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Does Greater Transparency Discipline the Loan Loss Provisioning of Privately Held Banks?
Bischof, Jannis - 2020
We investigate the relationship between the transparency of loan loss provision disclosures and the provisioning … mandatory disclosures of loan loss provisions. Using proprietary data provided by the national supervisor, we are able to … loss provisions to a lesser extent for income smoothing once they are required to disclose their accounting choice. At the …
Persistent link: https://www.econbiz.de/10012826235
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The Role of Non-Performing Loans for Bank Lending Rates
Bredl, Sebastian - 2019
tends to be offset by loan loss reserves. Although the NPL stock affects banks' idiosyncratic funding costs as well, the …
Persistent link: https://www.econbiz.de/10012894494
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Implications of Bank Regulation for Loan Supply and Bank Stability : A Dynamic Perspective
Bucher, Monika - 2019
A bank's decision on loan supply and capital structure determines its immediate bankruptcy risk as well as the future availability of internal funds. These internal funds in turn determine a bank's future costs of external finance and future vulnerability to bankruptcy risks. We study these...
Persistent link: https://www.econbiz.de/10012897598
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Time-Varying Capital Requirements and Disclosure Rules : Effects on Capitalization and Lending Decisions
Imbierowicz, Björn - 2019
We investigate how banks' capital and lending decisions respond to changes in bankspecific capital and disclosure requirements. We find that an increase in the bankspecific regulatory capital requirement results in a higher bank capital ratio, brought about via less asset risk. A decrease in the...
Persistent link: https://www.econbiz.de/10012898455
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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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Stress Testing the German Mortgage Market
Barasinska, Nataliya - 2019
to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …
Persistent link: https://www.econbiz.de/10012866310
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Interest and Credit Risk Management in German Banks : Evidence From a Quantitative Survey
Drager, Vanessa - 2020
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...
Persistent link: https://www.econbiz.de/10012841281
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Central Bank Funding and Credit Risk-Taking
Bednarek, Peter - 2020
This paper examines the relationship between central bank funding and credit risk-taking. Employing comprehensive bank-firm-level data from the German credit registry during 2009:Q1-2014:Q4, we find that borrowing from the central bank is associated with rebalancing of bank portfolios towards...
Persistent link: https://www.econbiz.de/10012826749
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Quantitative Easing, Safe Asset Scarcity and Bank Lending
Tischer, Johannes - 2022
The Eurosystem's Public Sector Purchase Programme (PSPP) increased the scarcity of safe assets, which caused significant declines and substantial dispersion in European repo rates. However, banks holding these safe assets benefited from this development: First, using the German security...
Persistent link: https://www.econbiz.de/10013313459
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Banks' Credit Losses and Lending Dynamics
Raupach, Peter; Memmel, Christoph - 2021
Using detailed data of all German banks, we find that banks which have suffered heavy credit losses reduce their corporate lending business by 1.32 euro for each euro lost; with 95% confidence, the effect is between 0.85 and 1.80 euros. This sensitivity is in line with (quite heterogeneous)...
Persistent link: https://www.econbiz.de/10013313540