This paper examines the treatment of sovereign debt exposure within the Basel framework and measures the impact of bank regulation on the demand of Monetary Financial Institutions (MFI) for marketable sovereign debt. Our results suggest that bank regulation has a significant positive impact on...

Das Geschäft mit Derivaten und strukturierten Finanzprodukten ist verstärkter Kritik ausgesetzt. Ziel des Aufsatzes ist die kritische Auseinandersetzung mit den Thesen der Kritiker und der Rolle der Bank bei den genannten Geschäften.

This work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well-connected banks, financial institutions...

In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...

Auctions are supposed to procure the best deal money can buy. Yet, practitioners who procure complex contracts by auction are well aware of some basic pitfalls. One concern is that winning bids may not reflect the quality of the bidder but strategic behavior like low-balling bids or...

Managing the business processes of a company is a task which has emerged as a top priority across all industries. However, business process management (BPM) is not just a set of structured methods and technologies which can simply be assigned to employees. In contrary, the success of any process...

Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i.e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and trading a position, we first define market liquidity risk,...

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...

The credit crisis and the following sovereign debt crisis during 2007 and 2012 led to an increasing volatility of European corporate bond credit spreads. European investment grade credit spreads rose in 2007 and 2008 from 50 BP to over 350 BP. In the years after the credit spreads declined to...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...