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Loan Loss Provisioning and Procyclicality : Evidence from an Expected Loss Model
Domikowsky, Christian - 2016
Several studies have addressed, with conflicting results, the issue of procyclical effects of loan loss provisions in … the past. More recently, the weak performance of incurred loss models in the financial crisis has given rise to a new … expected loss model in IFRS 9. This study contributes to the extant literature by separately analyzing the cyclical effects of …
Persistent link: https://www.econbiz.de/10012988711
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Regulation, Credit Risk Transfer with CDS, and Bank Lending
Pausch, Thilo - 2016
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...
Persistent link: https://www.econbiz.de/10012988772
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Credit Portfolio Modelling and its Effect on Capital Requirements
Bulbul, Dilek - 2016
The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...
Persistent link: https://www.econbiz.de/10012988834
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Diversification and Determinants of International Credit Portfolios : Evidence from German Banks
Böninghausen, Benjamin - 2016
This paper examines the international credit portfolios of German banks. We construct a bank-country panel from a unique dataset for a representative set of countries and ask why banks leave diversification opportunities unexploited in some countries. Controlling for bank heterogeneity, we...
Persistent link: https://www.econbiz.de/10012988810
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Relationship Lending in the Interbank Market and the Price of Liquidity
Bräuning, Falk - 2016
This paper empirically investigates the effect of interbank relationship lending on banks' access to liquidity. Our analysis is based on German interbank payment data which we use to create a panel of unsecured overnight loans between 1079 distinct borrower-lender pairs. The data shows that...
Persistent link: https://www.econbiz.de/10012988824
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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...
Persistent link: https://www.econbiz.de/10010308265
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Securities Trading by Banks and Credit Supply : Micro-Evidence
Abbassi, Puriya - 2016
We analyze securities trading by banks and the associated spillovers to the supply of credit. Empirical analysis has been elusive due to the lack of securities register for banks. We use a unique, proprietary dataset that has the investments of banks at the security level for 2005-2012 in...
Persistent link: https://www.econbiz.de/10012988697
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Pro-Cyclical Capital Regulation and Lending
Behn, Markus - 2016
We use a quasi-experimental research design to examine the effect of model-based capital regulation introduced under the Basel II agreement on the pro-cyclicality of bank lending and firms' access to funds during a recession. In response to an exogenous shock to credit risk in the German...
Persistent link: https://www.econbiz.de/10012988720
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Which Banks are More Risky? The Impact of Loan Growth and Business Model on Bank Risk-Taking
Köhler, Matthias - 2016
In this paper, we analyze the impact of loan growth and business model on bank risk in 15 EU countries. In contrast to the literature, we include a large number of unlisted banks in our sample which represent the majority of banks in the EU. We show that banks with high rates of loan growth are...
Persistent link: https://www.econbiz.de/10012988807
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Determinants of the Interest Rate Pass-Through of Banks : Evidence from German Loan Products
Schlueter, Tobias - 2016
This article examines the loan rate-setting behavior of German banks for a large variety of retail and corporate loan products. We find that a bank's operational efficiency is priced in bank loan rates and alters interest-setting behavior. Specifically, we establish that a higher degree of...
Persistent link: https://www.econbiz.de/10012988811