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Financial institutions have been issuing more complex structured retail products (SRPs) over time. Is risk-sharing the …. If the issuance of a given type of SRP is based on risk-sharing and is welfare-increasing, we should observe the usual … relation between risk and return across products of that type: the expected excess return offered to retail investors …
Persistent link: https://www.econbiz.de/10014244685
Prinzipien gelenkt, wie in Zukunft das Risikomanagement, die interne Banksteuerung und die Bankenaufsicht reformiert und auf die …
Persistent link: https://www.econbiz.de/10003922564
Market risk reporting in banking has assumed such importance during the last decade. The purpose of this paper is to … provide a methodology to evaluate the qualitative and quantitative profiles of the market risk disclosure in banking. We … market risks they are exposed to. In this paper we conduct an empirical research of market risk disclosure on a sample of …
Persistent link: https://www.econbiz.de/10012934301
Climate change poses several risks to the value of financial assets and financial stability. The study conducted in this paper focuses on the German banking sector and estimates its exposure to climate risks arising from a transition to a carbon-neutral economy. Our analysis identifies the...
Persistent link: https://www.econbiz.de/10013164602
regulatory equity and the increasing reliance on banks’ internal risk models for the determination of risk weights. The first … trend has been reversed with the regulatory reforms following the financial crisis. Internal risk models will still play a … central role. The rest of the paper focuses on the problems with the use of internal risk models for regulatory purposes. The …
Persistent link: https://www.econbiz.de/10010256881
the credit portfolio risk profile of the occupational pension insurance plan and compare two alternative pricing plans. We … find that there is a low, yet non-negligible risk of very high losses that may threaten the existence of the occupational … pension insurance plan (PSVaG). While relating risk premiums to firms' default probabilities would cause them to diverge …
Persistent link: https://www.econbiz.de/10012989306
allocation. Therefore, non-compliant loans can directly affect transaction performance and the extent of risk transfer achieved … tested and confirmed based on a unique data set. -- Non-compliance ; risk transfer ; securitization …
Persistent link: https://www.econbiz.de/10008653392
This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German banks. We develop an EL model where LGD estimates are based on current collateral values and PD dynamics are estimated using a structural PVAR approach. We confirm empirically that...
Persistent link: https://www.econbiz.de/10012012997
are translated into aggregate estimates of credit risk indicators. The micro approach uses firm- level balance sheet and …, highlighting the importance of concentration risk in bank portfolios. …
Persistent link: https://www.econbiz.de/10015410354
In this paper, we provide the first cross-country empirical evidence on the relationship between economic policy uncertainty (EPU) and banks’ interest income activities (measured using the net interest income). Using bank-level panel data of 3,252 banks in 16 economies over the period...
Persistent link: https://www.econbiz.de/10013220292