Der aktuell diskutierte Gesetzentwurf für eine Reform der Einlagensicherung in Weißrussland verfolgt das Hauptziel, mehr Sparmittel der Bevölkerung für das planwirtschaftliche Wirtschaftssystem verfügbar zu machen. Bei einer nicht passgenau auf die Landessituation abgestimmten Ausgestaltung...

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...

Im Risikomanagement von Banken findet das Value at Risk-Konzept verstärkt Anwendung. Baut die Solvenzpolitik einer Bank auf dem Value at Risk-Konzept auf, müssen Aktiv- und Passivgeschäft der Bank simultan betrachtet werden. In einem Entscheidungsmodell für eine Bank werden die notwendige...

Vor dem Hintergrund der für die Kreditinstitute voraussichtlich zum 1.11.2007 anzuwendenden europäischen Richtlinie über Märkte in Finanzinstrumenten sowie ihrer entsprechenden Durchführungsbestimmungen stellt sich die Frage, welche Anforderungen für die Anlageberatung der Kreditinstitute...

We model the impact of bank mergers on loan competition, reserve holdings and aggregate liquidity. A merger changes the distribution of liquidity shocks and creates an internal money market, leading to financial cost efficiencies and more precise estimates of liquidity needs. The merged banks...

Based on a unique dataset of legislative changes in industrial countries, we identify events that strengthen the competition control of mergers and acquisitions, analyze their impact on banks and non-financial firms and explain the different reactions observed with specific regulatory...

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management. This paper aims to resolve a part of the...

Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing, 2007), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback between lender of last resort policy and incentives of...

Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimates do not explicitly take portfolio concentration into account. We start from the credit portfolio of the German pension insurer being a cross-sectional representation of the German economy and...