Showing 1 - 10 of 185
This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...
Persistent link: https://www.econbiz.de/10009509091
We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...
Persistent link: https://www.econbiz.de/10011308474
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 distress. Second, we control for a wide array of different time …
Persistent link: https://www.econbiz.de/10009792985
We use a unique data set that comprises each bank’s bids in the Eurosystem’s main refinancing operations and its … that a bank’s willingness-to-pay is a good indicator for the probability that this bank draws on the LOLR facility. Our …
Persistent link: https://www.econbiz.de/10010192732
In this paper we relate a bank’s choice between retail and wholesale liabilities to real economic uncertainty and the … resulting volatility of bank loan volumes. We argue that since the volume of retail deposits is slow and costly to adjust to … shocks in the volume of bank assets, banks facing more intense uncertainty and more volatile loan demand tend to employ more …
Persistent link: https://www.econbiz.de/10010192750
In this paper, we analyze the impact of banks' non-interest income share on risk in the German banking sector for the period between 2002 and 2010. Using linear and quantile regression estimators, we find that the impact of non-interest income on risk significantly differs depending on banks’...
Persistent link: https://www.econbiz.de/10009740269
This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and … an inverted U–shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their … welfare costs than taxes on non-deposit liabilities. -- Bank Regulation ; Taxation ; Dynamic Banking Model …
Persistent link: https://www.econbiz.de/10009528883
In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that … regarding the treatment of tail risk. -- Bank regulation ; bank stability ; Basel framework ; crisis ; tail risk …
Persistent link: https://www.econbiz.de/10009528885
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
cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be …
Persistent link: https://www.econbiz.de/10011334117