Showing 1 - 10 of 152
Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....
Persistent link: https://www.econbiz.de/10011972792
Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data set includes the volume of loans per bank and industry as well as the corresponding write-downs. Our empirical study for the period 2003-2011 yields the following results: (i)...
Persistent link: https://www.econbiz.de/10009685919
Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data set includes the volume of loans per bank and industry as well as the corresponding write-downs. Our empirical study for the period 2003-2011 yields the following results: (i)...
Persistent link: https://www.econbiz.de/10012988803
Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data set contains the volume of loans, and write-downs on loans, per bank and industry. Our empirical study for the period 2003-2011 yields the following results: (i) alongside the...
Persistent link: https://www.econbiz.de/10013033689
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for...
Persistent link: https://www.econbiz.de/10009529222
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for...
Persistent link: https://www.econbiz.de/10013086731
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for...
Persistent link: https://www.econbiz.de/10012989218
Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....
Persistent link: https://www.econbiz.de/10011984875
Persistent link: https://www.econbiz.de/10009745201
Persistent link: https://www.econbiz.de/10011574007