A deep understanding of the drivers of credit risk is valuable for financial institutions as well as for regulators from multiple viewpoints. The systemic component of credit risk drives losses across portfolios and thus poses a threat to financial stability. Traditional approaches consider...

Assessing the systemic risk a bank poses to the system has become a central part in regulating its capital requirements (e.g. the buffer for global or domestic systemically important banks). As with conventional risk types, systemic risks need to be quantified. Currently global regulators...

We study price formation on interbank markets. We derive insights from a theoretical model that have important implications for empirical applications. In our theoretical model banks compete on lending and deposit rates in a horizontally differentiated oligopoly. Banks have to close funding gaps...

The objective of this article is to identify key determinants of the net interest margin (NIM) in the Austrian banking sector. In Austria, the NIM is one of the most important income drivers of banks given the importance of relationship banking, where interest income dominates other sources of...