We give a precise operational definition to three requirements the Basel Committee on Banking Supervision specifies for stress tests: Plausibility and severity of stress scenarios as well as suggestiveness of risk reducing actions. The basic idea of our approach is to define a suitable region of...

We study the trading of real assets financed by collateralized loans in an agent based model of a continuous double auction. This approach provides a complementary perspective on recent advances in the general equilibrium theory of endogenous leverage by studying a model that simultaneously...

For a given set of banks, which economic and financial scenarios will lead to big losses? How big can losses in such scenarios possibly get? These are the two central questions of macro stress tests. We believe that most current macro stress testing models have deficits in answering these...

We present a simple and operational yet rigorous framework that combines current methods of bank solvency stress tests with a description of fire sales. We demonstrate the applicability of our framework to the EBA stress testing exercise. Fire sales are described by an equilibrium model which...

In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat both categories independently in the calculation of risk capital. In practice positions in a portfolio depend simultaneously on both market and credit risk factors. In this case,...

The various calculations of the impacts of biofuel production on the mid-term projections of food and agricultural commodity prices are difficult to reconcile. This is largely due to the intricate set of assumptions, the differences in the baseline scenario and in the projection horizon they are...

Durch die Novellierung des Erneuerbare-Energien-Gesetzes (EEG) im Jahr 2004 wurde eine attraktive Förderung des Einsatzes Nachwachsender Rohstoffe zur Energieerzeugung eingeführt, die seitdem zu einer rasanten Ausdehnung des wettbewerbsstarken Anbaus von Energiemais geführt hat. Mit Hilfe des...

Der verstärkte Einsatz von Biokraftstoffen ist beschlossene Sache. Neben anderen Zielen wird bei der Begründung der Förderung der Biokraftstoffe die Entwicklung des ländlichen Raumes angeführt. Dieser Beitrag untersucht am Beispiel Nordrhein-Westfalen Wertschöpfungspotenziale für den...

We analyze the pricing of risky income streams in a world with competitive security markets where investors are constrained by restrictions on possible portfolio holdings. We investigate how we can transfer concepts and pricing techniques from a world without frictions to such a more realistic...

The term Systemic Risk belongs to the standard rhetoric of economic policy discussions related to the banking industry. Besides of the goal of protecting small depositors control of systemic risk is given as one of the main arguments for banking regulation. Various recent financial crises have...