Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19733
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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 assessingthe riskiness of the banking system, analysts often restrict their focus to large banks. This maycreate a distorted picture in countries like Germany with fragmented banking systems. InGermany, savings banks and cooperative banks taken together are important players in themarket. However, little is known about their default risk. The reason is that these banksusually resolve financial distress within their own organisations, which means defaults are notobservable from the outside. In this paper we use a new dataset which contains informationabout financial distress and financial strength of all German savings banks and cooperativebanks. The data have been gathered by the Deutsche Bundesbank for microprudentialsupervision and have never before been exploited for macroprudential purposes. We use thedata 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 macroeconomicinformation for forecasting banks' defaults. Recent findings for the USA have cast somedoubt on the usefulness of macroeconomic information for banks' risk assessment. Contraryto recent literature, we find that macroeconomic information significantly improves defaultforecasts.en_US
dc.language.isoengen_US
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.-
dc.relation.ispartofseries|aDiscussion Paper, Series 2: Banking and Financial Supervision |x2004,06en_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.stwSchätzungen_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-

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