EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/19733
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorPorath, Danielen_US
dc.date.accessioned2009-01-28T16:02:45Z-
dc.date.available2009-01-28T16:02:45Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/19733-
dc.description.abstractA healthy banking system is a fundamental condition for financial stability. When assessing the riskiness of the banking system, analysts often restrict their focus to large banks. This may create a distorted picture in countries like Germany with fragmented banking systems. In Germany, savings banks and cooperative banks taken together are important players in the market. However, little is known about their default risk. The reason is that these banks usually resolve financial distress within their own organisations, which means defaults are not observable from the outside. In this paper we use a new dataset which contains information about financial distress and financial strength of all German savings banks and cooperative banks. The data have been gathered by the Deutsche Bundesbank for microprudential supervision and have never before been exploited for macroprudential purposes. We use the data to identify the main risk drivers. To this end we estimate a default prediction model (hazard model). A second goal of the paper is to analyse the impact of macroeconomic information for forecasting banks' defaults. Recent findings for the USA have cast some doubt on the usefulness of macroeconomic information for banks' risk assessment. Contrary to recent literature, we find that macroeconomic information significantly improves default forecasts.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion Paper, Series 2: Banking and Financial Supervision 2004,06en_US
dc.subject.jelC23en_US
dc.subject.jelG28en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordbank failureen_US
dc.subject.keyworddefault probabilityen_US
dc.subject.keywordtime-discrete hazard rateen_US
dc.subject.stwBankinsolvenzen_US
dc.subject.stwSparkasseen_US
dc.subject.stwKreditgenossenschaften_US
dc.subject.stwSch├Ątzungen_US
dc.subject.stwDeutschlanden_US
dc.titleEstimating probabilities of default for German savings banks and credit cooperativesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn479343985en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:4255-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

Files in This Item:
File Description SizeFormat
200406dkp_b.pdf377.92 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.