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CDS Spreads and Systemic Risk : A Spatial Econometric Approach

Keiler, Sebastian - 2016

This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...

Persistent link: https://www.econbiz.de/10012988801

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 … liquidity. For the price of liquidity, we find that in the run-up to the recent financial crisis of 2007/08 relationship lenders …

Persistent link: https://www.econbiz.de/10012988824

The Role of Interbank Relationships and Liquidity Needs

Craig, Ben R. - 2016

In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …'s willingness to pay for liquidity since they had variable rate tenders with a 'pay-your-bid' price. Controlling for bank …

Persistent link: https://www.econbiz.de/10012988757

Koziol, Christian - 2016

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10012988732

The Common Drivers of Default Risk

Memmel, Christoph - 2016

Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data set includes the volume of loans per bank and industry as well as the corresponding write-downs. Our empirical study for the period 2003-2011 yields the following results: (i)...

Persistent link: https://www.econbiz.de/10012988803

A network analysis of the evolution of the German interbank market

Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - 2014

-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …

Persistent link: https://www.econbiz.de/10010409361

Interbank Intermediation

Bluhm, Marcel - 2016

This paper explores the economics of interbank lending and borrowing using bank-balance sheet data for Germany, the largest European economy. Our 2002 - 2014 panel data set allows us to analyze the cross section and the dynamics of the observed interbank exposures. Our findings suggest a genuine...

Persistent link: https://www.econbiz.de/10012988627

Centrality-Based Capital Allocations

Alter, Adrian - 2016

We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....

Persistent link: https://www.econbiz.de/10012988702

Robustness and Informativeness of Systemic Risk Measures

Löffler, Gunter - 2016

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 expected shortfall, and option-based tail risk...

Persistent link: https://www.econbiz.de/10012988798

Drivers of Systemic Risk : Do National and European Perspectives Differ?

Buch, Claudia M.; Krause, Thomas; Tonzer, Lena - 2021

In Europe, the financial stability mandate generally rests at the national level. But there is an important exception. Since the establishment of the Banking Union in 2014, the European Central Bank (ECB) can impose stricter regulations than the national regulator. The precondition is that the...

Persistent link: https://www.econbiz.de/10013315459

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