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Margins of International Banking : Is There a Productivity Pecking Order in Banking, Too?

Buch, Claudia M. - 2016

Modern trade theory emphasizes firm-level productivity differentials to explain the cross-border activities of non-financial firms. This study tests whether a productivity pecking order also determines international banking activities. Using a novel dataset that contains all German banks'...

Persistent link: https://www.econbiz.de/10012989228

Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach

Gaisser, Sandra - 2016

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

Persistent link: https://www.econbiz.de/10012989258

Modelling Dynamic Portfolio Risk Using Risk Drivers of Elliptical Processes

Schmidt, Rafael - 2016

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …

Persistent link: https://www.econbiz.de/10012989295

Heterogeneity in Lending and Sectoral Growth : Evidence from German Bank-Level Data

Buch, Claudia M. - 2016

This paper studies the sectoral and geographical dimensions of the response of bank lending to sectoral growth. We use several bank-level datasets provided by the Deutsche Bundesbank for the 1996-2002 period. Our results show that bank heterogeneity affects how lending responds to domestic...

Persistent link: https://www.econbiz.de/10012989307

The Forecast Ability of Risk-Neutral Densities of Foreign Exchange

Craig, Ben R. - 2016

Persistent link: https://www.econbiz.de/10012989325