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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach

Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - Deutsche Bundesbank - 2009

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

Persistent link: https://www.econbiz.de/10005082793

Investor fears and risk premia for rare events

Schwarz, Claudia - Deutsche Bundesbank - 2014

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...

Persistent link: https://www.econbiz.de/10010957155

A note on the coefficient of determination in regression models with infinite-variance variables

Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2007

providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with infinite …

Persistent link: https://www.econbiz.de/10005083093

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - Deutsche Bundesbank - 2009

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles...

Persistent link: https://www.econbiz.de/10008509634

Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan

Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - Deutsche Bundesbank - 2010

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...

Persistent link: https://www.econbiz.de/10008595896

Estimation of linear dynamic panel data models with time-invariant regressors

Kripfganz, Sebastian; Schwarz, Claudia - Deutsche Bundesbank - 2013

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …

Persistent link: https://www.econbiz.de/10010957091

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

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - Deutsche Bundesbank - 2008

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...

Persistent link: https://www.econbiz.de/10005082747

Dominating estimators for the global minimum variance portfolio

Frahm, Gabriel; Memmel, Christoph - Deutsche Bundesbank - 2009

Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return are derived. The presented results hold for any number of observations n = d 2 and number of assets d = 4. The...

Persistent link: https://www.econbiz.de/10005082766

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