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Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks
Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015
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/10011307512
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Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?
Koziol, Philipp; Schell, Carmen; Eckhardt, Meik - 2015
In the last decade, stress tests have become indispensable in bank risk management which has led to significantly …
Persistent link: https://www.econbiz.de/10011419995
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Market timing, maturity mismatch, and risk management: Evidence from the banking industry
Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013
likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their …
Persistent link: https://www.econbiz.de/10010332885
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Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans
Dietsch, Michel; Düllmann, Klaus; Fraisse, Henri; … - 2016
Using a unique and comprehensive data set on the two largest economies of the Eurozone - France and Germany - this paper first proceeds to a computation of the Gordy formula relaxing the ad hoc sizedependent constraints of the Basel formulas. Our study contributes to Article 501 of the Capital...
Persistent link: https://www.econbiz.de/10011565216
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Capital regulation, liquidity requirements and taxation in a dynamic model of banking
De Nicolò, Gianni; Gamba, Andrea; Luccetta, Marcella - 2012
This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and … an inverted U-shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their …
Persistent link: https://www.econbiz.de/10010308728
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Evaluation of minimum capital requirements for bank loans to SMEs
Düllmann, Klaus; Koziol, Philipp - 2013
Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to the size dependence of regulatory capital requirements....
Persistent link: https://www.econbiz.de/10010313124
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Catharsis - The real effects of bank insolvency and resolution
Korte, Josef - 2013
, depositors, and regulators in connection with bank insolvency may corrupt banks' credit allocation and monitoring decisions … potential endogeneity which are usually inherent to research into the real economic implications of bank regulation. We find a … dependent on bank financing. Our findings are robust to various specifications. Investigating the transmission channels of the …
Persistent link: https://www.econbiz.de/10010313125
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Stress testing German banks against a global cost-of-capital shock
Duellmann, Klaus; Kick, Thomas - 2012
This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...
Persistent link: https://www.econbiz.de/10010308263
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Maturity shortening and market failure
Thierfelder, Felix - 2012
Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not uniform across maturities. As funding pressures were...
Persistent link: https://www.econbiz.de/10010308262
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Determinants of bank interest margins: Impact of maturity transformation
Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012
This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the … for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for …
Persistent link: https://www.econbiz.de/10010309803