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Slippery slopes of stress: ordered failure events in German banking

Koetter, Michael; Kick, Thomas - Deutsche Bundesbank - 2007

such as warnings and hearings and, third, actions by banking pillar's insurance schemes. Since the four categories of …

Persistent link: https://www.econbiz.de/10005082759

Stress testing German banks against a global cost-of-capital shock

Duellmann, Klaus; Kick, Thomas - Deutsche Bundesbank - 2012

This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...

Persistent link: https://www.econbiz.de/10010957110

Stress testing German banks in a downturn in the automobile industry

Düllmann, Klaus; Erdelmeier, Martin - Deutsche Bundesbank - 2009

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...

Persistent link: https://www.econbiz.de/10005082770

Stress testing German banks against a global cost-of-capital shock

Duellmann, Klaus; Kick, Thomas - Deutsche Bundesbank - 2012

Persistent link: https://www.econbiz.de/10010535441

Empirical risk analysis of pension insurance: the case of Germany

Schmieder, Christian; Reinschmidt, Timo; Mager, Ferdinand; … - Deutsche Bundesbank - 2006

With this paper we seek to contribute to the literature on pension insurance systems. The financial literature tends to … focus exclusively on the US pension insurance system. This is the first major empirical study to address the German … occupational pension insurance (PSVaG) plan in Germany. The study is based on a Merton-type one-factor model, in which we determine …

Persistent link: https://www.econbiz.de/10005059006

Disentangling economic recessions and depressions

Candelon, Bertrand; Metiu, Norbert; Straetmans, Stefan - Deutsche Bundesbank - 2013

We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between...

Persistent link: https://www.econbiz.de/10010957100

Bank risk taking and competition: Evidence from regional banking markets

Kick, Thomas; Prieto, Esteban - Deutsche Bundesbank - 2013

This study investigates the bank competition-stability nexus using a unique regulatory dataset provided by the Deutsche Bundesbank over the period 1994 to 2010. First, we use outright bank defaults as the most direct measure of bank risk available and contrast the results to weaker forms of bank...

Persistent link: https://www.econbiz.de/10010957108

The importance of qualitative risk assessment in banking supervision before and during the crisis

Kick, Thomas; Pfingsten, Andreas - Deutsche Bundesbank - 2011

Banking supervision requires regular inspection and assessment of financial institutions. In Germany this task is carried out by the central bank ('Deutsche Bundesbank, BBK') in cooperation with the Federal Financial Supervisory Authority ('Bundesanstalt für Finanzdienstleistungsaufsicht,...

Persistent link: https://www.econbiz.de/10009277828

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

Catharsis - The real effects of bank insolvency and resolution

Korte, Josef - Deutsche Bundesbank - 2013

In general, banks play a growth-enhancing role for the real economy. However, distorted incentives for banks, depositors, and regulators in connection with bank insolvency may corrupt banks' credit allocation and monitoring decisions, leading to suboptimal real economic outcomes. A rules-based...

Persistent link: https://www.econbiz.de/10010957115