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The role of structural funding for stability in the German banking sector
Schupp, Fabian; Silbermann, Leonid - 2017
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/10011611255
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International Banking and Liquidity Risk Transmission : Lessons from Across Countries
Buch, Claudia M. - 2016
studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …
Persistent link: https://www.econbiz.de/10012988740
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Uncertainty and Bank Wholesale Funding
Dinger, Valeriya - 2016
In this paper we relate a bank's choice between retail and wholesale liabilities to real economic uncertainty and the resulting volatility of bank loan volumes. We argue that since the volume of retail deposits is slow and costly to adjust to shocks in the volume of bank assets, banks facing...
Persistent link: https://www.econbiz.de/10012988762
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Robustness and Informativeness of Systemic Risk Measures
Löffler, Gunter - 2016
may limit the measures' performance. We generate systemic tail risk through positions in standard index options and …Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed … stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal …
Persistent link: https://www.econbiz.de/10012988798
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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
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Multinational banks' deleveraging in the crisis driven by pre-crisis characteristics and behavior
Frey, Rainer - 2015
risk taking, both high average income and a strong balance sheet expansion in the pre-crisis period are found to be …
Persistent link: https://www.econbiz.de/10011301346
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Calculating trading book capital: Is risk separation appropriate?
Raupach, Peter - 2015
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 credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios - are also affected. There are realistic conditions under which credit risk (represented by ratings …
Persistent link: https://www.econbiz.de/10011301347
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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
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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
combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model …
Persistent link: https://www.econbiz.de/10011307512
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Cutting the credit line: Evidence from Germany
Goldbach, Stefan; Nitsch, Volker - 2015
The massive decline in international trade in 2008/09 is often attributed to the global deterioration in financial conditions after the bankruptcy of a US investment bank, Lehman Brothers. This paper examines the association between external finance and firm activity in Germany in more detail....
Persistent link: https://www.econbiz.de/10011307513