Similar Search Results

Assessing contagion risks from the CDS market

Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2013

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Persistent link: https://www.econbiz.de/10011972792

Assessing Contagion Risks from the CDS Market

Brunnermeier, Markus; Clerc, Laurent; Omari, Yanis El; … - 2021

Over the past few years the CDS market’s role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country’s sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Persistent link: https://www.econbiz.de/10013248871

Interest and credit risk management in German banks : evidence from a quantitative survey

Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...

Persistent link: https://www.econbiz.de/10012160610

Banks' concentration versus diversification in the loan portfolio : new evidence from Germany

Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013

risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …

Persistent link: https://www.econbiz.de/10010233376

Banks’ Credit Losses and Lending Dynamics

Raupach, Peter; Memmel, Christoph - 2023

To study bank behavior, we use tail events in the history of a bank's credit losses as a new type of shock to capital …. When defined appropriately, such events are virtually unpredictable for bank managers and spread evenly over time and banks … competitor of each bank that replicates its sectoral and geographic portfolio composition. This new method combines the …

Persistent link: https://www.econbiz.de/10014355636

Interest and Credit Risk Management in German Banks : Evidence From a Quantitative Survey

Drager, Vanessa - 2020

Persistent link: https://www.econbiz.de/10012841281

Banks' credit losses and lending dynamics

Raupach, Peter; Memmel, Christoph - 2021

using a new method, the construction of tailored hypothetical bank competitors. …

Persistent link: https://www.econbiz.de/10012651083

Banks' specialization versus diversification in the loan portfolio : new evidence from Germany

Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - In: Schmalenbach business review : sbr 17 (2016) 1, pp. 25-48

Persistent link: https://www.econbiz.de/10011634070

Banks' Credit Losses and Lending Dynamics

Raupach, Peter; Memmel, Christoph - 2021

using a new method, the construction of tailored hypothetical bank competitors …

Persistent link: https://www.econbiz.de/10013313540

Interest and Credit Risk Management in German Banks

Drager, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2021

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management. We especially analyze the effect of a 200-bp increase in the interest level. We find that banks seem to reduce the volatility of their net interest margin by exposing...

Persistent link: https://www.econbiz.de/10013237316