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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

The impact of downward rating momentum on credit portfolio risk

Güttler, André; Raupach, Peter - Deutsche Bundesbank - 2008

Rating downgrades are known to make subsequent downgrades more likely. We analyze the impact of this ?downward momentum? on credit portfolio risk. Using S&P ratings from 1996 to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitive to previous...

Persistent link: https://www.econbiz.de/10005082753

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

Does lowering dividend tax rates increase dividends repatriated?: evidence of intra-firm cross-border dividend repatriation policies by German Multinational Enterprises

Leibrecht, Markus; Bellak, Christian; Wild, Michael - Deutsche Bundesbank - 2009

This paper explores the impact dividend taxes exert on the dividends repatriated from foreign affiliates to their … German parent company. Based on an augmented Lintner model of firms' dividend payout decisions, the paper focusses on cross …-border intra-firm dividend payments of wholly-owned foreign affiliates in the manufacturing sector. Firm-level data from the …

Persistent link: https://www.econbiz.de/10005059018

The Determinants of Venture Capital: Additional Evidence

van Pottelsberghe de la Potterie, Bruno; Romain, Astrid - Deutsche Bundesbank - 2004

This paper attempts to identify and evaluate the main determinants of venture capital (VC). We develop a theoretical model where macroeconomic conditions, technological opportunity, and the entrepreneurial environment affect the demand and supply of VC. The quantitative results, based on a panel...

Persistent link: https://www.econbiz.de/10005083116

The Economic Impact of Venture Capital

van Pottelsberghe de la Potterie, Bruno; Romain, Astrid - Deutsche Bundesbank - 2004

This paper attempts to evaluate the macroeconomic impact of venture capital (VC). We test the assumption that VC is similar in several respects to business R&D performed by large firms and therefore contributes to economic growth through two main channels: innovation and absorptive capacity. The...

Persistent link: https://www.econbiz.de/10005083275

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

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