Hollmayr, Josef - Deutsche Bundesbank - 2013

In this paper we set up a New-Keynesian model with a heterogenous banking sector to analyze liquidity problems on the interbank market. The presence of an interbank market is essential to consider a situation where an increased liquidity supply by the central bank is only partially passed on to...

Persistent link: https://www.econbiz.de/10010984718

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

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

Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific...

Persistent link: https://www.econbiz.de/10010957127

A model of mortgage losses and its applications for macroprudential instruments

Hott, Christian - Deutsche Bundesbank - 2013

We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the model, loss rates are positively influenced by the house price level, the loan-to-value of mortgages, interest rates, and the unemployment rate. They are negatively influenced...

Persistent link: https://www.econbiz.de/10010957134

Quantifying the components of the banks' net interest margin

Busch, Ramona; Memmel, Christoph - Deutsche Bundesbank - 2014

Using unique data sets on German banks, we decompose their net interest margin and quantify the different components by estimating the costs of the various functions they perform. We investigate three major functions: namely, liquidity and payment management for the customers, the bearing of...

Persistent link: https://www.econbiz.de/10010957140

Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - Deutsche Bundesbank - 2012

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...

Persistent link: https://www.econbiz.de/10010957144

Credit Risk Factor Modeling and the Basel II IRB Approach

Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - Deutsche Bundesbank - 2003

Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...

Persistent link: https://www.econbiz.de/10005082748