Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/19733 
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dc.contributor.authorPorath, Danielen
dc.date.accessioned2009-01-28T16:02:45Z-
dc.date.available2009-01-28T16:02:45Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2004,06en
dc.subject.jelC23en
dc.subject.jelG28en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordbank failureen
dc.subject.keyworddefault probabilityen
dc.subject.keywordtime-discrete hazard rateen
dc.subject.stwBankinsolvenzen
dc.subject.stwSparkasseen
dc.subject.stwKreditgenossenschaften
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleEstimating probabilities of default for German savings banks and credit cooperatives-
dc.typeWorking Paperen
dc.identifier.ppn479343985en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:4255en

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