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    <title>EconStor Collection: Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank</title>
    <link>http://hdl.handle.net/10419/24</link>
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      <title>A hierarchical model of tail dependent asset returns for assessing portfolio credit risk</title>
      <link>http://hdl.handle.net/10419/57784</link>
      <description>Title: A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
&lt;br/&gt;
&lt;br/&gt;Authors: Puzanova, Natalia
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper introduces a multivariate pure-jump Lévy process which allows for skewness and excess kurtosis of single asset returns and for asymptotic tail dependence in the multivariate setting. It is termed Variance Compound Gamma (VCG). The novelty of my approach is that, by applying a two-stage stochastic time change to Brownian motions, I derive a hierarchical structure with different properties of inter- and intra-sector dependence. I investigate the properties of the implied static copula families and come to the conclusion that they are ordered with respect to their parameters and that the lower-tail dependence of the intra-sector copula is increasing in the absolute values of skewness parameters. Furthermore, I show that the joint characteristic function of the VCG asset returns can be explicitly given as a nested Archimedean copula of their marginal characteristic functions. Applied to credit portfolio modelling, the framework introduced results in a more conservative tail risk assessment than a Gaussian framework with the same linear correlation structure, as I show in a simulation study. To foster the simulation efficiency, I provide an Importance Sampling algorithm for the VCG portfolio setting.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
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      <title>Does it pay to have friends? Social ties and executive appointments in banking</title>
      <link>http://hdl.handle.net/10419/57783</link>
      <description>Title: Does it pay to have friends? Social ties and executive appointments in banking
&lt;br/&gt;
&lt;br/&gt;Authors: Berger, Allen N.; Kick, Thomas; Koetter, Michael; Schaeck, Klaus
&lt;br/&gt;
&lt;br/&gt;Abstract: Social capital theory predicts individuals establish social ties based on homophily, i.e., affinities for similar others. We exploit a unique sample to analyze how similarities and social ties affect career outcomes in banking based on age, education, gender, and employment history to examine if homophily and connectedness increase the probability that the appointee to an executive board is an outsider (an individual without previous employment at the bank) compared to being an insider. Our results show that homophily based on age and gender raises the chance of the successful candidate being an outsider, whereas similar educational backgrounds reduce the chance that the appointee comes from outside. When we examine performance effects, we find weak evidence that social ties are associated with reduced profitability.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
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    <item>
      <title>Contagion in the interbank market and its determinants</title>
      <link>http://hdl.handle.net/10419/57782</link>
      <description>Title: Contagion in the interbank market and its determinants
&lt;br/&gt;
&lt;br/&gt;Authors: Memmel, Christoph; Sachs, Angelika
&lt;br/&gt;
&lt;br/&gt;Abstract: Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the expected number of failures, without much loss of information. (iii) Important determinants of this indicator are the banks' capital, their interbank lending in the system, the loss given default and how equal banks spread their claims among other banks.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
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      <title>Credit contagion between financial systems</title>
      <link>http://hdl.handle.net/10419/57781</link>
      <description>Title: Credit contagion between financial systems
&lt;br/&gt;
&lt;br/&gt;Authors: Podlich, Natalia; Wedow, Michael
&lt;br/&gt;
&lt;br/&gt;Abstract: We examine contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European financial systems. Our results additionally confirm that the set up of the financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our results suggest that contagion from dealer banks have the most prominent effect on the German financial system. While dealer banks impact on German banks and insurance companies in a similar way, a deterioration in the CDS spreads of dealer banks has a particularly pronounced effect on German dealer banks.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
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