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Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures

Düllmann, Klaus; Trapp, Monika - 2004

This paper presents an analytical and empirical analysis of a parsimonious model framework that accounts for a dependence of bond and bank loan recoveries on systematic risk. We extend the single risk factor model by assuming that the recovery rates also depend on this risk factor and follow a...

Persistent link: https://www.econbiz.de/10010295889

Does capital regulation matter for bank behaviour? Evidence for German savings banks

Heid, Frank; Porath, Daniel; Stolz, Stéphanie - 2004

The aim of this paper is to assess how German savings banks adjust capital and risk under capital regulation. We estimate a modified version of the model developed by Shrieves and Dahl (1992). This paper contributes to the literature in three ways. First, we test the capital buffer theory...

Persistent link: https://www.econbiz.de/10010295890

Estimating probabilities of default for German savings banks and credit cooperatives

Porath, Daniel - 2004

A healthy banking system is a fundamental condition for financial stability. When assessing the riskiness of the banking system, analysts often restrict their focus to large banks. This may create a distorted picture in countries like Germany with fragmented banking systems. In Germany, savings...

Persistent link: https://www.econbiz.de/10010295893

Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios

Kamp, Andreas; Pfingsten, Andreas; Porath, Daniel - 2005

Theory of financial intermediation gives contradicting answers to the question whether banks should diversify or focus their loan portfolios. Our aim is to find out which of the two strategies is predominant in the German banking market. To this end we measure diversification for all German...

Persistent link: https://www.econbiz.de/10010295896

Accounting for distress in bank mergers

Koetter, Michael; Bos, Jaap W. B.; Heid, Frank; Kool, … - 2005

The inability of most bank merger studies to control for hidden bailouts may lead to biased results. In this study, we employ a unique data set of approximately 1,000 mergers to analyze the determinants of bank mergers. We use data on the regulatory intervention history to distinguish between...

Persistent link: https://www.econbiz.de/10010295902

Measuring business sector concentration by an infection model

Düllmann, Klaus - 2006

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable "infection model" can provide a meaningful estimate of the impact of...

Persistent link: https://www.econbiz.de/10010295911

Sector concentration in loan portfolios and economic capital

Masschelein, Nancy; Düllmann, Klaus - 2006

The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for...

Persistent link: https://www.econbiz.de/10010295916

Efficient, profitable and safe banking: an oxymoron? Evidence from a panel VAR approach

Koetter, Michael; Porath, Daniel - 2007

Efficiency is considered a key factor when evaluating a bank's performance. Moreover, efficiency enhancement is an … of performance in response to efficiency improvements remain often unclear on both theoretical and empirical grounds. We … analyze the dynamic relations between efficiency and performance in the German banking market. To this end we use panel data …

Persistent link: https://www.econbiz.de/10010295921

Do specialization benefits outweigh concentration risks in credit portfolios of German banks?

Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - 2010

Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if monitoring abilities of German cooperative banks and savings...

Persistent link: https://www.econbiz.de/10010303636

Does capital regulation matter for bank behavior? Evidence for German savings banks

Heid, Frank; Porath, Daniel; Stolz, Stéphanie - 2003

The aim of this paper is to assess how German savings banks adjust capital and risk under capital regulation. We estimate a modified version of the model developed by Shrieves and Dahl (1992). In comparison to former research, we impose fewer restrictions with regard to the impact of regulation...

Persistent link: https://www.econbiz.de/10010276736