Narrow search
Showing 1 - 10 of 234
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
Improvements in rating models for the German corporate sector
Förstemann, Till - Deutsche Bundesbank - 2011
Group-specific estimations can significantly improve the predictive power of accountingbased rating models. This is shown using a binary logistic regression model applied to the Deutsche Bundesbank's USTAN dataset, which contains 300,000 financial statements provided by German companies for the...
Persistent link: https://www.econbiz.de/10009323134
Cover Image
Systemic risk contributions: a credit portfolio approach
Düllmann, Klaus; Puzanova, Natalia - Deutsche Bundesbank - 2011
) risk contributions are calculated based on partial derivatives of the ES in order to ensure a full risk allocation among …
Persistent link: https://www.econbiz.de/10009024636
Cover Image
Cross-border liquidity, relationships and monetary policy: Evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - Deutsche Bundesbank - 2014
stronger in the sovereign debt crisis. Moreover, the interbank market - unlike other credit markets - allows to exploit the … price dispersion from different lenders on identical credit contracts, i.e. overnight uncollateralized loans in the same …
Persistent link: https://www.econbiz.de/10011161234
Cover Image
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 … allocation. …
Persistent link: https://www.econbiz.de/10010957120
Cover Image
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 … economic multi-sector stress on banks' credit portfolios is captured by a state-of-theart CreditMetrics-type portfolio model … with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us …
Persistent link: https://www.econbiz.de/10010957110
Cover Image
Catharsis - The real effects of bank insolvency and resolution
Korte, Josef - Deutsche Bundesbank - 2013
, depositors, and regulators in connection with bank insolvency may corrupt banks' credit allocation and monitoring decisions … incentive system and provide for economically superior credit allocation and monitoring. We test the hypothesis that regulatory … 'catharsis effect', we find that it essentially works through benefiting better quality firms and reallocating credit towards …
Persistent link: https://www.econbiz.de/10010957115
Cover Image
Market timing, maturity mismatch, and risk management: Evidence from the banking industry
Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - Deutsche Bundesbank - 2013
We investigate financial intermediaries' interest rate risk management as the simultaneous decision of on-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher likelihood of bank distress makes banks reduce...
Persistent link: https://www.econbiz.de/10010957157
Cover Image
Creditor concentration: an empirical investigation
Ongena, Steven; Tümer-Alkan, Günseli; von … - Deutsche Bundesbank - 2007
Most of the literature addressing multiple banking assumes equal financing shares. However, unequal, concentrated or asymmetric bank borrowing is widespread. This paper investigates the determinants of creditor concentration for German firms using a comprehensive bank-firm level dataset for the...
Persistent link: https://www.econbiz.de/10005082749
Cover Image
Efficient, profitable and safe banking: an oxymoron? Evidence from a panel VAR approach
Koetter, Michael; Porath, Daniel - Deutsche Bundesbank - 2007
Efficiency is considered a key factor when evaluating a bank's performance. Moreover, efficiency enhancement is an explicit policy objective in the Single Market Directive of the European Commission. But efficiency improvements may come at the expense of deteriorating bank profits and excessive...
Persistent link: https://www.econbiz.de/10005082751