Similar Search Results

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

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

Regulatory capital for market and credit risk interaction: is current regulation always conservative?

Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus; … - Deutsche Bundesbank - 2008

Unter der ersten Säule von Basel II wird das regulatorische Eigenkapital für Markt- und Kreditrisiko separat berechnet … Eigenkapitals, das für Markt- und Kreditrisiko zu hinterlegen ist. Diese Berechnung von Einzelkomponenten des regulatorischen … Kapitals folgt in groben Zügen der Aufteilung in Bank- und Handelsbuch. In der traditionellen Denkweise ist Kreditrisiko …

Persistent link: https://www.econbiz.de/10005082774

Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - Deutsche Bundesbank - 2012

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...

Persistent link: https://www.econbiz.de/10010984712

Weltweite Organisationen und Gremien im Bereich von Währung und Wirtschaft

1997 - Abgeschlossen im April 1997

Persistent link: https://www.econbiz.de/10000629794

The impact of downward rating momentum on credit portfolio risk

Güttler, André; Raupach, Peter - Deutsche Bundesbank - 2008

Rating downgrades are known to make subsequent downgrades more likely. We analyze the impact of this ?downward momentum? on credit portfolio risk. Using S&P ratings from 1996 to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitive to previous...

Persistent link: https://www.econbiz.de/10005082753

Updating the option implied probability of default methodology

Vilsmeier, Johannes - Deutsche Bundesbank - 2014

In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...

Persistent link: https://www.econbiz.de/10011161232

Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios

von Westernhagen, Natalja; Porath, Daniel; Hayden, Evelyn - Deutsche Bundesbank - 2006

Should banks be diversified or focused? Does diversification indeed lead to enhanced performance and, therefore, greater safety for banks, as traditional portfolio and banking theory would suggest? This paper investigates the link between banks? profitability (ROA) and their portfolio...

Persistent link: https://www.econbiz.de/10005082777

The marketability of bank assets and managerial rents: implications for financial stability

Fecht, Falko; Wagner, Wolf - Deutsche Bundesbank - 2007

Ongoing financial innovation and greater information availability increase the tradability of bank assets and reduce banks' dependence on individual bank managers as private information in the lending process declines. In this paper we argue that this has two effects on banks, with opposing...

Persistent link: https://www.econbiz.de/10005082790

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - Deutsche Bundesbank - 2009

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles...

Persistent link: https://www.econbiz.de/10008509634

1
2
3
4
5
6
7
8
9
10
Next
Last