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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

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

Does modeling framework matter? A comparative study of structural and reduced-form models

Gündüz, Yalin; Uhrig-Homburg, Marliese - Deutsche Bundesbank - 2011

This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input...

Persistent link: https://www.econbiz.de/10009024637

A network analysis of the evolution of the German interbank market

Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - Deutsche Bundesbank - 2014

-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the … little or no impact of the 2008 crisis on the structure of credit market. The derivative market however exhibits a peak of …

Persistent link: https://www.econbiz.de/10010957124

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 swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...

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

Bilanzunwirksame Geschäfte deutscher Banken

Deutsche Bundesbank - Frankfurt, M. : Bank - 1995,Febr.; 1997 - 1998; damit Ersch. eingest.

Persistent link: https://www.econbiz.de/10000640501

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

regulation, recovery and resolution, and risk culture. …

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

Regulation, credit risk transfer with CDS, and bank lending

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

interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk …-sensitive way: Compared to a situation without regulation the optimal volume of loans decreases more as the riskiness of …

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

International banking and liquidity risk transmission: Lessons from across countries

Buch, Claudia M.; Goldberg, Linda - Deutsche Bundesbank - 2014

financial crisis. Yet, we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through … studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …

Persistent link: https://www.econbiz.de/10010957099