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Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, Weining - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...

Persistent link: https://www.econbiz.de/10009651900

Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency

Hanewald, Katja; Post, Thomas; Gründl, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...

Persistent link: https://www.econbiz.de/10005207946

On the Coexistence of Banks and Markets

Gersbach, Hans; Uhlig, Harald - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

We examine the coexistence of banks and financial markets, studying a credit market where the qualities of investment projects are not observable and the investment decisions of entrepreneurs are not contractible. Standard banks can alleviate moral-hazard problems by securing a portion of a...

Persistent link: https://www.econbiz.de/10005677908

Fair Value Reclassifications of Financial Assets during the Financial Crisis

Bischof, Jannis; Brüggemann, Ulf; Daske, Holger - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

At the peak of the financial crisis in October 2008, the IASB amended IAS 39 to grant companies the option of abandoning fair value recognition for selected financial assets. Using a comprehensive global sample of publicly listed IFRS banks, we find that banks use the reclassification option to...

Persistent link: https://www.econbiz.de/10009651904

The Basel III framework for liquidity standards and monetary policy implementation

Bindseil, Ulrich; Lamoot, Jeroen - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

and in a financial crisis, the treatment of central bank operations in the regulation is obviously important. To ensure … internalisation of liquidity risks (i.e. pricing of liquidity risk) and to address excessive reliance ex ante on central bank … interaction between the two areas can be substantial, depending on the operational and collateral framework of the central bank …

Persistent link: https://www.econbiz.de/10009150015

Liquidity and Capital Requirements and the Probability of Bank Failure

König, Philipp Johann - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

bank’s failure risk solely by means of liquidity requirements. However, their effectiveness can be restored if, in addition …

Persistent link: https://www.econbiz.de/10008552193

Transparency through Financial Claims with Fingerprints – A Free Market Mechanism for Preventing Mortgage Securitization Induced Financial Crises

Gründl, Helmut; Post, Thomas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of 2007–2009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market participants at each stage of the securitization process...

Persistent link: https://www.econbiz.de/10005207947

The Impact of Credit Default Swap Trading on Loan Syndication

Streitz, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015

We analyze the impact of CDS trading on bank syndication activity. Theoretically, the effect of CDS trading is …; on the other hand, CDS trading can reduce bank monitoring incentives. We document that banks are less likely to syndicate …

Persistent link: https://www.econbiz.de/10011196416

Bank Lending Relationships and the Use of Performance-Sensitive Debt

Adam, Tim R.; Streitz, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

. Using a large sample of bank loans, we find a more frequent use of PSD if hold-up is more likely, e.g. if a longterm lending …

Persistent link: https://www.econbiz.de/10010659439

Large Vector Auto Regressions

Song, Song; Bickel, Peter J. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...

Persistent link: https://www.econbiz.de/10009209822