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The stability of efficiency rankings when risk-preferences and objectives are different

Koetter, Michael - 2006

We analyze the stability of efficiency rankings of German universal banks between 1993 and 2004. First, we estimate traditional efficiency scores with stochastic cost and alternative profit frontier analysis. Then, we explicitly allow for different risk preferences and measure efficiency with a...

Persistent link: https://www.econbiz.de/10010295915

Sector concentration in loan portfolios and economic capital

Masschelein, Nancy; Düllmann, Klaus - 2006

The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for...

Persistent link: https://www.econbiz.de/10010295916

The cost efficiency of German banks: a comparison of SFA and DEA

Koetter, Michael; Karmann, Alexander; Fiorentino, Elisabetta - 2006

We investigate the consistency of efficiency scores derived with two competing frontier methods in the financial economics literature: Stochastic Frontier and Data Envelopment Analysis. We sample 34,192 observations for all German universal banks and analyze whether efficiency measures yield...

Persistent link: https://www.econbiz.de/10010295917

Efficient, profitable and safe banking: an oxymoron? Evidence from a panel VAR approach

Koetter, Michael; Porath, Daniel - 2007

Efficiency is considered a key factor when evaluating a bank's performance. Moreover, efficiency enhancement is an explicit policy objective in the Single Market Directive of the European Commission. But efficiency improvements may come at the expense of deteriorating bank profits and excessive...

Persistent link: https://www.econbiz.de/10010295921

Slippery slopes of stress: ordered failure events in German banking

Koetter, Michael; Kick, Thomas - 2007

Outright bank failures without prior indication of financial instability are very rare. Supervisory authorities monitor banks constantly. Thus, they usually obtain early warning signals that precede ultimate failure and, in fact, banks can be regarded as troubled to varying degrees before...

Persistent link: https://www.econbiz.de/10010295922

Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks

Behr, Andreas; Kamp, Andreas; Memmel, Christoph; … - 2007

Banks face a tradeoff between diversifying and focusing their loan portfolio. In this paper we carry out an empirical study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of specialization. We use data from the Bundesbank's...

Persistent link: https://www.econbiz.de/10010295924

How do banks adjust their capital ratios? Evidence from Germany

Memmel, Christoph; Raupach, Peter - 2007

We analyze the dynamics of banks' regulatory capital ratios. Using monthly data of regulatory capital ratios for a subset of large German banks, we estimate the target level and the adjustment speed of the capital ratio for each bank separately. We find evidence that, first, there exists a...

Persistent link: https://www.econbiz.de/10010295925

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …

Persistent link: https://www.econbiz.de/10010295926

Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery

Dötz, Niko - 2007

This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...

Persistent link: https://www.econbiz.de/10010295927

Banking consolidation and small businessfinance: empirical evidence for Germany

Marsch, Katharina; Schmieder, Christian; Forster-van … - 2007

Since the early 1990s an unprecedented process of consolidation has taken place in the banking sector in most industrialised countries raising concern of policymakers that it may reduce access to credit for the small business sector. While most of the existing empirical studies have focused on...

Persistent link: https://www.econbiz.de/10010295928