Similar Search Results

On the exposure of insurance companies to sovereign risk : portfolio investments and market forces

Düll, Robert; König, Felix; Ohls, Jana - 2015

risk. This paper focuses on the transmission of sovereign risk to insurance companies as some of the largest institutional … investors in the sovereign bond market. We use a firm level panel dataset that covers large insurance companies, banks and non … reflected in current insurance regulation (incl. upcoming Solvency II in Europe). …

Persistent link: https://www.econbiz.de/10011373080

The credit quality channel : modeling contagion in the interbank market

Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...

Persistent link: https://www.econbiz.de/10011381702

Out of sight, out of mind? : on the risk of sub-custodian structures

Droll, Thomas; Podlich, Natalia; Wedow, Michael - 2015

We analyse sub-custodian chains using a unique data set from a survey. Our key question is whether there is any evidence for moral hazard in the delegation of asset safe-keeping to sub-custodians. Sub-custodian chains can be relatively long and frequently reach across several countries. The risk...

Persistent link: https://www.econbiz.de/10011334614

Spillover effects of credit default risk in the euro area and the effects on the euro : a GVAR approach

Bettendorf, Timo - 2016

During the 2008 financial crisis, increasing risk and spillovers became a main concern for policy makers and banks. In addition, changes in sovereign and bank risk are believed to have had strong effects on world-wide exchange rates. This paper aims to analyze these dynamics empirically. We...

Persistent link: https://www.econbiz.de/10011549749

Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

Persistent link: https://www.econbiz.de/10010471858

Which banks are more risky? : the impact of loan growth and business model on bank risk-taking

Köhler, Matthias - 2012

In this paper, we analyze the impact of loan growth and business model on bank risk in 15 EU countries. In contrast to the literature, we include a large number of unlisted banks in our sample which represent the majority of banks in the EU. We show that banks with high rates of loan growth are...

Persistent link: https://www.econbiz.de/10009674780

Open insurance : accessing and sharing insurance-related data

EIOPA - 2021

Persistent link: https://www.econbiz.de/10012543007

Determinants of bank interest margins : impact of maturity transformation

Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price...

Persistent link: https://www.econbiz.de/10009572494

Stress testing German banks against a global cost-of-capital shock

Düllmann, Klaus; Kick, Thomas - 2012

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

Executive board composition and bank risk taking

Berger, Allen N.; Kick, Thomas; Schaeck, Klaus - 2012

Little is known about how socioeconomic characteristics of executive teams affect corporate governance in banking. Exploiting a unique dataset, we show how age, gender, and education composition of executive teams affect risk taking of financial institutions. First, we establish that age,...

Persistent link: https://www.econbiz.de/10009509092

1
2
3
4
5
6
7
8
9
10
Next
Last