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Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the … present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing … considerably increased sensitivity to systematic risks. This has farreaching consequences for risk management, pricing and …

Persistent link: https://www.econbiz.de/10003891104

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …

Persistent link: https://www.econbiz.de/10011431370

The marketability of bank assets and managerial rents : implications for financial stability

Fecht, Falko (contributor); Wagner, Wolf (contributor) - 2007

disciplining the management. Deposits -the most effective disciplining device- can be reduced, increasing banks' resilience to …

Persistent link: https://www.econbiz.de/10003529025

Estimating bilateral exposures in the German interbank market : is there a danger of contagion?

Upper, Christian; Worms, Andreas - 2002

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank...

Persistent link: https://www.econbiz.de/10011431377

Monetary policy effects on bank loans in Germany : a panel-econometric analysis

Worms, Andreas - 2001

weakened by the banks´ liquidity management. …

Persistent link: https://www.econbiz.de/10011419446

Financial systems and the role of banks in monetary policy transmission in the euro area

Ehrmann, Michael; Gambacorta, Leonardo; Martínez … - 2001

This paper offers a comprehensive comparison of the structure of banking and financial markets in the euro area. Based on this, several hypotheses about the role of banks in monetary policy transmission are developed. Many of the predictions that have been proposed for the U.S. are deemed...

Persistent link: https://www.econbiz.de/10011419463

Sturm und Drang in money market funds : when money market funds cease to be narrow

Jank, Stephan; Wedow, Michael - 2009

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other...

Persistent link: https://www.econbiz.de/10003811178

Income diversification in the German banking industry

Busch, Ramona; Kick, Thomas - 2009

analyzes the determinants of non-interest income and its impact on financial performance and the risk profile of German banks …

Persistent link: https://www.econbiz.de/10003871368

Margins of international banking : is there a productivity pecking order in banking, too?

Buch, Claudia M.; Koch, Cathérine Tahmee; Koetter, Michael - 2009

Modern trade theory emphasizes firm-level productivity differentials to explain the cross-border activities of non-financial firms. This study tests whether a productivity pecking order also determines international banking activities. Using a novel dataset that contains all German banks’...

Persistent link: https://www.econbiz.de/10003889133

Financial integration, specialization and systemic risk

Fecht, Falko (contributor); Grüner, Hans Peter (contributor) - 2008

This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks. After integration they can share these risks in a complete interbank market. When...

Persistent link: https://www.econbiz.de/10003794446