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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the … interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … the Basel II (and III) regulations to “strengthen the soundness and stability of banks”. --Banking ; regulation ; credit …
Persistent link: https://www.econbiz.de/10009509090
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Identifying empty creditors with a shock and micro-data
Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2021
Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect … constrained embed the empty creditor effect into their probability of default estimates of affected firms to a larger extent. So …
Persistent link: https://www.econbiz.de/10012697959
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Many a little makes a mickle : macro portfolio stress test for small and medium-sized German banks
Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015
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
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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific...
Persistent link: https://www.econbiz.de/10010233376
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Stress testing the German mortgage market
Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019
to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of … distributed in the banking system leading, on average, to a 0.4 percentage points reduction in the CET1 ratio over the simulation …
Persistent link: https://www.econbiz.de/10012012997
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Interest and credit risk management in German banks : evidence from a quantitative survey
Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...
Persistent link: https://www.econbiz.de/10012160610
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The impact of natural disasters on banks' impairment flow : evidence from Germany
Shala, Iliriana; Schumacher, Benno - 2022
Climate change causes natural disasters to occur at higher frequency and increased severity. Using a unique dataset on German banks, this paper explores how regionally less diversified banks in Germany adjusted their loan loss provisioning following the severe summer flood of 2013, which...
Persistent link: https://www.econbiz.de/10013370513
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Stress testing German banks against a global cost-of-capital shock
Düllmann, Klaus; Kick, Thomas - 2012
with access to highly granular risk information on loan volumes and banks’ internal estimates of default probabilities … probabilities of default has a significant impact on the outcome of the stress test. -- Asset correlation ; portfolio credit risk …
Persistent link: https://www.econbiz.de/10009509091
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Traditional banks, shadow banks and the US credit boom : credit origination versus financing
Unger, Robert - 2016
the emergence of the shadow banking system. This paper shows that the largest part of the shadow banking system merely … traditional banking sector might be an additional policy instrument to reduce the build-up of systemic risk in the shadow banking …
Persistent link: https://www.econbiz.de/10011456517
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Banks' credit losses and lending dynamics
Raupach, Peter; Memmel, Christoph - 2021
Using detailed data of all German banks, we find that banks which have suffered heavy credit losses reduce their corporate lending business by 1.32 euro for each euro lost; with 95% confidence, the effect is between 0.85 and 1.80 euros. This sensitivity is in line with (quite heterogeneous)...
Persistent link: https://www.econbiz.de/10012651083