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Financial market regulation in Germany under the special focus of capital requirements of financial institutions

Detzer, Daniel - 2014

This paper examines capital adequacy regulation in Germany. After a short overview about financial regulation in Germany in general, the paper focuses on the most important development in the area of capital adequacy regulation from the 1930s up to the financial crisis. Two main trends are...

Persistent link: https://www.econbiz.de/10010256881

Many a little makes a mickle : macro portfolio stress test for small and medium-sized German banks

Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...

Persistent link: https://www.econbiz.de/10011308474

Stress testing the German mortgage market

Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019

then use the model to run a top-down stress test and simulate losses on the individual bank level for the years from 2018 …

Persistent link: https://www.econbiz.de/10012012997

Impact of legislation on credit risk : how different are the UK and Germany?

Schmieder, Christian; Schmieder, Philipp; Kraemer-Eis, … - 2010

corporate bank debt based on a cross-country study for the United Kingdom (U.K.) and Germany.1 To this end, implied credit risk …

Persistent link: https://www.econbiz.de/10011862434

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/10003813026

Stress testing German banks against a global cost-of-capital shock

Düllmann, Klaus; Kick, Thomas - 2012

This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...

Persistent link: https://www.econbiz.de/10009509091

Multiple lenders and corporate distress : evidence on debt restructuring

Brunner, Antje; Krahnen, Jan Pieter - 2006 - This version: June 2006

In the recent theoretical literature on lending risk, the coordination problem in multi-creditor relationships have been analyzed extensively. We address this topic empirically, relying on a unique panel data set that includes detailed credit-file information on distressed lending relationships...

Persistent link: https://www.econbiz.de/10009767665

Countdown for the New Basle Capital Accord : are German banks ready for the internal ratings-based approach?

Ewert, Ralf; Szczesny, Andrea - 2001

This paper uses a unique data set from credit files of six leading German banks to provide some empirical insights into their rating systems used to classify corporate borrowers. On the basis of the New Basle Capital Accord, which allows banks to use their internal rating systems to compute...

Persistent link: https://www.econbiz.de/10009767690

Determinants of bank lending performance

Ewert, Ralf; Schenk, Gerald - 1998

During the last years the lending business has come under considerable competitive pressure and bank managers often … are able to explain the financial performance of bank lending activities. The analysis is based on the CFS-data-set that …

Persistent link: https://www.econbiz.de/10009768846

Credit information in universal banking : a clinical study

Burghof, Hans-Peter; Henschel, Claudia - 1998

We studied information and interaction processes in six lending relationships between a universal bank and medium sized …, bank monitoring is based mainly on cheap, retrospective and internal data. In case of distress, more expensive, prospective … firm's investments might leave the bank in a very strong bargaining position and distort investment incentives. Therefore …

Persistent link: https://www.econbiz.de/10009768853

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