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    <title>EconStor Collection: Discussion Paper Series 2: Banking and Financial Studies, Bundesbank</title>
    <link>http://hdl.handle.net/10419/24</link>
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  <item rdf:about="http://hdl.handle.net/10419/52134">
    <title>The effect of the interbank network structure on contagion and common shocks</title>
    <link>http://hdl.handle.net/10419/52134</link>
    <description>Title: The effect of the interbank network structure on contagion and common shocks
&lt;br/&gt;
&lt;br/&gt;Authors: Georg, Co-Pierre
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper proposes a dynamic multi-agent model of a banking system with central bank. Banks optimize a portfolio of risky investments and riskless excess reserves according to their risk, return, and liquidity preferences. They are linked via interbank loans and face stochastic deposit supply. Evidence is provided that the central bank stabilizes interbank markets in the short-run only. Comparing different interbank network structures, it is shown that money-center networks are more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms of systemic risk require different optimal policy responses.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/52133">
    <title>Banks' management of the net interest margin: Evidence from Germany</title>
    <link>http://hdl.handle.net/10419/52133</link>
    <description>Title: Banks' management of the net interest margin: Evidence from Germany
&lt;br/&gt;
&lt;br/&gt;Authors: Memmel, Christoph; Schertler, Andrea
&lt;br/&gt;
&lt;br/&gt;Abstract: We decompose the change in banks' net interest margin into a change in market-wide bank rates and a change in the balance-sheet composition. Our empirical findings from a detailed data set on German banks' balance-sheet positions, broken down into different maturities, creditors and borrowers and degrees of liquidity are as follows: (i) Changes in bank rates have a much greater impact on and explain more of the variation in net interest margins than do changes in balance-sheet compositions. (ii) Changes in bank rates and changes in balance-sheet compositions affect the change in the net interest margin less strongly for derivative users than for non-users. On average, banks employ interest rate derivatives to reduce on-balance risk. (iii) When risk-taking becomes more lucrative, banks tend to increase their on-balance exposure. This effect is more pronounced for derivative users than for non-users.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/52132">
    <title>A hierarchical Archimedean copula for portfolio credit risk modelling</title>
    <link>http://hdl.handle.net/10419/52132</link>
    <description>Title: A hierarchical Archimedean copula for portfolio credit risk modelling
&lt;br/&gt;
&lt;br/&gt;Authors: Puzanova, Natalia
&lt;br/&gt;
&lt;br/&gt;Abstract: I introduce a novel, hierarchical model of tail dependent asset returns which can be particularly useful for measuring portfolio credit risk within the structural framework. To allow for a stronger dependence within sub-portfolios than between them, I utilise the concept of nested Archimedean copulas, but modify the nesting procedure to ensure the compatibility of copula generators by construction. This makes sampling straightforward. Moreover, I provide details on a particular specification based on a gamma mixture of powers. This model allows for lower tail dependence, resulting in a more conservative credit risk assessment than a comparable Gaussian model. I illustrate the extent of model risk when calculating VaR or Expected Shortfall for a credit portfolio.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/52133">
    <title>Banks' management of the net interest margin: Evidence from Germany</title>
    <link>http://hdl.handle.net/10419/52133</link>
    <description>Title: Banks' management of the net interest margin: Evidence from Germany
&lt;br/&gt;
&lt;br/&gt;Authors: Memmel, Christoph; Schertler, Andrea
&lt;br/&gt;
&lt;br/&gt;Abstract: We decompose the change in banks' net interest margin into a change in market-wide bank rates and a change in the balance-sheet composition. Our empirical findings from a detailed data set on German banks' balance-sheet positions, broken down into different maturities, creditors and borrowers and degrees of liquidity are as follows: (i) Changes in bank rates have a much greater impact on and explain more of the variation in net interest margins than do changes in balance-sheet compositions. (ii) Changes in bank rates and changes in balance-sheet compositions affect the change in the net interest margin less strongly for derivative users than for non-users. On average, banks employ interest rate derivatives to reduce on-balance risk. (iii) When risk-taking becomes more lucrative, banks tend to increase their on-balance exposure. This effect is more pronounced for derivative users than for non-users.</description>
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