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Banking crises in transition countries : theory and empirical evidence : the case of Russia
Thießen, Ulrich - 2000
, daß die Förderung der Finanzintermediation Rußlands zwingend die Verbesserung der aufsichtsrechtlichen Regulierung und … identifizierten Kanäle des Beitrags der Finanzintermediation für das wirtschaftliche Wachstum, um so Ansatzpunkte zu finden, wie die … Finanzintermediation in Rußland eventuell gefördert werden kann. Diese Betrachtung ergibt jedoch kein neues Ergebnis, sondern lediglich …
Persistent link: https://www.econbiz.de/10011432619
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001 - First Version: April 2000, This Version: October 2001
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,...
Persistent link: https://www.econbiz.de/10010503718
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Model risk : an agency theoretic approach ; conference paper
Hakenes, Hendrik; Schlegel, Friederike - 2013
In the recent financial crisis, risk management tools have been proven inadequate. Model risk, a key component of bank risk, has shown its negative impact. It seems that risk models did not cover the included risks comprehensively and were not kept up-to-date by banks, and also rating agencies....
Persistent link: https://www.econbiz.de/10010339401
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Preventing banking crises - with private insurance?
Gersbach, Hans - In: CESifo economic studies : CESifo, a joint initiative of … 59 (2013) 4, pp. 609-627
In this article, we review the functioning of private insurance against banking crises and identify its potential. The essential idea is that banks are recapitalized by private investors when negative events would otherwise cause a write-down of capital—or even bank insolvency. There are two...
Persistent link: https://www.econbiz.de/10010339982
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The dynamics of deposit insurance and the consumption trap
Gersbach, Hans; Wenzelburger, Jan - 2001
We investigate a banking system subject to repeated macroeconomic shocks and show that without deposit rate control, the banking system collapses with certainty. Any initial level of reserves will delay the collapse but not avoid it. Even without a banking collapse, the economy still converges...
Persistent link: https://www.econbiz.de/10011399268
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Capital charges under Basel II : corporate credit risk modelling and the macro economy
Carling, Kenneth; Jacobson, Tor; Lindé, Jesper; … - 2002
The Internal Ratings Based (IRB) approach for capital determination is one of the cornerstones in the proposed revision of the Basel Committee rules for bank regulation. We evaluate the IRB approach using historical business loan portfolio data from a major Swedish bank for the period 1994 to...
Persistent link: https://www.econbiz.de/10011584521
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Value-at-risk capital requirement regulation, risk taking and asset allocation : a mean–variance analysis
Kaplanski, Guy; Levy, Haim - In: The European journal of finance 21 (2015) 1/3, pp. 215-241
Persistent link: https://www.econbiz.de/10010519956
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Banking with contingent contracts, macroeconomic risks, and banking crises
Gersbach, Hans - 2008
We examine banking competition when deposit or loan contracts contingent on macroeconomic shocks become feasible. We show that the risk allocation is efficient, provided that banks are not bailed out. In this case, banks may shift part of the risk to depositors. The private sector insures the...
Persistent link: https://www.econbiz.de/10003762172
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Contingent contracts in banking : insurance or risk magnification?
Gersbach, Hans - 2018 - This version: November 2018
We examine whether the economy can be insured against banking crises with deposit and loan contracts contingent on macroeconomic shocks. We study banking competition and show that the private sector insures the banking system through such contracts, and banking crises are avoided, provided that...
Persistent link: https://www.econbiz.de/10011932411
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Enough liquidity with enough capital - and vice versa?
Gersbach, Hans; Haller, Hans; Zelzner, Sebastian - 2023
We study the interplay of capital and liquidity regulation in a general equilibrium setting by focusing on future funding risks. The model consists of a banking sector with long-term illiquid investment opportunities that need to be financed by short-term debt and by issuing equity. Reliance on...
Persistent link: https://www.econbiz.de/10014366762