Showing 1 - 10 of 268
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
Recent regulatory efforts aim at lowering the cyclicality of bank lending because of its potential detrimental effects …
Persistent link: https://www.econbiz.de/10011391616
We investigate how the lending activities of a multinational bank’s affiliates located abroad are affected by funding … a disadvantage in the crisis, as inter-bank and capital markets froze. Besides, the more an affiliate abroad takes … recourse to intra-bank funding in the crisis, the more it becomes dependent on a stable deposit and long-term wholesale funding …
Persistent link: https://www.econbiz.de/10009625687
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
In this paper, we report a descriptive investigation of the structural evolution of two of the most important over-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the German large credit register between 2002 and...
Persistent link: https://www.econbiz.de/10010405454
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
This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the … for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for …
Persistent link: https://www.econbiz.de/10009572494
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
financial institutions. First, we establish that age, gender, and education jointly affect the variability of bank performance …
Persistent link: https://www.econbiz.de/10009509092
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