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Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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Showing items 41-61 of 120.

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DateTitle Authors
2009 Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approachGaisser, Sandra / Memmel, Christoph / Schmidt, Rafael / Wehn, Carsten
2009 Does banks size distort market prices? Evidence for too-big-to-fail in the CDS marketVölz, Manja / Wedow, Michael
2009 Why do savings banks transform sight deposits into illiquid assets less intensively than the regulation allows?Holl, Dorothee / Schertler, Andrea
2009 Shocks at large banks and banking sector distress: the Banking Granular ResidualBlank, Sven / Buch, Claudia M. / Neugebauer, Katja
2009 The effects of privatization and consolidation on bank productivity: comparative evidence from Italy and GermanyFiorentino, Elisabetta / Vincenzo, Alessio De / Heid, Frank / Karmann, Alexander / Koetter, Michael
2009 Stress testing German banks in a downturn in the automobile industryDüllmann, Klaus / Erdelmeier, Martin
2009 Dominating estimators for the global minimum variance portfolioFrahm, Gabriel / Memmel, Christoph
2008 Sturm und Drang in money market funds: when money market funds cease to be narrowJank, Stephan / Wedow, Michael
2008 Stochastic frontier analysis by means of maximum likelihood and the method of momentsBehr, Andreas / Tente, Sebastian
2008 Real estate markets and bank distressKoetter, Michael / Poghosyan, Tigran
2008 Stress testing of real credit portfoliosMager, Ferdinand / Schmieder, Christian
2008 The impact of downward rating momentum on credit portfolio riskGüttler, André / Raupach, Peter
2008 The implications of latent technology regimes for competition and efficiency in bankingKoetter, Michael / Poghosyan, Tigran
2008 Regulatory capital for market and credit risk interaction: is current regulation always conservative?Breuer, Thomas / Jandacka, Martin / Rheinberger, Klaus / Summer, Martin
2008 Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlationsBarnhill, Theodore M. / Souto, Marcos Rietti
2008 A value at risk analysis of credit default swapsScheicher, Martin / Raunig, Burkhard
2008 Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregationHillebrand, Martin / Böcker, Klaus
2008 Determinants of European banks' engagement in loan securitizationHänsel, Dennis N. / Bannier, Christina E.
2008 The pricing of correlated default risk: evidence from the credit derivatives marketZhu, Haibin / Tarashev, Nikola A.
2008 Market conditions, default risk and credit spreadsTang, Dragon Yongjun / Yan, Hong
2008 Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banksMemmel, Christoph
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