In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...

In this paper we stress-test credit portfolios of twenty-eight German banks based on a Merton-type multifactor credit-risk model. The stress scenario is an economic downturn in the automobile sector. Although the percentage of loans in the automobile sector is relatively low for all banks in the...

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable infection modelʺ can provide a meaningful estimate of the impact of...

This paper investigates the transmission of monetary policy in the euro area based onthe factor augmented vector autoregressive approach of Bernanke, Boivin and Eliasz(2005) as well as on a standard VAR model. We focus on the reaction of monetaryaggregates to a one-off monetary policy shock. We...

Using a unique German firm-level data set, this paper is the first to jointlystudy the cyclical properties of the cross-sections of firm-level real value addedand Solow residual innovations, as well as capital and employment adjustment.We find two new business cycle facts: 1) The cross-sectional...