Narrow search
Showing 1 - 10 of 233
Cover Image
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
Cover Image
Loan loss provisioning and procyclicality: Evidence from an expected loss model
Domikowsky, Christian; Bornemann, Sven; Duellmann, Klaus; … - Deutsche Bundesbank - 2014
Several studies have addressed, with conflicting results, the issue of procyclical effects of loan loss provisions in the past. More recently, the weak performance of incurred loss models in the financial crisis has given rise to a new debate on the sound design of credit risk provisioning...
Persistent link: https://www.econbiz.de/10011124453
Cover Image
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 … via interbank loans and face stochastic deposit supply. Evidence is provided that the central bank stabilizes interbank …
Persistent link: https://www.econbiz.de/10009372146
Cover Image
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
Cover Image
Early warning indicators for the German banking system: A macroprudential analysis
Jahn, Nadya; Kick, Thomas - Deutsche Bundesbank - 2012
Over the past two decades, Germany experienced several periods of banking system instability rather than full-blown banking system crises. In this paper we introduce a continuous and forward-looking stability indicator for the banking system based on information on all financial institutions in...
Persistent link: https://www.econbiz.de/10010957094
Cover Image
International banking and liquidity risk transmission: Lessons from across countries
Buch, Claudia M.; Goldberg, Linda - Deutsche Bundesbank - 2014
Network (IBRN), established in 2012, brings together researchers from around the world with access to micro-data on individual … affects bank lending depends on the whether the banks are drawing on official sector liquidity facilities. Third, liquidity … heterogeneity in the balance sheet characteristics that affect banks' responses to liquidity risk. Overall, bank balance sheet …
Persistent link: https://www.econbiz.de/10010957099
Cover Image
Measuring option implied degree of distress in the US financial sector using the entropy principle
Matros, Philipp; Vilsmeier, Johannes - Deutsche Bundesbank - 2012
We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are...
Persistent link: https://www.econbiz.de/10010957111
Cover Image
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
Cover Image
Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis
Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, Jochen M. - Deutsche Bundesbank - 2013
policymakers' efforts to strengthen bank capitalization. …
Persistent link: https://www.econbiz.de/10010957160
Cover Image
Crises, rescues, and policy transmission through international banks
Buch, Claudia M.; Koch, Cathérine Tahmee; Koetter, Michael - Deutsche Bundesbank - 2011
The World Financial Crisis has shaken the fundamentals of international banking and triggered a downward spiral of …
Persistent link: https://www.econbiz.de/10009283655