Dieser Aufsatz dient dem Versuch, ein konsistentes wirtschaftspolitisches Bewertungsverfahren zur Analyse der Leistungsfähigkeit der genossenschaftlichen Bankunternehmung zu entwickeln. Dafür wird das auf linearer Programmierung beruhende Schätzverfahren "Data Envelopment Analysis (DEA)"...

We introduce a smooth transition Generalized Pareto (GP) regression model to study the link between extreme losses and the economic context. The advantage of our approach consists in specifying a time-varying dependence structure between financial factors and the severity distribution of the...

In this study we examine the potential determinants of technical efficiency for the Tunisian commercial banking sector over the period of 1995-2017. First, we estimate banking technical efficiency with a radial and non-radial bootstrap data envelopment analysis. For the radial technique, we use...

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank...

This paper develops an empirical procedure for analyzing the impact of model misspecification and calibration errors on measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure reveals that violations of key assumptions of the...

This paper investigates the inter-linkages between financial stability and fiscal policy. It analyzes the effect of selected financial stability indicators on the probability of future debt deterioration, controlling for several macroeconomic variables. We find significant evidence that a...

We show that distortion in the size distribution of banks around regulatory thresholds can be used to identify costs of bank regulation. We build a structural model in which banks can strategically bunch their assets below regulatory thresholds to avoid regulations. The resulting distortion in...

In recent years, the German banking sector has overcome major challenges such as the global financial crisis and the European debt crisis. This paper analyses a recent development as a particular determinant of the future outlook for the German banking sector. Interest rates are at historically...

Higher capital requirements of Basel III are criticized for increasing the cost of capital for banks. Against this backdrop, Admati et al. (2013) argue that higher equity ratios are not expensive because the required return on equity will decrease. Previous studies have empirically tested this...