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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

Financial frictions and global spillovers

Metiu, Norbert; Hilberg, Björn; Grill, Michael - Deutsche Bundesbank - 2015

vector autoregression that allows us to capture regime-dependent dynamics conditional on the tightness of US credit market … access to credit to one characterized by tight credit whenever the bond risk premium exceeds a critical threshold. US … financial shocks have an insignificant effect on the global economy when borrowers have unconstrained access to credit. On the …

Persistent link: https://www.econbiz.de/10011212003

Restructuring counterparty credit risk

Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013

credit and debit valuation adjustments (CVA and DVA). Depending on how the default contingency is accounted for, we list a …

Persistent link: https://www.econbiz.de/10010957120

Loan supply in Germany during the financial crisis

Busch, Ulrike; Scharnagl, Michael; Scheithauer, Jan - Deutsche Bundesbank - 2010

Distinguishing pure supply effects from other determinants of price and quantity in the market for loans is a notoriously difficult problem. Using German data, we employ Bayesian vector autoregressive models with sign restrictions on the impulse response functions in order to enquire the role of...

Persistent link: https://www.econbiz.de/10008509090

Measuring option implied degree of distress in the US financial sector using the entropy principle

Matros, Philipp; Vilsmeier, Johannes - Deutsche Bundesbank - 2012

their properties are compared to Credit Default Swap Spreads (CDS). Moreover, we also derive an indicator for the systemic …

Persistent link: https://www.econbiz.de/10010957111

The multivariate option iPoD framework: assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - Deutsche Bundesbank - 2014

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

Persistent link: https://www.econbiz.de/10010957132