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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 … on European data, we show that risks in sovereign bond portfolios are an important driver of insurer risk, which is not …
Persistent link: https://www.econbiz.de/10011373080
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How is the low-interest-rate environment affecting the solvency of German life insurers?
Kablau, Anke; Weiß, Matthias - 2014
Life insurance companies are affected directly by the impact of the low-interestrate environment. To fulfil promised … funds requirements. This points to a potential solvency risk in the life insurance industry. …
Persistent link: https://www.econbiz.de/10010432256
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Wie wirkt sich das Niedrigzinsumfeld auf die Solvabilität der deutschen Lebensversicherer aus?
Kablau, Anke; Weiß, Matthias - 2014
Die Lebensversicherer sind von den Auswirkungen des Niedrigzinsumfelds unmittelbar betroffen. Damit sie die zugesicherten Garantien erfüllen können, müssen sie unter Umständen Eigenmittel aufwenden. Dies ist dann der Fall, wenn die von den Unternehmen festgelegte Überschussbeteiligung oder...
Persistent link: https://www.econbiz.de/10010432266
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Lethal lapses : how a positive interest rate shock might stress German life insurers
Feodoria, Mark; Förstemann, Till - 2015
Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could materialise in the form of a "policyholder run" if interest rates were to increase sharply. An inverse stress test based on a unique set of regulatory panel data suggests that...
Persistent link: https://www.econbiz.de/10011285414
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Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...
Persistent link: https://www.econbiz.de/10011520642
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M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
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Stress testing the German mortgage market
Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019
This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German banks. We develop an EL model where LGD estimates are based on current collateral values and PD dynamics are estimated using a structural PVAR approach. We confirm empirically that...
Persistent link: https://www.econbiz.de/10012012997
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The relationship between distance-to-default and CDS spreads as measures of default risk for European banks
Ristolainen, Kim - 2015
CDS spreads are often used as market's view of credit risk. There is no popular alternative to it; perhaps only the distance-to-default measure based on Merton (1974) comes close to it. In this paper we investigate the relationship between these two measures for large European banks in post...
Persistent link: https://www.econbiz.de/10012503056
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Capital regulation, liquidity requirements and taxation in a dynamic model of banking
De Nicolò, Gianni; Gamba, Andrea; Luccetta, Marcella - 2012
This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and liquidity risk and can resolve financial distress in three costly forms: bond issuance, equity issuance or fire sales. We find an inverted U–shaped relationship between...
Persistent link: https://www.econbiz.de/10009528883
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Catharsis - the real effects of bank insolvency and resolution
Korte, Josef - 2013
In general, banks play a growth-enhancing role for the real economy. However, distorted incentives for banks, depositors, and regulators in connection with bank insolvency may corrupt banks' credit allocation and monitoring decisions, leading to suboptimal real economic outcomes. A rules-based...
Persistent link: https://www.econbiz.de/10009751064