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Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - Deutsche Bundesbank - 2012

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...

Persistent link: https://www.econbiz.de/10010984712

Robustness and informativeness of systemic risk measures

Löffler, Gunter; Raupach, Peter - Deutsche Bundesbank - 2013

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal expected shortfall, and option-based tail risk...

Persistent link: https://www.econbiz.de/10010984713

Capital regulation, liquidity requirements and taxation in a dynamic model of banking

De Nicolò, Gianni; Gamba, Andrea; Luccetta, Marcella - Deutsche Bundesbank - 2012

This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and liquidity risk and can resolve financial distress in three costly forms: bond issuance, equity issuance or fire sales. We find an inverted U-shaped relationship between capital...

Persistent link: https://www.econbiz.de/10010984720

Determinants of the interest rate pass-through of banks: Evidence from German loan products

Schlüter, Tobias; Busch, Ramona; Hartmann-Wendels, Thomas - Deutsche Bundesbank - 2012

This article examines the loan rate-setting behavior of German banks for a large variety of retail and corporate loan products. We find that a bank's operational efficiency is priced in bank loan rates and alters interest-setting behavior. Specifically, we establish that a higher degree of...

Persistent link: https://www.econbiz.de/10010984741

The valuation of hedge funds' equity positions

Cici, Gjergji; Kempf, Alexander; Pütz, Alexander - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011

We provide evidence on the valuation of equity positions by hedge fund advisors. Reported valuations deviate from standard valuations based on closing prices from CRSP for roughly seven percent of the positions. These deviations are economically significant for about 25 percent of the hedge fund...

Persistent link: https://www.econbiz.de/10010984849

A note on macro-financial implications of mobile money schemes

Mas, Ignacio; Klein, Michael - Frankfurt School of Finance and Management - 2012

Across the world mobile money schemes are being launched. In such schemes financial service providers interact with clients via mobile phones or other mobile devices such as tablets. Service offerings include payments and saving as well as basic insurance products and sometimes credit based on...

Persistent link: https://www.econbiz.de/10010985131

Die neuen europäischen Regeln zur Sanierung und Abwicklung von Kreditinstituten: Ordnungspolitisch und rechtlich angreifbar?

Hirdina, Ralph - University of Applied Sciences Amberg-Weiden (OTH) - 2014

by European tax payers are discussed from a political and legal point of view. The system of financing the public debt of …

Persistent link: https://www.econbiz.de/10010985174

Rechtliche Überlegungen zu den Euro-Rettungsschirmprogrammen und den Jüngsten geldpolitischen Maßnahmen der EZB

Hirdina, Ralph - University of Applied Sciences Amberg-Weiden (OTH) - 2014

States by financing their loans in case they have problems to finance their debt in the private financial markets. Before …) were installed to help Ireland, Portugal and Greece to finance their public debt. The German State is part of the above … the ECB will buy debt loans of euro area member states in a crisis, if necessary, to stable the euro zone. The OMT …

Persistent link: https://www.econbiz.de/10010985176

How smart are investors after the subprime mortgage crisis? Evidence from the securitization market

Gürtler, Marc; Hibbeln, Martin - Department Wirtschaftswissenschaften, Technische … - 2012

Two factors have proven to be strongly relevant for the subprime mortgage crisis. The first is the lack of screening incentives of originators, which had not been anticipated by investors. The second is that investors relied too much on credit ratings. We examine whether investors have learned...

Persistent link: https://www.econbiz.de/10010985511

What is the wind behind the sails to go abroad? Empirical evidence from the mutual fund industry

Lang, Gunnar; Schäfer, Henry - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013

Specific industry factors determining cross-border business set-up in the European mutual fund industry are analyzed to contribute to the understanding of production specificities in the financial industry. The findings indicate that the decision on where to domicile a fund is not primarily...

Persistent link: https://www.econbiz.de/10010985661