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Bankrisiko und Risikosteuerung mit Derivaten

Broll, Udo; Welzel, Peter - 2002

In einem einfach gehaltenen Bankmodell untersucht der Beitrag die ökonomischen Wirkungen des Einsatzes von Derivaten für marktgängige und nicht marktgängige Risiken. Wir betrachten das klassische Kredit– und Einlagengeschäft einer kompetitiven Bank. Sind Kreditausfall- und...

Persistent link: https://www.econbiz.de/10010291696

Mergers Among German Cooperative Banks: A Panel-based Stochastic Frontier Analysis

Lang, Günter; Welzel, Peter - 1997

243 mergers, we analyze motives for and cost effects of small-scale mergers in German banking. Estimating a frontier cost …

Persistent link: https://www.econbiz.de/10010291732

Technological change, financial innovation, and diffusion in banking

Frame, W. Scott; White, Lawrence J. - 2009

This paper discusses the technological change and financial innovation that commercial banking has experienced during … the past quarter century has been a period of substantial change in terms of banking products, services, and production …

Persistent link: https://www.econbiz.de/10010292293

The Economics of Regional Demarcation in Banking

Raab, Simone; Welzel, Peter - 2010

Cooperation among savings and cooperative banks was criticized by the European Commission because of potentially anti-competitive effects. In an industrial economics model of banks taking deposits and giving loans we look at regional demarcation as one of such cooperative practices. There are...

Persistent link: https://www.econbiz.de/10010294740

German bank lending during emerging market crises: A bank level analysis

Heid, Frank; Nestmann, Thorsten; di Mauro, Beatrice Weder; … - 2004

This paper studies German bank lending during the Asian and Russian crises, using a bank level data set, which has been compiled from credit data at the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We...

Persistent link: https://www.econbiz.de/10010295891

Value at risk, Equity and Diversification

Broll, Udo; Wahl, Jack E. - 2006

The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets.The paper focuses on the interaction between the solvency probability of a bank, on one hand, and the diversification potential of its portfolio, on the other hand, when...

Persistent link: https://www.econbiz.de/10010296801

The threat of systemic risk in banking: evidence for Europe

Schüler, Martin - 2002

This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or …

Persistent link: https://www.econbiz.de/10010298100

Systemic Risk in European Banking: Evidence from Bivariate GARCH Models

Schüler, Martin; Schröder, Michael - 2003

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate … interdependencies amongst the banking business in Europe and hence for the systemic risk potential. We employ several tests to assess … European banking business have become more similar and that the systemic risk potential has increased. …

Persistent link: https://www.econbiz.de/10010298129

The price of liquidity: bank characteristics and market conditions

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2008

We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, we also have data on individual banks' reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long...

Persistent link: https://www.econbiz.de/10010298747

More or less aggressive? Robust monetary policy in a New Keynesian model with financial distress

Gerke, Rafael; Hammermann, Felix; Lewis, Vivien - 2009

This paper investigates the optimal monetary policy response to a shock to collateral when policymakers act under discretion and face model uncertainty. The analysis is based on a New Keynesian model where banks supply loans to transaction constrained consumers. Our results confirm the...

Persistent link: https://www.econbiz.de/10010298839

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