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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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Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios
von Westernhagen, Natalja; Porath, Daniel; Hayden, Evelyn - Deutsche Bundesbank - 2006
Should banks be diversified or focused? Does diversification indeed lead to enhanced performance and, therefore, greater safety for banks, as traditional portfolio and banking theory would suggest? This paper investigates the link between banks? profitability (ROA) and their portfolio...
Persistent link: https://www.econbiz.de/10005082777
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The marketability of bank assets and managerial rents: implications for financial stability
Fecht, Falko; Wagner, Wolf - Deutsche Bundesbank - 2007
Ongoing financial innovation and greater information availability increase the tradability of bank assets and reduce banks' dependence on individual bank managers as private information in the lending process declines. In this paper we argue that this has two effects on banks, with opposing...
Persistent link: https://www.econbiz.de/10005082790
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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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Contingent convertible bonds and the stability of bank funding: The case of partial writedown
Bleich, Dirk - Deutsche Bundesbank - 2014
This paper adds to the growing body of literature on the design of Contingent Convertible Bonds (CoCos). We discuss how the design of the loss absorption mechanism affects the stability of bank funding and distinguish between Conversion-to-Equity (CE) CoCos, Principal WriteDown (PWD) CoCos with...
Persistent link: https://www.econbiz.de/10011093852
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Maturity shortening and market failure
Thierfelder, Felix - Deutsche Bundesbank - 2012
Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up … during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …
Persistent link: https://www.econbiz.de/10010957159
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Maturity shortening and market failure
Thierfelder, Felix - Deutsche Bundesbank - 2012
Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up … during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …
Persistent link: https://www.econbiz.de/10010535438
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Rollover risk in commercial paper markets and firms' debt maturity choice
Thierfelder, Felix - Deutsche Bundesbank - 2008
should market liquidity dry up. In a first step, this paper explains why high quality firms introduce a maturity mismatch …
Persistent link: https://www.econbiz.de/10005058998
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War on cash : is there a future for cash? : International Cash Conference : 25 - 27 April 2017, Island of Mainau, Germany
International Cash Conference <2017, Mainau>; Deutsche … - 2016
Persistent link: https://www.econbiz.de/10011730970
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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