This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...

The "quiet life hypothesis (QLH)" posits that banks enjoy the advantages of market power in terms of foregone revenues or cost savings. We suggest a united approach to measure competition and efficiency simultaneously to test this hypothesis. We estimate bank-specific Lerner indices as measures...

This paper is one of the first to analyse political influence on state-owned savings banks in a developed country with an established financial market: Germany. Combining a large dataset with financial and operating figures of all 457 German savings banks from 1994 to 2006 and information on...

In this paper, we examine the impact of mergers among German savings banks on the extent to which these savings banks engage in small business lending. The ongoing consolidation in the banking industry has sparked concerns about the continuous availability of credit to small businesses which has...

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management. This paper aims to resolve a part of the...

This paper relates recursive utility in continuous time to its discrete-time origins and provides a rigorous and intuitive alternative to a heuristic approach presented in [Duffie, Epstein 1992], who formally define recursive utility in continuous time via backward stochastic differential...

This paper makes an attempt to present the economics of credit securitisation in a nontechnical way, starting from the description and the analysis of a typical securitisation transaction. The paper sketches a theoretical explanation for why tranching, or nonproportional risk sharing, which is...

We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in...

We show that multi-bank loan pools improve the risk-return profile of banks ̕loan business. Banks write simple contracts on the proceeds from pooled loan portfolios, taking into account the free-rider problems in joint loan production. Thus, banks benefit greatly from diversifying credit risk...