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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
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How is the low-interest-rate environment affecting the solvency of German life insurers?
Kablau, Anke; Weiß, Matthias - Deutsche Bundesbank - 2014
Life insurance companies are affected directly by the impact of the low-interestrate environment. To fulfil promised … funds requirements. This points to a potential solvency risk in the life insurance industry. …
Persistent link: https://www.econbiz.de/10011093842
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Wie wirkt sich das Niedrigzinsumfeld auf die Solvabilität der deutschen Lebensversicherer aus?
Kablau, Anke; Weiß, Matthias - Deutsche Bundesbank - 2014
Life insurance companies are affected directly by the impact of the low-interestrate environment. To fulfil promised … funds requirements. This points to a potential solvency risk in the life insurance industry. …
Persistent link: https://www.econbiz.de/10011093843
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Interest rate risk and the Swiss solvency test
Eder, Armin; Keiler, Sebastian; Pichl, Hannes - Deutsche Bundesbank - 2013
In this paper, we present a new approach to measuring interest rate risk for insurers within the Swiss Solvency Test, which overcomes the shortcomings of the standard model. The standard model of the Swiss Solvency Test is based on more interest rate risk factors than are actually needed to...
Persistent link: https://www.econbiz.de/10010957135
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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
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Corporate finance in Germany and France : a joint research project of the Deutsche Bundesbank and the Banque de France
Sauvé, Annie (ed.); Scheuer, Manfred (contributor);  … - 1999
Persistent link: https://www.econbiz.de/10001412017
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Is proprietary trading detrimental to retail investors?
Fecht, Falko; Hackethal, Andreas; Karabulut, Yigitcan - Deutsche Bundesbank - 2013
We study a conflict of interest faced by universal banks that conduct proprietary trading alongside their retail banking services. Our dataset contains the stock holdings of each and every German bank and of their corresponding retail clients. We investigate (i) whether banks deliberately push...
Persistent link: https://www.econbiz.de/10010957122
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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 concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...
Persistent link: https://www.econbiz.de/10010984712
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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,...
Persistent link: https://www.econbiz.de/10005082774
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Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios
von Westernhagen, Natalja; Porath, Daniel; Hayden, Evelyn - Deutsche Bundesbank - 2006
, greater safety for banks, as traditional portfolio and banking theory would suggest? This paper investigates the link between …
Persistent link: https://www.econbiz.de/10005082777