Die Finanzkrise von 2007-2008 hat die Mängel der Finanzsystemregulierung weltweit offengelegt. Der vom Basler Ausschuss für Bankenaufsicht erarbeitete Regulierungsansatz Basel II hat sich als mangelhaft erwiesen. Unter Zuhilfenahme eines agentenbasierten Simulationsmodells, welches die...

We investigate how the lending activities of a multinational bank’s affiliates located abroad are affected by funding difficulties in view of the financial crisis. For this, we consider transaction-induced changes in long-term lending to the private sector of 40 countries by the affiliates of...

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...