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Memmel, Christoph - 2018

bank-level data for German banks, we find evidence that a bank's exposure to interest rate risk depends on its presumed … optimization horizon. The longer the presumed optimization horizon is, the more the bank is exposed to interest rate risk in its … exposure to interest rate risk. The more a bank is exposed to the risk of a decline in the interest rate level, the higher its …

Persistent link: https://www.econbiz.de/10012930941

The Role of Structural Funding for Stability in the German Banking Sector

Schupp, Fabian; Silbermann, Leonid - 2021

We analyze whether, and if so by how much, stable funding would have contributed to the financial soundness of German banks in the time period between 1995 and 2013, before the Basel III liquidity regulation to address excessive maturity mismatches in the wake of the financial crisis via the Net...

Persistent link: https://www.econbiz.de/10013315470

International Banking and Cross-Border Effects of Regulation : Lessons from Germany

Ohls, Jana - 2016

We analyze the inward and outward transmission of regulatory changes through German banks' (international) loan portfolio. Overall, our results provide evidence for international spillovers of prudential instruments, these spillovers are however quite heterogeneous between types of banks and can...

Persistent link: https://www.econbiz.de/10012981901

How central is central counterparty clearing? A deep dive into a European repo market during the crisis

Ebner, André; Fecht, Falko; Schulz, Alexander - 2016

Repo markets offering central counterparty (CCP) clearing and anonymized trading were remarkably resilient during the recent crises. We use the full transaction level dataset on all repo trades on Eurex Repo, including identifiers for market participants, to provide a detailed description of the...

Persistent link: https://www.econbiz.de/10011483425

How Central is Central Counterparty Clearing? A Deep Dive into a European Repo Market During the Crisis

Ebner, André - 2016

Persistent link: https://www.econbiz.de/10012988631

Banks' net interest margin and the level of interest rates

Busch, Ramona; Memmel, Christoph - 2015

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/10011291862

Multinational banks' deleveraging in the crisis driven by pre-crisis characteristics and behavior

Frey, Rainer - 2015

After the collapse of Lehman Brothers, a rapid and far-reaching shrinkage of international banks' assets with a focus on foreign claims took place. For the largest 67 German banking groups, we find that both their characteristics and behavior in the pre-crisis episode had repercussions for the...

Persistent link: https://www.econbiz.de/10011301346

Calculating trading book capital: Is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks' internal models for economic capital. Although it is known that joint market and...

Persistent link: https://www.econbiz.de/10011301347

The intraday interest rate: What's that?

Abbassi, Puriya; Fecht, Falko; Tischer, Johannes - 2015

We study the intraday interest rate in a CCP-based GC pooling repo market and its key determinants. Since collateral used in this market is identical to collateral eligible for the daylight overdraft facility of the Eurosystem, any intraday rate in this market cannot be a result of collateral...

Persistent link: https://www.econbiz.de/10011307511

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