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Many a little makes a mickle : macro portfolio stress test for small and medium-sized German banks

Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...

Persistent link: https://www.econbiz.de/10011308474

The real effects of bank distress : evidence from bank bailouts in Germany

Bersch, Johannes; Degryse, Hans; Kick, Thomas; Stein, Ingrid - 2019

How does bank distress impact their customers' probability of default and trade credit availability? We address this … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times … of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance …

Persistent link: https://www.econbiz.de/10012108717

The real effects of bank distress : evidence from bank bailouts in Germany

Bersch, Johannes; Degryse, Hans; Kick, Thomas; Stein, Ingrid - 2019

Persistent link: https://www.econbiz.de/10012103361

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

Interbank risk assessment : a simulation approach

Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020

We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...

Persistent link: https://www.econbiz.de/10012201789

Risky firms and fragile banks : implications for macroprudential policy

Gasparini, Tommaso; Lewis, Vivien; Moyen, Stéphane; … - 2024

Increases in firm default risk raise the default probability of banks while decreasing output and inflation in US data. To rationalize the empirical evidence, we analyse firm risk shocks in a New Keynesian model where entrepreneurs and banks engage in a loan contract and both are subject to...

Persistent link: https://www.econbiz.de/10014501102

Capturing information contagion in a stress-testing framework

Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016

assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of … bank runs, potentially unleashing a wave of investor pessimism that can drive otherwise solvent banks into illiquidity. We … quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …

Persistent link: https://www.econbiz.de/10011520642

Asset encumbrance, bank funding and financial fragility

Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James - 2016

bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses …. Encumbering assets allows a bank to raise cheap secured debt and expand profitable investment, but it also concentrates risk on …

Persistent link: https://www.econbiz.de/10011486236

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 …-to-asset ratios, liquidity coverage ratios and regulatory margin calls on the dynamics of loan supply and bank stability. Only …

Persistent link: https://www.econbiz.de/10011918996

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk. …

Persistent link: https://www.econbiz.de/10011888333