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)

Stress testing of real credit portfolios

Paper: 2008/17, 08.09.2008

JEL: G21, G28

The impact of downward rating momentum on credit portfolio risk

Paper: 2008/16, 29.06.2008

The implications of latent technology regimes for competition and efficiency in banking

Paper: 2008/15, 13.06.2008

Regulatory capital for market and credit risk interaction: is current regulation always conservative?

Paper: 2008/14, 04.06.2008

JEL: C15, G20, G28, G32

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


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

The pricing of correlated default risk: evidence from the credit derivatives market

Paper: 2008/09, 30.05.2008

JEL: C15, G12, G13

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

The success of bank mergers revisited - an assessment based on a matching strategy

Paper: 2008/06, 06.05.2008

Estimating asset correlations from stock prices or default rates - which method is superior?

Paper: 2008/04, 14.04.2008

Monetary policy and bank distress: an integrated micro-macro approach

Paper: 2008/03, 02.04.2008

JEL: E42, E52, E58, G21, G28

Estimating probabilities of default with support vector machines

Paper: 2007/18, 28.12.2007

JEL: C14, C45, G33

Profitability of Western European banking systems: panel evidence on structural and cyclical determinants

Paper: 2007/17, 21.12.2007

JEL: G21, L11

Endogenous credit derivatives and bank behavior

Paper: 2007/16, 11.12.2007

JEL: D53, D82, G11, G14, G21

Creditor concentration: an empirical investigation

Paper: 2007/15, 07.12.2007

JEL: G21, G32, G33

Relationship lending - empirical evidence for Germany

Paper: 2007/14, 03.12.2007

JEL: G21, G32

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

Paper: 2007/12, 28.08.2007

Welfare effects of financial integration

Paper: 2007/11, 28.08.2007

The quality of banking and regional growth

Paper: 2007/10, 24.08.2007

Banking consolidation and small businessfinance - empirical evidence for Germany

Paper: 2007/09, 07.08.2007

Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery

Paper: 2007/08, 02.08.2007

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Paper: 2007/07, 02.08.2007

How do banks adjust their capital ratios? Evidence from Germany

Paper: 2007/06, 02.08.2007

Diversification and the banks¿ risk-return-characteristics - evidence from loan portfolios of German banks

Paper: 2007/05, 02.08.2007

Open-end real estate funds in Germany - genesis and crisis

Paper: 2007/04, 02.08.2007

Slippery slopes of stress: ordered failure events in German banking

Paper: 2007/03, 02.08.2007

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

Paper: 2007/02, 02.08.2007

Granularity adjustment for Basel II

Paper: 2007/01, 02.08.2007

Money market derivatives and the allocation of liquidity risk in the banking sector

Paper: 2006/12, 26.01.2007

JEL: D82, G21, G33

The cost efficiency of German banks:a comparison of SFA and DEA

Paper: 2006/10, 14.11.2006

JEL: D24, G21, L25

Sector concentration in loan portfolios and economic capital

Paper: 2006/09, 14.11.2006

JEL: C1, G18, G21

The stability of efficiency rankings when risk-preferences and objectives are different

Paper: 2006/08, 06.11.2006

JEL: D21, G21, G33, L21

Empirical risk analysis of pension insurance - the case of Germany

Paper: 2006/07, 06.09.2006

JEL: C15, G18, G22, G23, G28

Banks¿ regulatory buffers, liquidity networks and monetary policy transmission

Paper: 2006/06, 05.09.2006

JEL: C23, E52, G21, G28

Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios

Paper: 2006/05, 08.08.2006

JEL: G21, G28, G32

Heterogeneity in lending and sectoral growth: evidence from German bank-level data

Paper: 2006/04, 24.07.2006

JEL: F3, G21

Measuring business sector concentration by an infection model

Paper: 2006/03, 02.06.2006

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

Forecasting stock market volatility with macroeconomic variables in real time

Paper: 2006/01, 01.04.2006

JEL: C53, E44, G11

Inefficient or just different? Effects of heterogeneity on bank efficiency scores

Paper: 2005/15, 25.11.2005

JEL: G14, G21, G34

Time series properties of a rating system based on financial ratios

Paper: 2005/14, 25.11.2005

Incorporating prediction and estimation risk in point-in-time credit portfolio models

Paper: 2005/13, 25.11.2005

JEL: C1, G21

Evaluating the German bank merger wave

Paper: 2005/12, 25.11.2005

JEL: G21, G28, G33, L44

Financial integration and systemic risk

Paper: 2005/11, 25.11.2005

JEL: D61, E44, G10, G21

The eurosystem money market auctions: a banking perspective

Paper: 2005/10, 25.11.2005

JEL: E51, G21

Accounting for distress in bank mergers

Paper: 2005/09, 25.11.2005

JEL: G14, G21, G34

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

Banks¿ regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks

Paper: 2005/07, 25.11.2005

JEL: G21, G28

Cyclical implications of minimum capital requirements

Paper: 2005/06, 25.11.2005

JEL: E32, E44, G21

The forecast ability of risk-neutral densities of foreign exchange

Paper: 2005/05, 25.11.2005

JEL: C52, C63, F31, F47

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