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Persuasion by stress testing: Optimal disclosure of supervisory information in the banking sector

Gick, Wolfgang; Pausch, Thilo - Deutsche Bundesbank - 2012

The game-theoretical analysis of this paper shows that stress tests that cover the entire banking sector (macro stress tests) can be performed by institutional supervisors to improve welfare. In a multi-receiver framework of Bayesian persuasion we show that a banking authority can create value...

Persistent link: https://www.econbiz.de/10010957114

Bank regulation and stability: An examination of the Basel market risk framework

Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - Deutsche Bundesbank - 2012

In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....

Persistent link: https://www.econbiz.de/10010957130

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

Is the willingness to take financial risk a sex-linked trait? Evidence from national surveys of household finance

Barasinska, Nataliya; Schäfer, Dorothea - Deutsche Bundesbank - 2013

We investigate whether the willingness to take investment risk is a sex-linked trait and link the results to the country's gender equality regime. Our empirical analysis involves household data on financial asset holdings as well as on self-reported risk tolerance for Austria, Italy, the...

Persistent link: https://www.econbiz.de/10010984745

Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany

Bornemann, Sven; Kick, Thomas; Memmel, Christoph; … - Deutsche Bundesbank - 2010

Section 340f of the German Commercial Code allows banks to provision against the special risks inherent to the banking business by building hidden reserves. Beyond risk provisioning, these reserves are implicitly accepted as an earnings management device. By analyzing financial statements of...

Persistent link: https://www.econbiz.de/10008833258

A single composite financial stress indicator and its real impact in the euro area

Islami, Mevlud; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2013

In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt...

Persistent link: https://www.econbiz.de/10010957158

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

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

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

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...

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

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kim, Jeong-Ryeol - Deutsche Bundesbank - 2003

In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...

Persistent link: https://www.econbiz.de/10005083121

Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept

Knüppel, Malte - Deutsche Bundesbank - 2004

In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of...

Persistent link: https://www.econbiz.de/10005083167