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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 Banks. The conference focused on core aspects of banking reform …

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

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 …

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

Regulation, credit risk transfer with CDS, and bank lending

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

Persistent link: https://www.econbiz.de/10010535443

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

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

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 …

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 …

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

Market conditions, default risk and credit spreads

Tang, Dragon Yongjun; Yan, Hong - Deutsche Bundesbank - 2008

structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads … Default Swap, CDS) als Näherungswert für Kreditspreads und stellen fest, dass die durchschnittlichen Kreditspreads im …

Persistent link: https://www.econbiz.de/10005082769