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Comparing the value revelance of R&D reporting in Germany: standard and selection effects
Ramb, Fred; Reitzig, Markus - Deutsche Bundesbank - 2005
a modified Q model, show that the risk of IAS/US-GAAP misinforming investors during "bear market" periods is more …
Persistent link: https://www.econbiz.de/10005083232
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Who do you trust while bubbles grow and blow? A comparative analysis of the explanatory power of accounting and patent information for the market values of German firms
Reitzig, Markus; Ramb, Fred - Deutsche Bundesbank - 2004
We present a theoretical and empirical analysis of the fitness of national German (German Commercial Code - Handelsgesetzbuch (HGB)) and international (IAS and US-GAAP) accounting information, as well as European patent data to explain the market values of German manufacturing firms. For the...
Persistent link: https://www.econbiz.de/10005083258
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The European Systemic Risk Board at 1
Gerlach, Stefan (ed.); Gnan, Ernest (ed.); Ulbrich, Jens (ed.) - Conference on ESRB at 1 <1, 2011, Berlin>; SUERF - The …; … - 2012
models, the measurement and indicators of systemic risk, macroprudential tools and their effectiveness; and to identify …
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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Regulatory capital for market and credit risk interaction: is current regulation always conservative?
Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus; … - Deutsche Bundesbank - 2008
In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat … both categories independently in the calculation of risk capital. In practice positions in a portfolio depend … simultaneously on both market and credit risk factors. In this case, an approximation of the portfolio value function splitting value …
Persistent link: https://www.econbiz.de/10005082774
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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 … assessing the capital adequacy. This paper investigates whether decisions on total risk-based capital ratios are channeled …
Persistent link: https://www.econbiz.de/10010984712
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Determinants for using visible reserves in German banks: an empirical study
Bornemann, Sven; Homölle, Susanne; Hubensack, Carsten; … - Deutsche Bundesbank - 2009
340g HGB. These GBR reserves may, in addition to their risk provisioning function, be used to enhance capital endowment …
Persistent link: https://www.econbiz.de/10008509635
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005083101
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The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany
Fecht, Falko; Wedow, Michael - Deutsche Bundesbank - 2009
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...
Persistent link: https://www.econbiz.de/10008533497
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A "wreckers theory" of financial distress
von Kalckreuth, Ulf - Deutsche Bundesbank - 2005
In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...
Persistent link: https://www.econbiz.de/10005059016