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The SSM at 1
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
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Financial integration and systemic risk
Fecht, Falko; Grüner, Hans Peter - Deutsche Bundesbank - 2005
Recent empirical studies criticize the sluggish financial integration in the euro area and find that only interbank money markets are fully integrated so far. This paper studies the optimal regional and/or sectoral integration of financial systems given that integration is restricted to the...
Persistent link: https://www.econbiz.de/10005082767
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Banks, markets, and efficiency
Fecht, Falko; Martin, Antoine - Deutsche Bundesbank - 2005
Following Diamond (1997) and Fecht (2004) we use a model in which financial market access of households restrains the efficiency of the liquidity insurance that banks' deposit contracts provide to households that are subject to idiosyncratic liquidity shocks. But in contrast to these approaches...
Persistent link: https://www.econbiz.de/10005082788
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Welfare effects of financial integration
Hartmann, Philipp; Grüner, Hans Peter; Fecht, Falko - Deutsche Bundesbank - 2007
This paper compares four forms of inter-regional financial risk sharing: (i) segmentation, (ii) integration trough the secured interbank market, (iii) integration trough the unsecured interbank market, (iv) integration of retail markets. The secured interbank market is an optimal risk-sharing...
Persistent link: https://www.econbiz.de/10005082792
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Relationship lending in the interbank market and the price of liquidity
Bräuning, Falk; Fecht, Falko - Deutsche Bundesbank - 2012
This paper empirically investigates the effect of interbank relationship lending on banks' access to liquidity. Our analysis is based on German interbank payment data which we use to create a panel of unsecured overnight loans between 1079 distinct borrower-lender pairs. The data shows that...
Persistent link: https://www.econbiz.de/10010984709
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Do correlated defaults matter for CDS premia? An empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - Deutsche Bundesbank - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010984740
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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 …
Persistent link: https://www.econbiz.de/10008534146
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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
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The impact of downward rating momentum on credit portfolio risk
Güttler, André; Raupach, Peter - Deutsche Bundesbank - 2008
Rating downgrades are known to make subsequent downgrades more likely. We analyze the impact of this ?downward momentum? on credit portfolio risk. Using S&P ratings from 1996 to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitive to previous...
Persistent link: https://www.econbiz.de/10005082753
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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