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This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the … for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for …
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lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank’s credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …
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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...
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financial institutions. First, we establish that age, gender, and education jointly affect the variability of bank performance …
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of the extensive access of East German firms to development bank finance, evidence is provided that the financial system …
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concerned about being induced to finance bad risk projects when conditions deteriorate. A monopoly bank provides the socially … schlechten Projekte zu finanzieren. Eine monopolistische Bank leistet die sozial-optimale Auswahl guter Risiken, aber die …
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