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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013
total of ten different structuring styles. These include bi-partite structures between a bank and a counterparty, tri …
Persistent link: https://www.econbiz.de/10010957120
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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The stable long-run CAPM and the cross-section of expected returns
Kim, Jeong-Ryeol - Deutsche Bundesbank - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...
Persistent link: https://www.econbiz.de/10005083064
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CDS spreads and systemic risk: A spatial econometric approach
Keiler, Sebastian; Eder, Armin - Deutsche Bundesbank - 2013
This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...
Persistent link: https://www.econbiz.de/10010957156
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Systemic risk contributions: a credit portfolio approach
Düllmann, Klaus; Puzanova, Natalia - Deutsche Bundesbank - 2011
could be implemented to compute bank-specific capital surcharges for systemic risk or stabilisation fees. We find that size … alone is not a reliable proxy for the systemic importance of a bank in this framework. In order to smooth cyclical …
Persistent link: https://www.econbiz.de/10009024636
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The effect of the interbank network structure on contagion and common shocks
Georg, Co-Pierre - Deutsche Bundesbank - 2011
This paper proposes a dynamic multi-agent model of a banking system with central bank. Banks optimize a portfolio of … via interbank loans and face stochastic deposit supply. Evidence is provided that the central bank stabilizes interbank …
Persistent link: https://www.econbiz.de/10009372146
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Balance sheet strength and bank lending during the global financial crisis
Kapan, Tümer; Minoiu, Camelia - Deutsche Bundesbank - 2013
We examine the role of bank balance sheet strength in the transmission of financial sector shocks to the real economy … bank credit. We find that banks with strong balance sheets were better able to maintain lending during the crisis. In … that strong bank balance sheets are key for the recovery of credit following crises, and provide support for regulatory …
Persistent link: https://www.econbiz.de/10010984738
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Bubbles and incentives: A post-mortem of the Neuer Markt in Germany
von Kalckreuth, Ulf; Silbermann, Leonid - Deutsche Bundesbank - 2010
This paper aims to shed light on some of the major allocative consequences of financial market bubbles. In March 1997, the Neuer Markt in Germany opened. Six years later, in June 2003, it closed forever. In the interim period lay the spectacular rise and fall of the first and most important...
Persistent link: https://www.econbiz.de/10008534148
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - Deutsche Bundesbank - 2014
In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...
Persistent link: https://www.econbiz.de/10011161232
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Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - Deutsche Bundesbank - 2010
market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term …
Persistent link: https://www.econbiz.de/10008595896