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Furnues, David - 2019

Persistent link: https://www.econbiz.de/10012060124

Endogenous credit derivatives and bank behavior

Pausch, Thilo - 2007

Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...

Persistent link: https://www.econbiz.de/10010295935

Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations

Barnhill, Theodore M.; Souto, Marcos Rietti - 2008

Wahrscheinlichkeit von multiplen Bankausfällen) entwickeln, die das Markt- und das Kreditrisiko anhand eines …

Persistent link: https://www.econbiz.de/10010295950

Regulatory capital for market and credit risk interaction: is current regulation always conservative?

Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus; … - 2008

Unter der ersten Säule von Basel II wird das regulatorische Eigenkapital für Markt- und Kreditrisiko separat berechnet … Eigenkapitals, das für Markt- und Kreditrisiko zu hinterlegen ist. Diese Berechnung von Einzelkomponenten des regulatorischen … Kapitals folgt in groben Zügen der Aufteilung in Bank- und Handelsbuch. In der traditionellen Denkweise ist Kreditrisiko …

Persistent link: https://www.econbiz.de/10010295951

Real estate markets and bank distress

Koetter, Michael; Poghosyan, Tigran - 2008

We investigate the relationship between real estate markets and bank distress among German universal and specialized mortgage banks between 1995 and 2004. Higher house prices increase the value of collateral, which reduces the probability of bank distress (PDs). But higher prices at given rents...

Persistent link: https://www.econbiz.de/10010298763

Stress testing German banks in a downturn in the automobile industry

Düllmann, Klaus; Erdelmeier, Martin - 2009

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...

Persistent link: https://www.econbiz.de/10010298778

Bank capital regulation, the lending channel and business cycles

Zhang, Longmei - 2009

This paper develops a Dynamic Stochastic General Equilibrium (DSGE) model to study how the instability of the banking sector can amplify and propagate business cycles. The model builds on Bernanke, Gertler and Gilchrist (BGG) (1999), who consider credit demand friction due to agency cost, but it...

Persistent link: https://www.econbiz.de/10010299852

Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions

Trinkaus, Gaby - 2010

Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a securitized loan as materially non-compliant with certain transaction requirements. Such a loan becomes unqualified for loss allocation. Therefore, non-compliant loans can...

Persistent link: https://www.econbiz.de/10010301353

Monitoring banking sector risks: An applied approach

Weistroffer, Christian; Vallés, Veronica - 2008

Despite abundant empirical evidence on the merits and limits of early-warning systems for banking crises the day-to-day use of such systems seems to be limited. Reluctance to use such systems may partly be explained by the difficulties to operationalise the proposed models, which are often...

Persistent link: https://www.econbiz.de/10010302115

How banks construct and manage risk: A sociological study of small firm lending in Britain and Germany

Lane, Christel; Quack, Sigrid - 2002

This paper analyses the role of banks in financing SMEs in Britain and Germany. It applies a sociological institutionalist approach to understand how banks construct and manage risk, relating to SME business. The empirical analysis is based on the results of a comparative survey of a sample of...

Persistent link: https://www.econbiz.de/10010304095

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