Discussion Paper Series 2: Banking and Financial Studies

from Deutsche Bundesbank, Research Centre
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2009,11: Determinants for using visible reserves in German banks: an empirical study

Sven Bornemann, Homölle, Susanne, Carsten Hubensack, Thomas Kick and Andreas Pfingsten

2009,10: The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany

Falko Fecht and Michael Wedow

2009,09: Income diversification in the German banking industry

Ramona Busch and Thomas Kick

2009,08: Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators

Birgit Uhlenbrock

2009,07: Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach

Sandra Gaisser, Christoph Memmel, Rafael Schmidt and Carsten Wehn

2009,06: Does banks size distort market prices?: evidence for too-big-to-fail in the CDS market

Völz, Manja and Michael Wedow

2009,05: Why do savings banks transform sight deposits into illiquid assets less intensively than the regulation allows?

Dorothee Holl and Andrea Schertler

2009,04: Shocks at large banks and banking sector distress: the Banking Granular Residual

Sven Blank, Claudia M. Buch and Katja Neugebauer

2009,03: The effects of privatization and consolidation on bank productivity: comparative evidence from Italy and Germany

Elisabetta Fiorentino, Alessio De Vincenzo, Frank Heid, Alexander Karmann and Michael Koetter

2009,02: Stress testing German banks in a downturn in the automobile industry

Klaus Düllmann and Martin Erdelmeier

2009,01: Dominating estimators for the global minimum variance portfolio

Gabriel Frahm and Christoph Memmel

2008,20: Sturm und Drang in money market funds: when money market funds cease to be narrow

Stephan Jank and Michael Wedow

2008,19: Stochastic frontier analysis by means of maximum likelihood and the method of moments

Andreas Behr and Sebastian Tente

2008,18: Real estate markets and bank distress

Michael Koetter and Tigran Poghosyan

2008,17: Stress testing of real credit portfolios

Ferdinand Mager and Christian Schmieder

2008,16: The impact of downward rating momentum on credit portfolio risk

Güttler, André and Peter Raupach

2008,15: The implications of latent technology regimes for competition and efficiency in banking

Michael Koetter and Tigran Poghosyan

2008,14: Regulatory capital for market and credit risk interaction: is current regulation always conservative?

Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer

2008,13: Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations

Theodore M. Barnhill and Marcos Rietti Souto

2008,12: A value at risk analysis of credit default swaps

Martin Scheicher and Burkhard Raunig

2008,11: Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Martin Hillebrand and Böcker, Klaus

2008,10: Determinants of European banks' engagement in loan securitization

Hänsel, Dennis N. and Christina Bannier

2008,09: The pricing of correlated default risk: evidence from the credit derivatives market

Haibin Zhu and Nikola A. Tarashev

2008,08: Market conditions, default risk and credit spreads

Dragon Yongjun Tang and Hong Yan

2008,07: Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks

Christoph Memmel

2008,06: The success of bank mergers revisited: an assessment based on a matching strategy

Frank Heid and Andreas Behr

2008,05: Rollover risk in commercial paper markets and firms' debt maturity choice

Felix Thierfelder

2008,04: Estimating asset correlations from stock prices or default rates: which method is superior?

Klaus Düllmann, Michael Kunisch and Jonathan Küll

2008,03: Monetary policy and bank distress: an integrated micro-macro approach

Ferre De Graeve and Thomas Kick

2008,02: Bank mergers and the dynamics of deposit interest rates

Ben R. Craig and Valeriya Dinger

2008,01: Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany

Marco Wilkens, Christoph Memmel, Oliver Entrop and Alexander Zeisler

2007,18: Estimating probabilities of default with support vector machines

Härdle, Wolfgang, Rouslan A. Moro and Schäfer, Dorothea (Wolfgang Karl Härdle and Dorothea Schäfer)

2007,17: Profitability of Western European banking systems: panel evidence on structural and cyclical determinants

Rainer Beckmann

2007,16: Endogenous credit derivatives and bank behavior

Thilo Pausch

2007,15: Creditor concentration: an empirical investigation

Steven Ongena, Tümer-Alkan, Günseli and Natalja von Westernhagen

2007,14: Relationship lending: empirical evidence for Germany

Christian Schmieder, Christoph Memmel and Ingrid Stein

2007,13: Asset correlations and credit portfolio risk: an empirical analysis

Klaus Düllmann, Martin Scheicher and Christian Schmieder

2007,12: The marketability of bank assets and managerial rents: implications for financial stability

Falko Fecht and Wolf Wagner

2007,11: Welfare effects of financial integration

Philipp Hartmann, Hans Peter Grüner and Falko Fecht

2007,10: The quality of banking and regional growth

Iftekhar Hasan, Michael Koetter and Michael Wedow

2007,09: Banking consolidation and small businessfinance: empirical evidence for Germany

Katharina Marsch, Christian Schmieder and Forster-van Aerssen, Katrin

2007,08: Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery

Dötz, Niko

2007,07: Modelling dynamic portfolio risk using risk drivers of elliptical processes

Rafael Schmidt and Christian Schmieder

2007,06: How do banks adjust their capital ratios? Evidence from Germany

Christoph Memmel and Peter Raupach

2007,05: Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks

Andreas Behr, Andreas Kamp, Christoph Memmel and Andreas Pfingsten

2007,04: Open-end real estate funds in Germany: genesis and crisis

Christina Bannier, Falko Fecht and Marcel Tyrell

2007,03: Slippery slopes of stress: ordered failure events in German banking

Michael Koetter and Thomas Kick

2007,02: Efficient, profitable and safe banking: an oxymoron?: evidence from a panel VAR approach

Michael Koetter and Daniel Porath

2007,01: Granularity adjustment for Basel II

Eva Lütkebohmert and Michael B. Gordy

2006,12: Money market derivatives and the allocation of liquidity risk in the banking sector

Hendrik Hakenes and Falko Fecht