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Banks' Strategic Interaction, Adverse Price Dynamics and Systemic Liquidity Risk
Krüger, Ulrich; Roling, Christoph; Silbermann, Leonid; … - 2022
In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …
Persistent link: https://www.econbiz.de/10013294816
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Gauging the Impact of a Low-Interest Rate Environment on German Life Insurers
Wedow, Michael - 2011
A low interest rate environment can pose a key risk to the life insurance sector. A deteriorating return on investment holdings jeopardizes the guaranteed return on life insurance contracts. In this paper, we examine the effect of low interest rates on German life insurers by applying various...
Persistent link: https://www.econbiz.de/10013127896
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Interbank Risk Assessment – A Simulation Approach
Jager, Maximilian - 2020
We introduce a novel simulation-based network approach, which provides full-fledged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...
Persistent link: https://www.econbiz.de/10012836322
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Financial Stability Committees and the Countercyclical Capital Buffer
Edge, Rochelle M. - 2020
Multi-agency financial stability committees (FSCs) have grown dramatically since the global financial crisis. However, most cannot direct actions or recommend to other agencies that they take actions, and most would influence policy actions only through convening and discussing risks. We...
Persistent link: https://www.econbiz.de/10012839230
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Interest Rate Shocks, Competition and Bank Liquidity Creation
Kick, Thomas K. - 2022
We study the effects of interest rate shocks (IRS) on banks' liquidity creation. A unique supervisory data set from the … Deutsche Bundesbank allows identifying banks' liquidity creation for the real economy and the effects of banking market … model. We find that higher individual pricing power in the market lowers banks' liquidity creation, which is in line with …
Persistent link: https://www.econbiz.de/10013289894
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What are the Real Effects of Financial Market Liquidity? Evidence on Bank Lending from the Euro Area
Dombret, Andreas - 2019
We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the …
Persistent link: https://www.econbiz.de/10012898118
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Model and estimation risk in credit risk stress tests
Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
Persistent link: https://www.econbiz.de/10011984936
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The rollout of internal credit risk models: Implications for the novel partial-use philosophy
Schlam, Carina; Woyand, Corinna - 2023
The novel partial-use philosophy by the Basel Committee on Banking Supervision initiates a paradigm shift for banks, allowing them to permanently partially apply the internal ratings-based approach (IRBA) and not having to fully roll it out across the overall bank anymore. This raises the...
Persistent link: https://www.econbiz.de/10014000476
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Model and Estimation Risk in Credit Risk Stress Tests
Grundke, Peter - 2019
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
Persistent link: https://www.econbiz.de/10012889015
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The Rollout of Internal Credit Risk Models : Implications for the Novel Partial-Use Philosophy
Schlam, Carina; Woyand, Corinna - 2023
The novel partial-use philosophy by the Basel Committee on Banking Supervision initiates a paradigm shift for banks, allowing them to permanently partially apply the internal ratings-based approach (IRBA) and not having to fully roll it out across the overall bank anymore. This raises the...
Persistent link: https://www.econbiz.de/10014256408