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Lütkebohmert, Eva; Gordy, Michael B. - Deutsche Bundesbank - 2007

Consultative Paper of 2001. Most importantly, we introduce an ?upper bound? methodology under which banks would be required to … portfolio. For many banks, this approach would permit dramatic reductions in data requirements relative to the full GA. …

Persistent link: https://www.econbiz.de/10005082761

Estimating asset correlations from stock prices or default rates: which method is superior?

Düllmann, Klaus; Kunisch, Michael; Küll, Jonathan - Deutsche Bundesbank - 2008

This paper sets out to help explain why estimates of asset correlations based on equity prices tend to be considerably higher than estimates based on default rates. Resolving this empirical puzzle is highly important because, firstly, asset correlations are a key driver of credit risk and,...

Persistent link: https://www.econbiz.de/10005082773

Forecasting Credit Portfolio Risk

Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - Deutsche Bundesbank - 2004

The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...

Persistent link: https://www.econbiz.de/10005082801

Stress testing of real credit portfolios

Mager, Ferdinand; Schmieder, Christian - Deutsche Bundesbank - 2008

Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimates do not explicitly take portfolio concentration into account. We start from the credit portfolio of the German pension insurer being a cross-sectional representation of the German economy and...

Persistent link: https://www.econbiz.de/10005082804

Evaluation of minimum capital requirements for bank loans to SMEs

Düllmann, Klaus; Koziol, Philipp - Deutsche Bundesbank - 2013

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs …). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to … particularly rich and well developed credit market for SMEs in Germany. We estimate asset correlations as the key measure of …

Persistent link: https://www.econbiz.de/10010984725

The SSM at 1

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

College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …

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

Centrality-based capital allocations

Alter, Adrian; Craig, Ben; Raupach, Peter - Deutsche Bundesbank - 2015

We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....

Persistent link: https://www.econbiz.de/10011161228

How stressed are banks in the interbank market?

Abbassi, Puriya; Fecht, Falko; Weber, Patrick - Deutsche Bundesbank - 2013

recourse to the LOLR facility (a) to derive banks' willingness-to-pay for liquidity through a one-week repo and (b) to show … results suggest (i) that banks' willingness-to-pay for liquidity indeed reflects refinancing conditions in the interbank …

Persistent link: https://www.econbiz.de/10010957097

Executive board composition and bank risk taking

Berger, Allen N.; Kick, Thomas; Schaeck, Klaus - Deutsche Bundesbank - 2012

Little is known about how socioeconomic characteristics of executive teams affect corporate governance in banking. Exploiting a unique dataset, we show how age, gender, and education composition of executive teams affect risk taking of financial institutions. First, we establish that age,...

Persistent link: https://www.econbiz.de/10010957149

Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis

Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, Jochen M. - Deutsche Bundesbank - 2013

in general, better capitalized and less leveraged banks have outperformed their peers, a finding that supports …

Persistent link: https://www.econbiz.de/10010957160