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What drives the short-term fluctuations of banks' exposure to interest rate risk?

Memmel, Christoph - 2019

We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank-level data of German banks for the period 2011Q4- 2017Q2, we find evidence that banks actively manage their interest rate risk exposure in their banking books: They take account of...

Persistent link: https://www.econbiz.de/10011968696

CDS spreads and systemic risk : a spatial econometric approach

Keiler, Sebastian; Eder, Armin - 2013

This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...

Persistent link: https://www.econbiz.de/10009695965

A model of mortgage losses and its applications for macroprudential instruments

Hott, Christian - 2013

We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the … mortgage loss rates. In addition, we show potential applications of the model for different macroprudential instruments: stress …

Persistent link: https://www.econbiz.de/10010192836

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 …-trigger hypothesis of mortgage defaults. In order to analyse the possible credit losses stemming from residential mortgage lending we … to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …

Persistent link: https://www.econbiz.de/10012012997

The distribution of debt across euro area countries : the role of individual characteristics, institutions and credit conditions

Bover, Olympia; Casado, Jose Maria; Costa, Sónia; Du … - 2014

the main mortgage. Second, we examine the role of legal and economic institutions in accounting for these differences. We … youngest group of households borrow lower amounts (conditional on borrowing), and the mortgage interest rates paid by low …

Persistent link: https://www.econbiz.de/10010249770

Quantifying the components of the banks’ net interest margin

Busch, Ramona; Memmel, Christoph - 2014

Using unique data sets on German banks, we decompose their net interest margin and quantify the different components by estimating the costs of the various functions they perform. We investigate three major functions: namely, liquidity and payment management for the customers, the bearing of...

Persistent link: https://www.econbiz.de/10010384147

Interest and credit risk management in German banks : evidence from a quantitative survey

Dräger, Vanessa; Heckmann, Lotta; Memmel, Christoph - 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

Banks' foreign homes

Schmidt, Kirsten; Tonzer, Lena - 2024

We study whether the low interest rate environment paired with booming housing markets affected banks' foreign activities in terms of commercial and residential real estate backed lending. Using a unique dataset covering systemically relevant banks in the euro area over the period 2015-2022, we...

Persistent link: https://www.econbiz.de/10015205418

A stress test framework for the German residential mortgage market : methodology and application

Siemsen, Thomas; Vilsmeier, Johannes - 2017

This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress …

Persistent link: https://www.econbiz.de/10011764865

The role of non-performing loans for bank lending rates

Bredl, Sebastian - 2019

Against the backdrop of a high stock of non-performing loans (NPLs) in several European countries, this paper investigates the role of NPLs for lending rates charged for newly granted loans in the euro area. More precisely, it looks for an effect that extends beyond losses caused by that stock...

Persistent link: https://www.econbiz.de/10011955694