Central Bank Research Hub - Series: Deutsche Bundesbank Banking Supervision Discussion Papers

Papers by year: All | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003

	Title	Author(s)
Full text	Stress testing of real credit portfolios Paper: 2008/17, 08.09.2008 JEL: G21, G28	Ferdinand Mager Christian Schmieder
Full text	The impact of downward rating momentum on credit portfolio risk Paper: 2008/16, 29.06.2008	Peter Raupach André Güttler
Full text	The implications of latent technology regimes for competition and efficiency in banking Paper: 2008/15, 13.06.2008	Tigran Poghosyan Michael Koetter
Full text	Regulatory capital for market and credit risk interaction: is current regulation always conservative? Paper: 2008/14, 04.06.2008 JEL: C15, G20, G28, G32	Martin Summer Martin Jandacka Thomas Breuer Klaus Rheinberger
Full text	Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations Paper: 2008/13, 03.06.2008 JEL: G0	Marcos Rietti Souto Theodore M. Barnhill
Full text	Interaction of market and credit risk:an analysis of inter-risk correlation and risk aggregation Paper: 2008/11, 02.06.2008 JEL: C13, G21, G28, G31	Martin Hillebrand Klaus Böcker
Full text	The pricing of correlated default risk: evidence from the credit derivatives market Paper: 2008/09, 30.05.2008 JEL: C15, G12, G13	Haibin Zhu Nikola A. Tarashev
Full text	Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks Paper: 2008/07, 09.05.2008 JEL: G12, G21	Christoph Memmel
Full text	The success of bank mergers revisited - an assessment based on a matching strategy Paper: 2008/06, 06.05.2008	Frank Heid Andreas Behr
Full text	Estimating asset correlations from stock prices or default rates - which method is superior? Paper: 2008/04, 14.04.2008	Klaus Düllmann Jonathan Küll Michael Kunisch
Full text	Monetary policy and bank distress: an integrated micro-macro approach Paper: 2008/03, 02.04.2008 JEL: E42, E52, E58, G21, G28	Thomas Kick Michael Koetter Ferre De Graeve
Full text	Estimating probabilities of default with support vector machines Paper: 2007/18, 28.12.2007 JEL: C14, C45, G33	Rouslan A. Moro Wolfgang K. Härdle Dorothea Schäfer
Full text	Profitability of Western European banking systems: panel evidence on structural and cyclical determinants Paper: 2007/17, 21.12.2007 JEL: G21, L11	Rainer Beckmann
Full text	Endogenous credit derivatives and bank behavior Paper: 2007/16, 11.12.2007 JEL: D53, D82, G11, G14, G21	Thilo Pausch
Full text	Creditor concentration: an empirical investigation Paper: 2007/15, 07.12.2007 JEL: G21, G32, G33	Günseli Tümer-Alkan Steven Ongena Natalja von Westernhagen
Full text	Relationship lending - empirical evidence for Germany Paper: 2007/14, 03.12.2007 JEL: G21, G32	Christoph Memmel Ingrid Stein Christian Schmieder
Full text	The marketability of bank assets and managerial rents: implications for financial stability Paper: 2007/12, 28.08.2007	Wolf Wagner Falko Fecht
Full text	Welfare effects of financial integration Paper: 2007/11, 28.08.2007	Philipp Hartmann Falko Fecht Hans Peter Grüner
Full text	The quality of banking and regional growth Paper: 2007/10, 24.08.2007	Iftekhar Hasan Michael Wedow Michael Koetter
Full text	Banking consolidation and small businessfinance - empirical evidence for Germany Paper: 2007/09, 07.08.2007	Katharina Marsch Christian Schmieder Katrin Forster-van Aerssen
Full text	Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery Paper: 2007/08, 02.08.2007	Niko Dötz
Full text	Modelling dynamic portfolio risk using risk drivers of elliptical processes Paper: 2007/07, 02.08.2007	Rafael Schmidt Christian Schmieder
Full text	How do banks adjust their capital ratios? Evidence from Germany Paper: 2007/06, 02.08.2007	Peter Raupach Christoph Memmel
Full text	Diversification and the banks’ risk-return-characteristics - evidence from loan portfolios of German banks Paper: 2007/05, 02.08.2007	Andreas Pfingsten Andreas Behr Andreas Kamp Christoph Memmel
Full text	Open-end real estate funds in Germany - genesis and crisis Paper: 2007/04, 02.08.2007	Marcel Tyrell Christina E. Bannier Falko Fecht
Full text	Slippery slopes of stress: ordered failure events in German banking Paper: 2007/03, 02.08.2007	Thomas Kick Michael Koetter
Full text	Efficient, profitable and safe banking: an oxymoron? Evidence from a panel VAR approach Paper: 2007/02, 02.08.2007	Daniel Porath Michael Koetter
Full text	Granularity adjustment for Basel II Paper: 2007/01, 02.08.2007	Michael B. Gordy Eva Lütkebohmert
Full text	Money market derivatives and the allocation of liquidity risk in the banking sector Paper: 2006/12, 26.01.2007 JEL: D82, G21, G33	Hendrik Hakenes Falko Fecht
Full text	The cost efficiency of German banks:a comparison of SFA and DEA Paper: 2006/10, 14.11.2006 JEL: D24, G21, L25	Elisabetta Fiorentino Alexander Karmann Michael Koetter
Full text	Sector concentration in loan portfolios and economic capital Paper: 2006/09, 14.11.2006 JEL: C1, G18, G21	Klaus Düllmann Nancy Masschelein
Full text	The stability of efficiency rankings when risk-preferences and objectives are different Paper: 2006/08, 06.11.2006 JEL: D21, G21, G33, L21	Michael Koetter
Full text	Empirical risk analysis of pension insurance - the case of Germany Paper: 2006/07, 06.09.2006 JEL: C15, G18, G22, G23, G28	Timo Reinschmidt Ferdinand Mager Christian Schmieder Wolfgang Gerke
Full text	Banks’ regulatory buffers, liquidity networks and monetary policy transmission Paper: 2006/06, 05.09.2006 JEL: C23, E52, G21, G28	Christian Merkl Stéphanie Stolz
Full text	Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios Paper: 2006/05, 08.08.2006 JEL: G21, G28, G32	Daniel Porath Evelyn Hayden Natalja von Westernhagen
Full text	Heterogeneity in lending and sectoral growth: evidence from German bank-level data Paper: 2006/04, 24.07.2006 JEL: F3, G21	Claudia M. Buch Andrea Schertler Natalja von Westernhagen
Full text	Measuring business sector concentration by an infection model Paper: 2006/03, 02.06.2006	Klaus Düllmann
Full text	Finance and growth in a bank-based economy: is it quantity or quality that matters? Paper: 2006/02, 01.05.2006 JEL: G21, G28, O4, R11	Michael Wedow Michael Koetter
Full text	Forecasting stock market volatility with macroeconomic variables in real time Paper: 2006/01, 01.04.2006 JEL: C53, E44, G11	Jörg Döpke Daniel Hartmann Christian Pierdzioch
Full text	Inefficient or just different? Effects of heterogeneity on bank efficiency scores Paper: 2005/15, 25.11.2005 JEL: G14, G21, G34	Frank Heid Clemens J. M. Kool Jaap W. B. Bos James W. Kolari Michael Koetter
Full text	Time series properties of a rating system based on financial ratios Paper: 2005/14, 25.11.2005	Stefan Trück Ulrich Krüger Martin Stötzel
Full text	Incorporating prediction and estimation risk in point-in-time credit portfolio models Paper: 2005/13, 25.11.2005 JEL: C1, G21	Thilo Liebig Nicole Wildenauer Alfred Hamerle Michael Knapp
Full text	Evaluating the German bank merger wave Paper: 2005/12, 25.11.2005 JEL: G21, G28, G33, L44	Michael Koetter
Full text	Financial integration and systemic risk Paper: 2005/11, 25.11.2005 JEL: D61, E44, G10, G21	Falko Fecht Hans Peter Grüner
Full text	The eurosystem money market auctions: a banking perspective Paper: 2005/10, 25.11.2005 JEL: E51, G21	Nikolaus Bartzsch Falko Fecht Ben Craig
Full text	Accounting for distress in bank mergers Paper: 2005/09, 25.11.2005 JEL: G14, G21, G34	Daniel Porath Frank Heid Clemens J. M. Kool Jaap W. B. Bos James W. Kolari Michael Koetter
Full text	German bank lending to industrial and non-industrial countries: driven by fundamentals or different treatment? Paper: 2005/08, 25.11.2005 JEL: F30, F34, G21	Thorsten Nestmann
Full text	Banks’ regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks Paper: 2005/07, 25.11.2005 JEL: G21, G28	Stéphanie Stolz Michael Wedow
Full text	Cyclical implications of minimum capital requirements Paper: 2005/06, 25.11.2005 JEL: E32, E44, G21	Frank Heid
Full text	The forecast ability of risk-neutral densities of foreign exchange Paper: 2005/05, 25.11.2005 JEL: C52, C63, F31, F47	Joachim Keller Ben Craig

Papers by year: All | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003