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How will Basel II affect bank lending to emerging markets? : An analysis based on German bank level data /Thilo Liebig ...

Liebig, Thilo; Porath, Daniel; Weder, Beatrice; Wedow, … - 2004

This paper investigates whether the new Basel Accord will induce a change in bank lending to emerging markets using a comprehensive new data set on German banks` foreign exposure. We test two interlinked hypotheses on the conditions under which the change in the regulatory capital would leave...

Persistent link: https://www.econbiz.de/10002398646

On the stability of different financial systems

Fecht, Falko - 2003

An economy in which deposit-taking banks of a Diamond/Dybvig style and an asset market coexist is modelled. Firstly, within this framework we characterize distinct financial systems depending on the fraction of households with direct investment opportunities that are less efficient than those...

Persistent link: https://www.econbiz.de/10011432080

Financial integration, specialization and systemic risk

Fecht, Falko (contributor); Grüner, Hans Peter (contributor) - 2008

This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks. After integration they can share these risks in a complete interbank market. When...

Persistent link: https://www.econbiz.de/10003794446

Substitution between net and gross settlement systems : a concern for financial stability?

Craig, Ben R.; Fecht, Falko - 2011

data on transaction volumes from the large-volume payment systems of all euro area countries that have had both a net and a …

Persistent link: https://www.econbiz.de/10009244343

The marketability of bank assets and managerial rents : implications for financial stability

Fecht, Falko (contributor); Wagner, Wolf (contributor) - 2007

Ongoing financial innovation and greater information availability increase the tradability of bank assets and reduce banks' dependence on individual bank managers as private information in the lending process declines. In this paper we argue that this has two effects on banks, with opposing...

Persistent link: https://www.econbiz.de/10003529025

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...

Persistent link: https://www.econbiz.de/10003891104

Long-run links among money, prices, and output : world-wide evidence

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

Regarding inflation as being a monetary phenomenon in the long-run is a widely-held view in modern macro economics. We analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a supposed equilibrium price level (P-star), which...

Persistent link: https://www.econbiz.de/10011419407

Credit risk factor modeling and the Basel II IRB approach

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2003

Persistent link: https://www.econbiz.de/10002133114

Forecasting credit portfolio risk

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002133168

Incorporating prediction and estimation risk in point-in-time credit portfolio models

Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005

In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk … parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated … using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and …

Persistent link: https://www.econbiz.de/10003209701