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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
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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
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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 CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European...
Persistent link: https://www.econbiz.de/10010954915
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Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market
Völz, Manja; Wedow, Michael - Deutsche Bundesbank - 2009
This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...
Persistent link: https://www.econbiz.de/10005082758
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Gauging the impact of a low-interest rate environment on German life insurers
Kablau, Anke; Wedow, Michael - Deutsche Bundesbank - 2011
A low interest rate environment can pose a key risk to the life insurance sector. A deteriorating return on investment holdings jeopardizes the guaranteed return on life insurance contracts. In this paper, we examine the effect of low interest rates on German life insurers by applying various...
Persistent link: https://www.econbiz.de/10008923003
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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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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
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Evaluating the German bank merger wave
Koetter, Michael - Deutsche Bundesbank - 2005
German banks experienced a merger wave throughout the 1990s. However, the success of bank mergers remains a continuous matter of debate. In this paper we suggest a taxonomy as how to evaluate post-merger performance on the basis of cost efficiency (CE). We categorise mergers a success that...
Persistent link: https://www.econbiz.de/10005082779
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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/10010535443
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Recovery determinants of distressed banks: Regulators, market discipline, or the environment?
Kick, Thomas; Koetter, Michael; Poghosyan, Tigran - Deutsche Bundesbank - 2010
Based on detailed regulatory intervention data among German banks during 1994-2008, we test if supervisory measures affect the likelihood and the timing of bank recovery. Severe regulatory measures increase both the likelihood of recovery and its duration while weak measures are insignificant....
Persistent link: https://www.econbiz.de/10008595895