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Demographic change and the rate of return in PAYG pension systems

Schön, Matthias - 2020

system. The cohort effect, by contrast, results in winners and losers in PAYG systems. Taking Germany as an example and using …

Persistent link: https://www.econbiz.de/10012313783

Capital regulation, liquidity requirements and taxation in a dynamic model of banking

De Nicolò, Gianni; Gamba, Andrea; Luccetta, Marcella - 2012

an inverted U–shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their … benefits turning into costs beyond a certain threshold. By contrast, liquidity requirements reduce lending, efficiency and … welfare significantly. On taxation, corporate income taxes generate higher government revenues and entail lower efficiency and …

Persistent link: https://www.econbiz.de/10009528883

Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?

Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015

In the last decade, stress tests have become indispensable in bank risk management which has led to significantly increased requirements for stress tests for banks and regulators. Although the complexity of stress testing frameworks has been enhanced considerably over the course of the last few...

Persistent link: https://www.econbiz.de/10011419593

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...

Persistent link: https://www.econbiz.de/10011299075

A macroeconomic reverse stress test

Grundke, Peter; Pliszka, Kamil - 2015

Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...

Persistent link: https://www.econbiz.de/10011334117

The role of interbank relationships and liquidity needs

Craig, Ben R.; Fecht, Falko; Tümer-Alkan, Günseli - 2013

In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the concentration of credit relationships and the position of a bank in the network topology of the system influence the bank’s ability to meet its liquidity demand. We use quarterly...

Persistent link: https://www.econbiz.de/10010238510

Bank risk taking and competition : evidence from regional banking markets

Kick, Thomas; Prieto, Esteban - 2013

This study investigates the bank competition-stability nexus using a unique regulatory dataset provided by the Deutsche Bundesbank over the period 1994 to 2010. First, we use outright bank defaults as the most direct measure of bank risk available and contrast the results to weaker forms of bank...

Persistent link: https://www.econbiz.de/10009792985

Filling in the blanks : network structure and interbank contagion

Anand, Kartik; Craig, Ben R.; Von Peter, Goetz - 2014

The pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unknown, and maximum entropy serves as the leading method for estimating unobserved counterparty exposures. This paper proposes an efficient alternative that combines...

Persistent link: https://www.econbiz.de/10010249740

Contagious herding and endogenous network formation in financial networks

Georg, Co-Pierre - 2014

When banks choose similar investment strategies, the financial system becomes vulnerable to common shocks. Banks decide about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed from observing the actions of peers. When the social...

Persistent link: https://www.econbiz.de/10010405430

Bank capital, the state contingency of banks’ assets and its role for the transmission of shocks

Kühl, Michael - 2014

The role of bank capital as a propagation channel of shocks is strongly pronounced in recent macroeconomic models. In this paper, we show how the evolution of bank capital depends on the share of non-state-contingent assets in banks’ balance sheets and present the consequences for...

Persistent link: https://www.econbiz.de/10010415785

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