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Rates of return and early retirement disincentives : evidence from a German pension reform
Lüthen, Holger - 2014
undergoing fundamental reforms in many Western countries. Starting with cohort 1937, Germany introduced permanent pension …
Persistent link: https://www.econbiz.de/10010362934
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Determinants of bank interest margins : impact of maturity transformation
Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012
This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price...
Persistent link: https://www.econbiz.de/10009572494
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Stress testing German banks against a global cost-of-capital shock
Düllmann, Klaus; Kick, Thomas - 2012
capital for firms worldwide on three particularly export-oriented industry sectors in Germany. Second, the impact of this …
Persistent link: https://www.econbiz.de/10009509091
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Executive board composition and bank risk taking
Berger, Allen N.; Kick, Thomas; Schaeck, Klaus - 2012
Little is known about how socioeconomic characteristics of executive teams affect corporate governance in banking. Exploiting a unique dataset, we show how age, gender, and education composition of executive teams affect risk taking of financial institutions. First, we establish that age,...
Persistent link: https://www.econbiz.de/10009509092
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011391709
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Early warning indicators for the German banking system : a macroprudential analysis
Jahn, Nadya; Kick, Thomas - 2012
Over the past two decades, Germany experienced several periods of banking system instability rather than full … based on information on all financial institutions in Germany between 1995 and 2010. Explaining this measure by means of …
Persistent link: https://www.econbiz.de/10009656141
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Potential implications of a NSFR on German banks' credit supply and profitability
Schmitt, Matthias; Schmaltz, Christian - 2016
We study how a Net Stable Funding Ratio as defined by the Basel Committee in 2014 (NSFR (2014)) would affect the profitability of German banks and their capacity to lend. With a NSFR-model that is partially calibrated against reported NSFRs, we find that 9% of German banks do not comply with the...
Persistent link: https://www.econbiz.de/10011541056
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International banking and liquidity risk transmission : lessons from across countries
Buch, Claudia M.; Goldberg, Linda S. - 2014
Activities of international banks have been at the core of discussions on the causes and effects of the international financial crisis. Yet, we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through international banks, including the reasons for...
Persistent link: https://www.econbiz.de/10010393856
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Does Social Security Privatization Produce Efficiency Gains?
Nishiyama, Shinichi - 2005
, privatization reduces efficiency by about $5,600 per future household despite improved labor supply incentives … matching actually harms efficiency. However, increasing the progressivity of the remaining traditional system is very effective … at restoring risk sharing, thereby allowing partial privatization to produce efficiency gains of $2,700 per future …
Persistent link: https://www.econbiz.de/10012467055
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Interest rate risk and the Swiss solvency test
Eder, Armin; Keiler, Sebastian; Pichl, Hannes - 2013
In this paper, we present a new approach to measuring interest rate risk for insurers within the Swiss Solvency Test, which overcomes the shortcomings of the standard model. The standard model of the Swiss Solvency Test is based on more interest rate risk factors than are actually needed to...
Persistent link: https://www.econbiz.de/10010202889