Banks are liquidity brokers: they acquire it at the market in form of deposits and lend it in form of loans. As liquidity is not for free, the costs of its acquisition have to be transferred to those (departments) that lend it. Furthermore, banks take liquidity risk. The costs to hedge this risk...

We study how a Net Stable Funding Ratio as defined by the Basel Committee in 2014 (NSFR (2014)) would affect the profitability of German banks and their capacity to lend. With a NSFR-model that is partially calibrated against reported NSFRs, we find that 9% of German banks do not comply with the...

We provide a modeling framework for banks' business planning under Basel III. For this purpose, we write banks' planning as formal optimization problem where Basel III - minimum requirements/ratios enter as constraints. We analyze the effect of Basel III on the banks' product mix for a...

In this study, we explore the drivers of total shareholder returns (TSR) in commercial banks, and investigate whether banks subscribing to Value-based Management (VBM) outperform the non-adopters in terms of TSR. We estimate a TSR model using data from 132 listed commercial European and North...

We study how a Net Stable Funding Ratio as defined by the Basel Committee in 2014 (NSFR (2014)) would affect the profitability of German banks and their capacity to lend. With a NSFR-model that is partially calibrated against reported NSFRs, we find that 9% of German banks do not comply with the...