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Loan loss provisioning and procyclicality : evidence from an expected loss model
Domikowsky, Christian; Bornemann, Sven; Düllmann, Klaus; … - 2014
expected loss model in IFRS 9. This study contributes to the extant literature by separately analyzing the cyclical effects of …Several studies have addressed, with conflicting results, the issue of procyclical effects of loan loss provisions in … the past. More recently, the weak performance of incurred loss models in the financial crisis has given rise to a new …
Persistent link: https://www.econbiz.de/10010465580
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Does greater transparency discipline the loan loss provisioning of privately held banks?
Bischof, Jannis; Foos, Daniel; Riepe, Jan - 2020
We investigate the relationship between the transparency of loan loss provision disclosures and the provisioning … mandatory disclosures of loan loss provisions. Using proprietary data provided by the national supervisor, we are able to … loss provisions to a lesser extent for income smoothing once they are required to disclose their accounting choice. At the …
Persistent link: https://www.econbiz.de/10012256499
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Do exposures to sagging real estate, subprime or conduits abroad lead to contraction and flight to quality in bank lending at home?
Ongena, Steven; Tümer-Alkan, Günseli; Westernhagen, … - 2015
We investigate how differential exposures by German banks to the US real estate market during the recent financial crisis affect their corporate lending in Germany. Using unique bank-level exposure data, we distinguish between three different types of bank exposures, i.e. direct exposure to the...
Persistent link: https://www.econbiz.de/10011280084
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CDS and credit : testing the small bang theory of the financial universe with micro data
Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2017
Does hedging motivate CDS trading and does that affect the availability of credit? To answer these questions we couple comprehensive bank-firm level CDS trading data from the Depository Trust and Clearing Corporation with the German credit register containing bilateral bank-firm credit...
Persistent link: https://www.econbiz.de/10011663406
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Central bank funding and credit risk-taking
Bednarek, Peter; Dinger, Valeriya; Kaat, Daniel Marcel te; … - 2020
This paper examines the relationship between central bank funding and credit risk-taking. Employing comprehensive bank-firm-level data from the German credit registry during 2009:Q1-2014:Q4, we find that borrowing from the central bank is associated with rebalancing of bank portfolios towards...
Persistent link: https://www.econbiz.de/10012250631
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Basel III and SME bank finance in Germany
Marek, Philipp; Stein, Ingrid - 2022
This paper examines how Basel III capital reforms affected bank lending in Ger- many. We focus on the increase of minimum risk-based capital requirements and the introduction of the leverage ratio. The announcement of stricter risk-based capital regulation significantly affected low capitalized...
Persistent link: https://www.econbiz.de/10013399771
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Implications of bank regulation for loan supply and bank stability : a dynamic perspective
Bucher, Monika; Dietrich, Diemo; Hauck, Achim - 2018
A bank's decision on loan supply and capital structure determines its immediate bankruptcy risk as well as the future availability of internal funds. These internal funds in turn determine a bank's future costs of external finance and future vulnerability to bankruptcy risks. We study these...
Persistent link: https://www.econbiz.de/10011918996
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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …
Persistent link: https://www.econbiz.de/10010233376
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Credit risk interconnectedness : what does the market really know?
Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016
We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...
Persistent link: https://www.econbiz.de/10011456511
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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