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Leveraging and risk taking within the German banking system : evidence from the financial crisis in 2007 and 2008
Schmielewski, Frank - 2012
The present study is centered primarily on determining whether the German banking system is to be characterized by procyclical behavior from 2000 to 2011 and to what extent specific sectors of the German banking system showed significant balance sheet operations to increase their leverage within...
Persistent link: https://www.econbiz.de/10009419529
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Are private banks the better banks? : an insight into the principal-agent structure and risk-taking behavior of German banks
Schmielewski, Frank; Wein, Thomas - 2012
In this study, we propose our hypothesis that the distinguishable principal-agent relationships of German banks are significantly influencing the risk-taking attitudes of bank managers. Particularly, we intend to substantiate the theory that banks owned by dispersed shareholders or federal state...
Persistent link: https://www.econbiz.de/10009515838
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Models of financial stability and their application in stress tests
Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, … - 2017
systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding … channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical …
Persistent link: https://www.econbiz.de/10011906282
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Transatlantic systemic risk
Gehde-Trapp, Monika; Wewel, Claudio Nicolai - 2013 - This version: June 12, 2013
In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European...
Persistent link: https://www.econbiz.de/10009784871
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The Credit Crisis Around the Globe : Why Did Some Banks Perform Better?
Beltratti, Andrea - 2011
Though overall bank performance from July 2007 to December 2008 was the worst since the Great Depression, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We use this variation to evaluate the importance of factors that have...
Persistent link: https://www.econbiz.de/10013133787
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Contagion Risk in the Australian Banking and Property Sectors
Stork, Philip A. - 2011
looks at systemic banking risk or contagion risk in Australia and attempts to determine if this risk has increased with the … Extreme Value Theory to measure univariate Value at Risk, as well as multivariate intra-sector and inter-sector contagion … crashing. Moreover, contagion risks have increased significantly not only within the banking and property sectors, but also …
Persistent link: https://www.econbiz.de/10013134423
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Gambling for Resurrection in Iceland : The Rise and Fall of the Banks
Baldursson, Fridrik Mar - 2013
We examine the evolution of the Icelandic banking sector in its macroeconomic environment. The story culminates in the crisis of October 2008, when all three major banks in Iceland collapsed in three successive days. The country is still struggling to cope with the consequences. The paper...
Persistent link: https://www.econbiz.de/10013072334
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Risk Contagion of Bank-firm Credit Network : Evidence from China
hao, Qingmin - 2020
stock-holding banks to control the contagion in the network. The decentralized structure of banks' credit network …
Persistent link: https://www.econbiz.de/10012840791
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Banking Networks, Systemic Risk, and the Credit Cycle in Emerging Markets
Das, Sanjiv Ranjan - 2020
We undertake a large-scale empirical examination of systemic risk among 1048 financial institutions in a large sample of 23 emerging markets, broken down into 5 regions. This work extends the large literature on systemic risk in the US, Europe, and other developed countries to emerging markets,...
Persistent link: https://www.econbiz.de/10012843964
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V. - 2019
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10012898392