In der Öffentlichkeit wurden Befürchtungen geäußert, dass Basel II den Mittelstand benachteilige, indem die Kreditverfügbarkeit für die Unternehmen eingeschränkt und ihre Zinskosten steigen würden. Für Dr. Werner Müller, Bundeswirtschaftsminister, ist diese Frage »derzeit noch nicht...

Exploiting differential interstate branching deregulation across contiguous counties of adjacent states, we investigate the effect of entry threat on incumbent banks' loan loss provisions. Incumbents exposed to entry threat have offsetting incentives; lower provisions make their loan...

In der Öffentlichkeit wurden Befürchtungen geäußert, dass Basel II den Mittelstand benachteilige, indem die Kreditverfügbarkeit für die Unternehmen eingeschränkt und ihre Zinskosten steigen würden. Für Dr. Werner Müller, Bundeswirtschaftsminister, ist diese Frage »derzeit noch nicht...

Theory of financial intermediation gives contradicting answers to the question whether banks should diversify or focus their loan portfolios. Our aim is to find out which of the two strategies is predominant in the German banking market. To this end we measure diversification for all German...

Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if monitoring abilities of German cooperative banks and savings...

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...

Entgegen früherer Studien, die darauf hinweisen, dass der gesamte Credit Spread eines Bonds durchdas mit diesem Bond verbundene Kreditrisiko induziert ist, zeigen neuere empirische Untersuchungen,dass neben Kreditrisiken noch weitere Faktoren die Höhe des Credit Spreads determinieren.Die...

The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management for financial institutions. At the same time, the use and thevaluation of credit derivatives has been widely criticised as a result of the crisis. Over the pastdecade, credit...