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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

Updating the option implied probability of default methodology

Vilsmeier, Johannes - Deutsche Bundesbank - 2014

In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...

Persistent link: https://www.econbiz.de/10011161232

The stable long-run CAPM and the cross-section of expected returns

Kim, Jeong-Ryeol - Deutsche Bundesbank - 2002

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

Persistent link: https://www.econbiz.de/10005083064

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

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10005083101

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

Does it pay to have friends? Social ties and executive appointments in banking

Berger, Allen N.; Kick, Thomas; Koetter, Michael; … - Deutsche Bundesbank - 2011

Social capital theory predicts individuals establish social ties based on homophily, i.e., affinities for similar others. We exploit a unique sample to analyze how similarities and social ties affect career outcomes in banking based on age, education, gender, and employment history to examine if...

Persistent link: https://www.econbiz.de/10010954916

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

Restructuring counterparty credit risk

Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013

We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...

Persistent link: https://www.econbiz.de/10010957120

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

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