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Centrality-based capital allocations
Alter, Adrian; Craig, Ben R.; Raupach, Peter - 2015
interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending …
Persistent link: https://www.econbiz.de/10010471625
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011391709
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Finanzierungsstrukturen im Vergleich : eine Analyse europäischer Unternehmen
Ramb, Fred - 1998
Thirty years after the seminal work of Modigliani and Miller and countless articles the capital structure puzzle is for the most part unsolved. Especially, in this field of research there is a considerable lack of empirical evidence. Using firm level data from seven European countries, this...
Persistent link: https://www.econbiz.de/10013428155
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Dynamic optimal capital structure and technological change
Lööf, Hans - 2003
Persistent link: https://www.econbiz.de/10013428541
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Credit portfolio modelling and its effect on capital requirements
Bülbül, Dilek; Lambert, Claudia - 2012
quantitative models in a new perspective. This knowledge may prove valuable for regulators who aim to understand bank behaviour and …
Persistent link: https://www.econbiz.de/10009528878
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Calculating trading book capital : is risk separation appropriate?
Raupach, Peter - 2015
Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...
Persistent link: https://www.econbiz.de/10011299075
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System-wide and banks' internal stress tests : regulatory requirements and literature review
Pliszka, Kamil - 2021
This paper deals with both system-wide and banks' internal stress tests. For system-wide stress tests it describes the evolution over time, compares the stress test design in major jurisdictions, and discusses academic research. System-wide stress tests have gained in importance and nowadays...
Persistent link: https://www.econbiz.de/10012534563
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The banking systems of Germany, the UK and Spain form a spatial perspective : lessons learned and what is to be done?
Flögel, Franz; Gärtner, Stefan - 2018
degree of centralisation. Whereas no such bank exists in the UK any longer and real savings banks in Spain have almost …. Short operational and (especially) functional distance and embeddedness in supportive regional bank associations. Short … regional level and reduce the need for standardisation, centralisation and bank mergers in times when interest rates are low. …
Persistent link: https://www.econbiz.de/10011800413
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Bank capital, the state contingency of banks’ assets and its role for the transmission of shocks
Kühl, Michael - 2014
The role of bank capital as a propagation channel of shocks is strongly pronounced in recent macroeconomic models. In … this paper, we show how the evolution of bank capital depends on the share of non-state-contingent assets in banks’ balance …
Persistent link: https://www.econbiz.de/10010415785
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Modelling and measuring business risk and the resiliency of retail banks
Chaffai, Mohamed E.; Dietsch, Michel - 2013
The recent banking crisis has revealed the existence of strong resiliency factors in the retail banking business model. On average, retail banks suffered less than other financial institutions from unexpected market changes. This paper proposes a new methodology to measure retail banks’...
Persistent link: https://www.econbiz.de/10010192816