Diskussionspapiere

Nachstehend finden Sie die bisher erschienenen bankenaufsichtlichen Diskussionspapiere. Bitte beachten Sie, dass der Großteil aller Diskussionspapiere in englischer Sprache veröffentlicht wird. Die Diskussionspapiere des Volkswirtschaftlichen Forschungszentrums der Deutschen Bundesbank (Reihe 1) finden Sie im Bereich Volkswirtschaft.

Diskussionspapiere

Titel	Datum	Größe
Contagion in the interbank market and its determinants	2011-12-30	569 KB
17/2011: Christoph Memmel, Angelika Sachs
A hierarchical model of tail dependent asset returns for assessing portfolio credit risk	2011-12-30	694 KB
16/2011: Natalia Puzanova
Credit contagion between financial systems	2011-12-30	303 KB
15/2011: Natalia Podlich, Michael Wedow
A hierarchical Archimedean copula for portfolio credit risk modelling	2011-11-07	415 KB
14/2011: Natalia Puzanova
Banks’ management of the net interest margin: evidence from Germany	2011-11-04	490 KB
13/2011: Christoph Memmel, Andrea Schertler
The effect of the interbank network structure on contagion and common shocks	2011-10-25	342 KB
12/2011: Co-Pierre Georg
Improvements in rating models for the German corporate sector	2011-09-09	605 KB
11/2011: Till Förstemann
Bank bailouts, interventions, and moral hazard	2011-08-29	1.364 KB
10/2011: Lammertjan Dam, Michael Koetter
The importance of qualitative risk assessment in banking supervision before and during the crisis	2011-06-10	248 KB
09/2011: Thomas Kick, Andreas Pfingsten
Systemic risk contributions: a credit portfolio approach	2011-05-20	474 KB
08/2011: Klaus Düllmann, Natalia Puzanova
The two-sided effect of financial globalization on output volatility	2011-04-26	843 KB
07/2011: Barbara Meller
Contagion at the interbank market with stochastic LGD	2011-04-18	218 KB
06/2011: Christoph Memmel, Angelika Sachs, Ingrid Stein
Does modeling framework matter? A comparative study of structural and reduced-form models	2011-04-18	51 KB
05/2011: Yalin Gündüz, Marliese Uhrig-Homburg
The price impact of lending relationships	2011-03-18	357 KB
04/2011: Ingrid Stein
Do capital buffers mitigate volatility of bank lending? A simulation study	2011-03-08	345 KB
03/2011: Frank Heid, Ulrich Krüger
Gauging the impact of a low-interest rate environment on German life insurers	2011-02-08	313 KB
02/2011: Anke Kablau, Michael Wedow
Contingent capital to strengthen the private safety net for financial institutions: Cocos to the rescue?	2011-02-07	665 KB
01/2011: George M. von Furstenberg
How correlated are changes in banks’ net interest income and in their present value?	2010-12-30	222 KB
14/2010: Christoph Memmel
Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany	2010-12-29	386 KB
13/2010: Sven Bornemann, Thomas Kick, Christoph Memmel, Andreas Pfingsten
Interbank tiering and money center banks	2010-12-29	559 KB
12/2010: Ben Craig, Goetz von Peter
Are there disadvantaged clienteles in mutual funds?	2010-12-27	354 KB
11/2010: Stephan Jank
Do specialization benefits outweigh concentration risks in credit portfolios of German banks?	2010-11-22	494 KB
10/2010: Rolf Böve, Klaus Düllmann, Andreas Pfingsten
Do banks benefit from internationalization? Revisiting the market power-risk nexus	2010-10-18	597 KB
09/2010: Claudia M. Buch, Cathérine Tahmee Koch, Michael Koetter
Completeness, interconnectedness and distribution of interbank exposures – a parameterized analysis of the stability of financial networks	2010-10-15	421 KB
08/2010: Angelika Sachs
Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure	2010-09-20	196 KB
07/2010: Christoph Memmel
Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions	2010-08-23	325 KB
06/2010: Gaby Trinkaus
Bank liquidity creation and risk taking during distress	2010-08-06	570 KB
05/2010: Allen N. Berger, Christa H. S. Bouwman, Thomas Kick, Klaus Schaeck
What drives portfolio investments of German banks in emerging capital markets?	2010-06-04	496 KB
04/2010: Christian Wildmann
Purchase and redemption decisions of mutual fund investors and the role of fund families	2010-05-19	230 KB
03/2010: Stephan Jank, Michael Wedow
Recovery determinants of distressed banks: Regulators, market discipline, or the environment?	2010-05-18	187 KB
02/2010: Thomas Kick, Michael Koetter, Tigran Poghosyan
Deriving the term structure of banking crisis risk with a compound option approach: the case of Kazakhstan	2010-05-10	418 KB
01/2010: Stefan Eichler, Alexander Karmann, Dominik Maltritz
What macroeconomic shocks affect the German banking system? Analysis in an integrated micro-macro model	2009-11-13	295 KB
15/2009: Sven Blank, Jonas Dovern
The dependency of the banks' assets and liabilities: evidence from Germany	2009-11-03	597 KB
14/2009: Christoph Memmel, Andrea Schertler
Systematic risk of CDOs and CDO arbitrage	2009-10-30	418 KB
13/2009: Alfred Hamerle, Thilo Liebig, Hans-Jochen Schropp
Margins of international banking: Is there a productivity pecking order in banking, too?	2009-10-26	642 KB
12/2009: Claudia M. Buch, Cathérine Tahmee Koch, Michael Koetter
Determinants for using visible reserves in German banks - an empirical study	2009-10-05	316 KB
11/2009: Sven Bornemann, Susanne Homölle, Carsten Hubensack, Thomas Kick, Andreas Pfingsten
The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany	2009-10-02	497 KB
10/2009: Falko Fecht, Michael Wedow
Income diversification in the German banking industry	2009-08-07	400 KB
09/2009: Ramona Busch, Thomas Kick
Financial markets’ appetite for risk - and the challenge of assessing its evolution by risk appetite indicators	2009-07-07	1.455 KB
08/2009: Birgit Uhlenbrock
Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books - a multivariate nonparametric approach	2009-06-02	971 KB
07/2009: Sandra Gaisser, Christoph Memmel, Rafael Schmidt, Carsten Wehn
Does banks' size distort market prices? Evidence for too-big-to-fail in the CDS market	2009-03-24	389 KB
06/2009: Manja Völz, Michael Wedow
Why do savings banks transform sight deposits into illiquid assets less intensively than the regulation allows?	2009-03-13	204 KB
05/2009: Dorothee Holl, Andrea Schertler
Shocks at large banks and banking sector distress: the Banking Granular Residual	2009-03-09	416 KB
04/2009: Sven Blank, Claudia M. Buch, Katja Neugebauer
The effects of privatization and consolidation on bank productivity: comparative evidence from Italy and Germany	2009-03-06	637 KB
03/2009: Elisabetta Fiorentino, Alessio De Vincenzo, Frank Heid, Alexander Karmann, Michael Koetter
Stress testing German banks in a downturn in the automobile industry	2009-03-02	382 KB
02/2009: Klaus Düllmann, Martin Erdelmeier
Dominating estimators for the global minimum variance portfolio	2009-02-20	521 KB
01/2009: Gabriel Frahm, Christoph Memmel
Sturm und Drang in money market funds: when money market funds cease to be narrow	2008-12-30	398 KB
20/2008: Stephan Jank, Michael Wedow
Stochastic frontier analysis by means of maximum likelihood and the method of moments	2008-11-14	339 KB
19/2008: Andreas Behr, Sebastian Tente
Real estate markets and bank distress	2008-09-15	538 KB
18/2008: Michael Koetter, Tigran Poghosyan
Stress testing of real credit portfolios	2008-09-08	527 KB
17/2008: Ferdinand Mager, Christian Schmieder
The impact of downward rating momentum on credit portfolio risk	2008-06-24	340 KB
16/2008: André Güttler, Peter Raupach
The implications of latent technology regimes for competition and efficiency in banking	2008-06-13	527 KB
15/2008: Michael Koetter, Tigran Poghosyan
Regulatory capital for market and credit risk interaction: is current regulation always conservative?	2008-06-04	462 KB
14/2008: Thomas Breuer, Martin Jandacka, Klaus Rheinberger, Martin Summer
Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations	2008-06-03	701 KB
13/2008: Theodore M. Barnhill, Jr., Marcos Rietti Souto
A value at risk analysis of credit default swaps	2008-06-03	299 KB
12/2008: Burkhard Raunig, Martin Scheicher
Interaction of market and credit risk:an analysis of inter-risk correlation and risk aggregation	2008-06-02	376 KB
11/2008: Klaus Böcker, Martin Hillebrand
Determinants of European banks' engagement in loan securitization	2008-06-02	490 KB
10/2008: Christina E. Bannier, Dennis N. Hänsel
The pricing of correlated default risk: evidence from the credit derivatives market	2008-05-30	592 KB
09/2008: Nikola Tarashev, Haibin Zhu
Market conditions, default risk and credit spreads	2008-05-30	336 KB
08/2008: Dragon Yongjun Tang, Hong Yan
Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks	2008-05-09	535 KB
07/2008: Christoph Memmel
The success of bank mergers revisited - an assessment based on a matching strategy	2008-05-06	892 KB
06/2008: Andreas Behr, Frank Heid
Rollover risk in commercial paper markets and firms' debt maturity choice	2008-05-05	334 KB
05/2008: Felix Thierfelder
Estimating asset correlations from stock prices or default rates - which method is superior?	2008-04-14	420 KB
04/2008: Klaus Düllmann, Jonathan Küll, Michael Kunisch
Monetary policy and bank distress: an integrated micro-macro approach	2008-03-25	597 KB
03/2008: Ferre de Graeve, Thomas Kick, Michael Koetter
Bank mergers and the dynamics of deposit interest rates	2008-03-17	335 KB
02/2008: Ben R. Craig, Valeriya Dinger
Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany	2008-02-29	496 KB
01/2008: Oliver Entrop, Christoph Memmel, Marco Wilkens, Alexander Zeisler
Estimating probabilities of default with support vector machines	2007-12-28	690 KB
18/2007: Wolfgang K. Härdle, Rouslan A. Moro, Dorothea Schäfer
Profitability of Western European banking systems: panel evidence on structural and cyclical determinants	2007-12-21	586 KB
17/2007: Rainer Beckmann
Endogenous credit derivatives and bank behavior	2007-12-11	433 KB
16/2007: Thilo Pausch
Creditor concentration: an empirical investigation	2007-12-07	554 KB
15/2007 Steven Ongena, Günseli Tümer-Alkan, Natalja von Westernhagen
Relationship lending - empirical evidence for Germany	2007-12-03	352 KB
14/2007 Christoph Memmel, Christian Schmieder, Ingrid Stein
Asset correlations and credit portfolio risk – an empirical analysis	2007-10-08	404 KB
13/2007: Klaus Düllmann, Martin Scheicher, Christian Schmieder
The marketability of bank assets and managerial rents: implications for financial stability	2007-08-27	404 KB
12/2007: Falko Fecht, Wolf Wagner
Welfare effects of financial integration	2007-08-27	573 KB
11/2007: Falko Fecht, Hans Peter Grüner, Philipp Hartmann
The quality of banking and regional growth	2007-08-24	415 KB
10/2007: Iftekhar Hasan, Michael Koetter, Michael Wedow
Banking consolidation and small businessfinance - empirical evidence for Germany	2007-08-07	500 KB
09/2007: Katharina Marsch, Christian Schmieder, Katrin Forster-van Aerssen
Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery	2007-07-27	247 KB
08/2007: Niko Dötz
Modelling dynamic portfolio risk using risk drivers of elliptical processes	2007-06-04	647 KB
07/2007 Rafael Schmidt, Christian Schmieder
How do banks adjust their capital ratios? Evidence from Germany	2007-04-20	339 KB
06/2007 Christoph Memmel, Peter Raupach
Diversification and the banks’ risk-return-characteristics - evidence from loan portfolios of German banks	2007-04-02	377 KB
05/2007: Andreas Behr, Andreas Kamp, Christoph Memmel, Andreas Pfingsten
Open-end real estate funds in Germany - genesis and crisis	2007-03-09	381 KB
04/2007: Christina E. Bannier, Falko Fecht, Marcel Tyrell
Slippery slopes of stress: ordered failure events in German banking	2007-02-16	1.430 KB
03/2007: Thomas Kick, Michael Koetter
Efficient, profitable and safe banking: an oxymoron? Evidence from a panel VAR approach	2007-02-16	575 KB
02/2007: Michael Koetter, Daniel Porath
Granularity adjustment for Basel II	2007-02-09	367 KB
01/2007: Michael B. Gordy, Eva Lütkebohmert
Money market derivatives and the allocation of liquidity risk in the banking sector	2006-12-30	450 KB
12/2006: Falko Fecht, Hendrik Hakenes
Limits to international banking consolidation	2006-12-30	453 KB
11/2006: Falko Fecht, Hans Peter Grüner
The cost efficiency of German banks:a comparison of SFA and DEA	2006-11-14	599 KB
10/2006: Elisabetta Fiorentino, Alexander Karmann, Michael Koetter,
Sector concentration in loan portfolios and economic capital	2006-11-14	411 KB
09/2006: Klaus Düllmann, Nancy Masschelein
The stability of efficiency rankings when risk-preferences and objectives are different	2006-11-06	645 KB
08/2006: Michael Koetter
Empirical risk analysis of pension insurance - the case of Germany	2006-09-06	183 KB
07/2006: Wolfgang Gerke, Ferdinand Mager, Timo Reinschmidt, Christian Schmieder
Banks´ regulatory buffers, liquidity networks and monetary policy transmission	2006-08-31	205 KB
06/2006: Christian Merkl, St?phanie Stolz
Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios	2006-08-08	415 KB
05/2006: Evelyn Hayden, Daniel Porath, Natalja von Westernhagen
Heterogeneity in lending and sectoral growth: evidence from German bank-level data	2006-07-24	670 KB
04/2006: Claudia M. Buch, Andrea Schertler, Natalja von Westernhagen
Measuring business sector concentration by an infection model	2006-05-09	636 KB
03/06: Klaus Düllmann
Finance and growth in a bank-based economy: is it quantity or quality that matters?	2006-04-11	518 KB
02/2006: Michael Koetter, Michael Wedow
Forecasting stock market volatility with macroeconomic variables in real time	2006-03-17	316 KB
01/2006: Jörg Döpke, Daniel Hartmann, Christian Pierdzioch
Inefficient or just different? Effects of heterogeneity on bank efficiency scores	2005-11-23	560 KB
15/05: Jaap W. B. Bos, Frank Heid, Michael Koetter, James W. Kolari, Clemens J. M. Kool
Time series properties of a rating system based on financial ratios	2005-11-23	905 KB
14/05: Ulrich Krüger, Martin Stötzel, Stefan Trück
Incorporating prediction and estimation risk in point-in-time credit portfolio models	2005-11-23	671 KB
13/05: Alfred Hamerle, Michael Knapp, Thilo Liebig, Nicole Wildenauer
Evaluating the German bank merger wave	2005-11-23	558 KB
12/05 Michael Koetter
Financial integration and systemic risk	2005-09-27	701 KB
11/05: Falko Fecht, Hans Peter Grüner
The eurosystem money market auctions: a banking perspective	2005-09-16	1.004 KB
10/05: Nikolaus Bartzsch, Ben Craig, Falko Fecht
Accounting for distress in bank mergers	2005-09-16	398 KB
09/05: Michael Koetter, Jaap W. B. Bos, Frank Heid, Clemens J. M. Kool, James W. Kolari, Daniel Porath
German bank lending to industrial and non-industrial countries: driven by fundamentals or different treatment?	2005-08-17	243 KB
08/05: Thorsten Nestmann
Banks´ regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks	2005-07-26	352 KB
07/05: St?phanie Stolz, Michael Wedow
Cyclical implications of minimum capital requirements	2005-07-26	455 KB
06/05: Frank Heid
The forecast ability of risk-neutral densities of foreign exchange	2005-07-12	604 KB
05/05: Ben Craig, Joachim Keller
Banks, markets, and efficiency	2005-07-12	528 KB
04/05: Falko Fecht, Antoine Martin
Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios	2005-06-10	384 KB
03/05 Andreas Kamp, Andreas Pfingsten, Daniel Porath
The supervisors portfolio: The market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation	2005-04-01	1.080 KB
02/05 Christoph Memmel, Carsten Wehn
Measurement matters - Input price proxies and bank efficiency in Germany	2005-01-01	290 KB
01/05 Michael Koetter
Estimating probabilities of default for German saving banks and credit cooperatives	2004-12-01	378 KB
06/04 Daniel Porath
How will Basel II affect bank lending to emerging markets - An analysis based on German bank level data	2004-10-01	421 KB
05/04 Thilo Liebig, Daniel Porath, Beatice Weder di Mauro, Michael Wedow
German bank lending during emerging market crises: A bank level analysis	2004-08-03	243 KB
04/04 Frank Heid, Thorsten Nestmann, Beatrice Weder di Mauro, Natalja von Westernhagen
Does capital regulation matter for bank behaviour - Evidence for German savings banks	2004-08-02	258 KB
03/04 Frank Heid, Daniel Porath, St?phanie Stolz
Systematic Risk in Recovery Rates - An empirical Analysis of US Corporate Credit Exposures	2004-08-01	480 KB
02/04 Klaus Düllmann, Monika Trapp
Forecasting Credit Portfolio Risk	2004-02-01	327 KB
01/04 Alfred Hamerle, Thilo Liebig, Harald Scheule
Credit Risk Factor Modeling and the Basel II IRB Approach	2003-11-01	467 KB
02/03 Alfred Hamerle, Thilo Liebig, Daniel Rösch
Measuring the Discriminative Power of Rating Systems	2003-10-01	326 KB
01/03 Bernd Engelmann, Evelyn Hayden, Dirk Tasche