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Gerlach, Stefan (ed.); Gnan, Ernest (ed.); Ulbrich, Jens (ed.) - Conference on ESRB at 1 <1, 2011, Berlin>; SUERF - The …; … - 2012

forthcoming challenges for the ESRB and macroprudential supervision at large. This SUERF Study forms the conference proceedings … on 8-9 November 2011. The purpose of this event was to take stock of first experiences with the ESRB; to discuss current … issues in the field of macroprudential supervision, including the integration of macro-financial elements into macroeconomic …

Persistent link: https://www.econbiz.de/10011711529

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

Pro-cyclical capital regulation and lending

Behn, Markus; Haselmann, Rainer; Wachtel, Paul - Deutsche Bundesbank - 2014

We use a quasi-experimental research design to examine the effect of model-based capital regulation introduced under the Basel II agreement on the pro-cyclicality of bank lending and firms' access to funds during a recession. In response to an exogenous shock to credit risk in the German...

Persistent link: https://www.econbiz.de/10011093849

CDS spreads and systemic risk: A spatial econometric approach

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

This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...

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

Balance sheet strength and bank lending during the global financial crisis

Kapan, Tümer; Minoiu, Camelia - Deutsche Bundesbank - 2013

We examine the role of bank balance sheet strength in the transmission of financial sector shocks to the real economy. Using data from the syndicated loan market, we exploit variation in banks' reliance on wholesale funding and their structural liquidity positions in 2007Q2 to estimate the...

Persistent link: https://www.econbiz.de/10010984738

What predicts financial (in)stability? A Bayesian approach

Eidenberger, Judith; Neudorfer, Benjamin; Sigmund, Michael - Deutsche Bundesbank - 2014

This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian...

Persistent link: https://www.econbiz.de/10011122558

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 risky investments and riskless excess reserves according to their risk, return, and liquidity preferences. They are linked via interbank loans and face stochastic deposit supply....

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

Bank bailouts, interventions, and moral hazard

Dam, Lammertjan; Koetter, Michael - Deutsche Bundesbank - 2011

To test if safety nets create moral hazard in the banking industry, we develop a simultaneous structural two-equations model that specifies the probability of a bailout and banks' risk taking.We identify the effect of expected bailout probabilities on risk taking using exclusion restrictions...

Persistent link: https://www.econbiz.de/10009323135

Banks and sovereign risk: A granular view

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - Deutsche Bundesbank - 2013

In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across...

Persistent link: https://www.econbiz.de/10010957143

Contingent convertible bonds and the stability of bank funding: The case of partial writedown

Bleich, Dirk - Deutsche Bundesbank - 2014

This paper adds to the growing body of literature on the design of Contingent Convertible Bonds (CoCos). We discuss how the design of the loss absorption mechanism affects the stability of bank funding and distinguish between Conversion-to-Equity (CE) CoCos, Principal WriteDown (PWD) CoCos with...

Persistent link: https://www.econbiz.de/10011093852

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