Die aktuelle Finanzkrise, die einen Höhepunkt im Zusammenbruch der Investmentbank Lehmann Brothers fand, zeigt immer deutlichere Auswirkungen auf die Realwirtschaft außerhalb des Bankensektors. Durch diese Krise haben sich im Bankensektor zunehmende Liquiditätsschwierigkeiten entwickelt, die...

As a result of the 2008 financial crisis, the world credit markets stalled significantly and raised the doubts of market participants and policymakers about the proper and fair valuation of financial derivatives and structured products such as collateralized debt obligations (CDOs). The aim of...

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models...

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

This paper reviews a number of initiatives taken by public and private institutions aimed at minimizing the impact of the on-going crisis of the financial sector on its ability to supply trade finance to support trade at affordable rates. In doing so, it draws a few policy lessons. One of them...

Substantial attention has been paid in recent years to the risk of maturity mismatch in emerging markets. Although this risk is microeconomic in nature, the evidence advanced thus far has taken the form of macro correlations. This paper empirically evaluates this mechanism at the micro level by...

This paper aims to examine the evolution of currency risk exposure of Brazilian corporations, especially exporting companies, from the 2008 crisis, when several companies suffered substantial losses due to the decline of the real. We analyze their financial based on the usage of derivatives, as...

This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links equity capital to the risk-free interest rate. When...

Der vorliegende Beitrag beschäftigt sich mit der Aufarbeitung der Hintergründe der Subprime-Krise sowie der nachfolgenden internationalen Banken- und Finanzkrisen. Auf dieser Basis werden Vor-schläge diskutiert, wie die erkannten Schwachstellen im Finanzsystem repariert bzw. behoben werden...