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Many a little makes a mickle : macro portfolio stress test for small and medium-sized German banks

Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...

Persistent link: https://www.econbiz.de/10011308474

Are SME Loans Less Risky than Regulatory Capital Requirements Suggest?

Düllmann, Klaus - 2019

(SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic … the particularly rich and well-developed credit market for SMEs in Germany. We estimate asset correlations as the key … has been granted in Basel II for SMEs relative to large firms. Our asset correlation estimates suggest a significantly …

Persistent link: https://www.econbiz.de/10012905027

Many a Little Makes a Mickle : Macro Portfolio Stress Test for Small and Medium-Sized German Banks

Busch, Ramona - 2016

Persistent link: https://www.econbiz.de/10012988681

Multiple lenders and corporate distress : evidence on debt restructuring

Brunner, Antje; Krahnen, Jan Pieter - 2006 - This version: June 2006

pools, a legal institution aiming at coordinating lender interests in borrower distress. We report three major findings … banks, the distribution of lending shares, and the severity of the distress shock. …

Persistent link: https://www.econbiz.de/10009767665

Credit information in universal banking : a clinical study

Burghof, Hans-Peter; Henschel, Claudia - 1998

, bank monitoring is based mainly on cheap, retrospective and internal data. In case of distress, more expensive, prospective …

Persistent link: https://www.econbiz.de/10009768853

Stress testing German banks against a global cost-of-capital shock

Düllmann, Klaus; Kick, Thomas - 2012

This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...

Persistent link: https://www.econbiz.de/10009509091

Stress testing German banks in a downturn in the automobile industry

Düllmann, Klaus; Erdelmeier, Martin - 2009

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...

Persistent link: https://www.econbiz.de/10003813026

Stress Testing German Banks Against a Global Cost-of-Capital Shock

Düllmann, Klaus - 2016

Persistent link: https://www.econbiz.de/10012988830

Stress Testing German Banks in a Downturn in the Automobile Industry

Düllmann, Klaus - 2016

Persistent link: https://www.econbiz.de/10012989263

Hold-up in multiple banking : evidence from SME lending

Brunner, Antje; Krahnen, Jan Pieter - In: International journal of banking, accounting and finance 5 (2013/14) 1/2, pp. 78-101

Persistent link: https://www.econbiz.de/10010359129