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Fundamentals matter: Idiosyncratic shocks and interbank relations
Bednarek, Peter; Dinger, Valeriya; von Westernhagen, Natalja - 2015
Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due...
Persistent link: https://www.econbiz.de/10011414658
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M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements
Tente, Natalia; von Westernhagen, Natalja; Slopek, Ulf - 2017
- built upon a rich, non-linear dependence structure for interconnected bank portfolios. Incorporating numerous sector … model-based combined requirements range between 6.3% and 27.2% of credit RWA depending on the bank. A comparison with the …
Persistent link: https://www.econbiz.de/10011664818
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Do exposures to sagging real estate, subprime or conduits abroad lead to contraction and flight to quality in bank lending at home?
Ongena, Steven; Tümer-Alkan, Günseli; von … - 2015
crisis affect their corporate lending in Germany. Using unique bank-level exposure data, we distinguish between three … different types of bank exposures, i.e. direct exposure to the US real estate sector, direct exposure to subprime lenders in the …-region combinations with lower insolvency ratios. Hence possible losses abroad shift bank lending at home, and the size of this effect …
Persistent link: https://www.econbiz.de/10011279508
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M-Press-CreditRisk : A Holistic Micro- and Macroprudential Approach to Capital Requirements
Tente, Natalia - 2017
- built upon a rich, non-linear dependence structure for interconnected bank portfolios. Incorporating numerous sector … model-based combined requirements range between 6.3% and 27.2% of credit RWA depending on the bank. A comparison with the …
Persistent link: https://www.econbiz.de/10012953401
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Fundamentals Matter : Idiosyncratic Shocks and Interbank Relations
Bednarek, Peter - 2016
banks to roll over their interbank debt was not due to a failure of the interbank market per se but rather to bank specific … shocks affecting banks' capital, liquidity and credit quality as well as revised bank-level risk perceptions. Relationship …
Persistent link: https://www.econbiz.de/10012988655
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Do Exposures to Sagging Real Estate, Subprime or Conduits Abroad Lead to Contraction and Flight to Quality in Bank Lending at Home?
Ongena, Steven - 2016
crisis affect their corporate lending in Germany. Using unique bank-level exposure data, we distinguish between three … different types of bank exposures, i.e. direct exposure to the US real estate sector, direct exposure to subprime lenders in the …-region combinations with lower insolvency ratios. Hence possible losses abroad shift bank lending at home, and the size of this effect …
Persistent link: https://www.econbiz.de/10012988695