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The stability of efficiency rankings when risk-preferences and objectives are different
Koetter, Michael - Deutsche Bundesbank - 2006
different risk preferences and measure efficiency with a structural model based on utility maximization. Using the almost ideal … demand system, we estimate input and profit demand functions to obtain proxies for expected return and risk. Efficiency is … then measured in this risk-return space. Mean risk-return efficiency is somewhat higher than cost and considerably higher …
Persistent link: https://www.econbiz.de/10005082781
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Bank regulation and stability: An examination of the Basel market risk framework
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - Deutsche Bundesbank - 2012
seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world … whether the Basel framework allows banks to take substantive tail risk in their trading books without a capital requirement … regarding the treatment of tail risk. …
Persistent link: https://www.econbiz.de/10010957130
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Quantifying risk and uncertainty in macroeconomic forecasts
Knüppel, Malte; Tödter, Karl-Heinz - Deutsche Bundesbank - 2007
This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non … macroeconometric model of the Bundesbank for Germany. Forecast intervals that integrate judgement on risk and uncertainty are obtained. …
Persistent link: https://www.econbiz.de/10005083201
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Firm-level evidence on international stock market comovement
Brooks, Robin; Del Negro, Marco - Deutsche Bundesbank - 2005
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...
Persistent link: https://www.econbiz.de/10005059019
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Persuasion by stress testing: Optimal disclosure of supervisory information in the banking sector
Gick, Wolfgang; Pausch, Thilo - Deutsche Bundesbank - 2012
The game-theoretical analysis of this paper shows that stress tests that cover the entire banking sector (macro stress tests) can be performed by institutional supervisors to improve welfare. In a multi-receiver framework of Bayesian persuasion we show that a banking authority can create value...
Persistent link: https://www.econbiz.de/10010957114
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Internalization and internationalization under copeting real options
Fisch, Jan Hendrik - Deutsche Bundesbank - 2006
The theories of internalization and internationalization provide general factors of international market entry but are not precise about its timing. A model of waiting and growth options seizes the importance of flexibility to FDI decisions and centers the impact of uncertainty. The results of a...
Persistent link: https://www.econbiz.de/10005083229
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The Determinants of Venture Capital: Additional Evidence
van Pottelsberghe de la Potterie, Bruno; Romain, Astrid - Deutsche Bundesbank - 2004
This paper attempts to identify and evaluate the main determinants of venture capital (VC). We develop a theoretical model where macroeconomic conditions, technological opportunity, and the entrepreneurial environment affect the demand and supply of VC. The quantitative results, based on a panel...
Persistent link: https://www.econbiz.de/10005083116
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The Economic Impact of Venture Capital
van Pottelsberghe de la Potterie, Bruno; Romain, Astrid - Deutsche Bundesbank - 2004
This paper attempts to evaluate the macroeconomic impact of venture capital (VC). We test the assumption that VC is similar in several respects to business R&D performed by large firms and therefore contributes to economic growth through two main channels: innovation and absorptive capacity. The...
Persistent link: https://www.econbiz.de/10005083275
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Gauging the impact of a low-interest rate environment on German life insurers
Kablau, Anke; Wedow, Michael - Deutsche Bundesbank - 2011
A low interest rate environment can pose a key risk to the life insurance sector. A deteriorating return on investment …
Persistent link: https://www.econbiz.de/10008923003
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Do capital buffers mitigate volatility of bank lending? A simulation study
Heid, Frank; Krüger, Ulrich - Deutsche Bundesbank - 2011
-cyclical capital buffers. Others claim that capital buffers are already large enough to absorb fluctuations in credit risk. We address …
Persistent link: https://www.econbiz.de/10008923004