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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

Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions

Trinkaus, Gaby - Deutsche Bundesbank - 2010

Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a … assets or structure. In Germany, there are currently no specific regulations regarding this concept. However, a bank can use …

Persistent link: https://www.econbiz.de/10008534146

Determinants of European banks' engagement in loan securitization

Hänsel, Dennis N.; Bannier, Christina E. - Deutsche Bundesbank - 2008

-specific and macroeconomic factors influencing an institution's securitization decision. CLO issuance seems to be an appropriate …. Controlling for fixed effects, we find that fixed costs of securitization are surmountable also for smaller institutions …. Interestingly, commercial banks seem to use loan securitization to access capital-market based businesses and the associated fee …

Persistent link: https://www.econbiz.de/10005059000

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

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

transformation seem to account for a much smaller share (about 20%) of the median bank's net interest margin. …

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

Regulation, credit risk transfer with CDS, and bank lending

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

Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery

Dötz, Niko - Deutsche Bundesbank - 2007

This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...

Persistent link: https://www.econbiz.de/10005082750