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Many a Little Makes a Mickle : Macro Portfolio Stress Test for Small and Medium-Sized German Banks

Busch, Ramona - 2016

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...

Persistent link: https://www.econbiz.de/10012988681

Banks' Net Interest Margin and the Level of Interest Rates

Busch, Ramona - 2016

An increase in the level of interest rates is said to have a negative impact on banks' net interest margins in the short run. Using a time series of more than 40 years for the German banking system, we show that the opposite effect exists in the long run, where an increase in the level of...

Persistent link: https://www.econbiz.de/10012988690

Determinants of the Interest Rate Pass-Through of Banks : Evidence from German Loan Products

Schlueter, Tobias - 2016

products. We find that a bank's operational efficiency is priced in bank loan rates and alters interest-setting behavior … frontier analysis to comprehensively capture cost efficiency, we take the bank customers' perspective and demonstrate the …. Specifically, we establish that a higher degree of operational efficiency leads to lower loan markups, which involve more …

Persistent link: https://www.econbiz.de/10012988811