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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...

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

CDS spreads and systemic risk: A spatial econometric approach

Keiler, Sebastian; Eder, Armin - Deutsche Bundesbank - 2013

institutes in the sample. In stress tests, up to one fifth of the CDS spread changes are owing to financial contagion. These …

Persistent link: https://www.econbiz.de/10010957156

Credit contagion between financial systems

Podlich, Natalia; Wedow, Michael - Deutsche Bundesbank - 2011

We examine contagion from a number of financial systems to the German financial system using the information content of … evidence for contagion from the US and European financial systems. Our results additionally confirm that the set up of the … financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our …

Persistent link: https://www.econbiz.de/10010954915

The effect of the interbank network structure on contagion and common shocks

Georg, Co-Pierre - Deutsche Bundesbank - 2011

more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms …

Persistent link: https://www.econbiz.de/10009372146

Bubbles and incentives: A post-mortem of the Neuer Markt in Germany

von Kalckreuth, Ulf; Silbermann, Leonid - Deutsche Bundesbank - 2010

This paper aims to shed light on some of the major allocative consequences of financial market bubbles. In March 1997, the Neuer Markt in Germany opened. Six years later, in June 2003, it closed forever. In the interim period lay the spectacular rise and fall of the first and most important...

Persistent link: https://www.econbiz.de/10008534148

Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?

Scharnagl, Michael; Stapf, Jelena - Deutsche Bundesbank - 2014

We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on options on the euro area harmonized index of consumer...

Persistent link: https://www.econbiz.de/10010957128

Interest rate risk and the Swiss solvency test

Eder, Armin; Keiler, Sebastian; Pichl, Hannes - Deutsche Bundesbank - 2013

In this paper, we present a new approach to measuring interest rate risk for insurers within the Swiss Solvency Test, which overcomes the shortcomings of the standard model. The standard model of the Swiss Solvency Test is based on more interest rate risk factors than are actually needed to...

Persistent link: https://www.econbiz.de/10010957135

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - Deutsche Bundesbank - 2012

The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in...

Persistent link: https://www.econbiz.de/10010957154

Sovereign default swap market efficiency and country risk in the eurozone

Gündüz, Yalin; Kaya, Orcun - Deutsche Bundesbank - 2013

This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the sovereign markets and persistency of country risks. Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10 eurozone countries to test the...

Persistent link: https://www.econbiz.de/10010984736

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