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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 Banks. The conference focused on core aspects of banking reform …
Persistent link: https://www.econbiz.de/10011557140
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A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
Puzanova, Natalia - Deutsche Bundesbank - 2011
This paper introduces a multivariate pure-jump Lévy process which allows for skewness and excess kurtosis of single asset returns and for asymptotic tail dependence in the multivariate setting. It is termed Variance Compound Gamma (VCG). The novelty of my approach is that, by applying a...
Persistent link: https://www.econbiz.de/10010954914
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Filling in the blanks: Network structure and interbank contagion
Anand, Kartik; Craig, Ben; von Peter, Goetz - Deutsche Bundesbank - 2014
The pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often …
Persistent link: https://www.econbiz.de/10010957084
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A hierarchical Archimedean copula for portfolio credit risk modelling
Puzanova, Natalia - Deutsche Bundesbank - 2011
I introduce a novel, hierarchical model of tail dependent asset returns which can be particularly useful for measuring portfolio credit risk within the structural framework. To allow for a stronger dependence within sub-portfolios than between them, I utilise the concept of nested Archimedean...
Persistent link: https://www.econbiz.de/10009372144
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The effect of the interbank network structure on contagion and common shocks
Georg, Co-Pierre - Deutsche Bundesbank - 2011
This paper proposes a dynamic multi-agent model of a banking system with central bank. Banks optimize a portfolio of …
Persistent link: https://www.econbiz.de/10009372146
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Completeness, interconnectedness and distribution of interbank exposures: A parameterized analysis of the stability of financial networks
Sachs, Angelika - Deutsche Bundesbank - 2010
This paper assesses the impact of a certain structure of interbank exposures on the stability of a stylized financial system. Given a certain balance sheet structure of financial institutions, a large number of valid matrices of interbank exposures is created by a random generator. Assuming a...
Persistent link: https://www.econbiz.de/10008695023
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Systemic risk contributions: a credit portfolio approach
Düllmann, Klaus; Puzanova, Natalia - Deutsche Bundesbank - 2011
We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. We measure systemic risk...
Persistent link: https://www.econbiz.de/10009024636
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Interbank tiering and money center banks
Craig, Ben R.; von Peter, Goetz - Deutsche Bundesbank - 2010
bilateral interbank exposures among 1800 banks, we find strong evidence of tiering in the German banking system. Moreover …
Persistent link: https://www.econbiz.de/10008833259
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Does it pay to have friends? Social ties and executive appointments in banking
Berger, Allen N.; Kick, Thomas; Koetter, Michael; … - Deutsche Bundesbank - 2011
others. We exploit a unique sample to analyze how similarities and social ties affect career outcomes in banking based on age …
Persistent link: https://www.econbiz.de/10010954916
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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 …
Persistent link: https://www.econbiz.de/10010957144