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Fundamentals matter : idiosyncratic shocks and interbank relations

Bednarek, Peter; Dinger, Valeriya; Westernhagen, Natalja von - 2015

shocks affecting banks’ capital, liquidity and credit quality as well as revised banklevel risk perceptions. Relationship …

Persistent link: https://www.econbiz.de/10011414244

Coordination failures, bank runs and asset prices

Bucher, Monika; Dietrich, Diemo; Tvede, Mich - 2018

We study efficiency properties of competitive economies in which banks provide liquidity insurance and interact on …

Persistent link: https://www.econbiz.de/10011903708

Interbank risk assessment : a simulation approach

Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020

up to four contagion defaults could occur due to an exogenous shock, the system-wide 99.9% VaR barely exceeds 1.5% of …

Persistent link: https://www.econbiz.de/10012201789

Anatomy of the medical innovation process : what are the consequences of replicability issues on innovation?

Blandinieres, Florence - 2019

This paper is concerned with exploring the implications of replicability issues over the medical innovation process. Each research setting is characterized by a specific level of replicability, variability increasing with the complexity of the testing settings. The study introduces new measures...

Persistent link: https://www.econbiz.de/10011992481

Real interest rates, bank borrowing, and fragility

Ahnert, Toni; Anand, Kartik; König, Philipp Johann - 2022

How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable assets with the cost of greater risk of a run by bank...

Persistent link: https://www.econbiz.de/10013460206

International banking and liquidity risk transmission : lessons from across countries

Buch, Claudia M.; Goldberg, Linda S. - 2014

financial crisis. Yet, we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through … studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …

Persistent link: https://www.econbiz.de/10010393856

The transmission of sectoral shocks across the innovation network

Fons-Rosen, Christian; Pu, Zhaoxin - 2020

the competition shock to the European textile sector, triggered by the 2001 removal of import quotas on Chinese textiles …

Persistent link: https://www.econbiz.de/10012150167

Updating the option implied probability of default methodology

Vilsmeier, Johannes - 2014

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...

Persistent link: https://www.econbiz.de/10010471968

Die Gründungsdynamik in technologieorientierten Industrien : eine Analyse der IAB-Beschäftigtenstatistik

Nerlinger, Eric A. - 1995

During the last years more and more discussions came up about the contribution of technology-oriented and technology-intensive industries for the economic development and employment. One reason for these contradictory evaluations of technology-intensive industries can be attributed to different...

Persistent link: https://www.econbiz.de/10011620522

Portfolio liquidation under factor uncertainty

Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...

Persistent link: https://www.econbiz.de/10012500352