Die Pleite der Investmentbank Lehman Brothers am 15. September 2008 löste eine globale Finanzkrise aus. Dies kann als außergewöhnliches Ereignis interpretiert werden, aber auch als eine Krise des Systems. Mittlerweile wurden die Banken stärker reguliert (Basel III), beibehalten wurde aber...

The money market rates in the United States exhibit various calendar patterns that are grounded in institutional and regulatory factors. In this paper, we document a new regularity in the overnight fed funds market. Specifically, we identify patterns of decreased volatility along with consistent...

E cikk az új, feltehetően 2007-ben életbe lépő Bázel II. tőkeegyezményben a hitelkockázatok számszerűsítésére alkalmazott közgazdasági modellt és annak matematikai hátterét mutatja be. A modell olyan leegyszerűsítő feltevéseket használ a csődfolyamatok modellezésére...

In this study, relationship between non-interest income generating activities (income diversification) and risk-adjusted bank performance is investigated by using yearly data of Turkish deposit banks for the period of 2005 – 2011. System Generalized Method of Moments (System-GMM) estimators...

The paper examines the relationship between banking and securities activities in the light of financial market developments (securitisation, institutionalization of investment, emergence of complex financial instruments, conglomeration and consolidation), with particular reference to Europe. The...

The paper examines the relationship between banking and securities activities in the light of financial market developments (securitisation, institutionalization of investment, emergence of complex financial instruments, conglomeration and consolidation), with particular reference to Europe. The...

The main aim of SEPA (Single European Payment Area) is to promote financial integration in Europe, more particularly in the field of cashless payment services and payment systems. It is intended to enable all economic players (businesses, consumers and public authorities) to effect payments...

The paper examines the relationship between banking and securities activities in the light of financial market developments (securitisation, institutionalization of investment, emergence of complex financial instruments, conglomeration and consolidation), with particular reference to Europe. The...

Accurate measurement of bank risk is a matter of considerable importance for bank regulation and supervision. Current practices in most countries emphasize reliance on financial statement data for assessing banks’ risk. However, the possibility of increased reliance on market-based risk...

We examine the relevance and effectiveness of stock return correlations among financial institutions as an indicator of systemic risk. By analyzing the trends and fluctuations of daily stock return correlations and default correlations among the 22 largest bank holding companies and investment...