Discussion Paper Series 2: Banking and Financial Studies

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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

André Güttler 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 Klaus Böcker

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

Dennis N. Hänsel and Christina Bannier

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

Haibin Zhu and Nikola 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 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

Wolfgang Karl Härdle, Rouslan A. Moro 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, Günseli Tümer-Alkan 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 Katrin Forster-van Aerssen

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

Niko Dötz

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 Gordy

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

Hendrik Hakenes and Falko Fecht

2006,11: Limits to international banking consolidation

Hans Peter Grüner and Falko Fecht

2006,10: The cost efficiency of German banks: a comparison of SFA and DEA

Michael Koetter, Alexander Karmann and Elisabetta Fiorentino

2006,09: Sector concentration in loan portfolios and economic capital

Nancy Masschelein and Klaus Düllmann

2006,08: The stability of efficiency rankings when risk-preferences and objectives are different

Michael Koetter

2006,07: Empirical risk analysis of pension insurance: the case of Germany

Christian Schmieder, Timo Reinschmidt, Ferdinand Mager and Wolfgang Gerke

2006,06: Banks' regulatory buffers, liquidity networks and monetary policy transmission

Christian Merkl and Stephanie Stolz

2006,05: Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios

Natalja von Westernhagen, Daniel Porath and Evelyn Hayden

2006,04: Heterogeneity in lending and sectoral growth: evidence from German bank-level data

Andrea Schertler, Claudia Buch and Natalja von Westernhagen

2006,03: Measuring business sector concentration by an infection model

Klaus Düllmann

2006,02: Finance and growth in a bank-based economy: is it quantity or quality that matters?

Michael Koetter and Michael Wedow

2006,01: Forecasting stock market volatility with macroeconomic variables in real time

Jörg Döpke, Daniel Hartmann and Christian Pierdzioch

2005,15: Inefficient or just different? Effects of heterogeneity on bank efficiency scores

J. Bos, Frank Heid, Michael Koetter, James W. Kolari and Clemens Kool

2005,14: Time series properties of a rating system based on financial ratios

Ulrich Krüger, Martin Stötzel and Stefan Trück

2005,13: Incorporating prediction and estimation risk in point-in-time credit portfolio models

Alfred Hamerle, Michael Knapp, Thilo Liebig and Nicole Wildenauer

2005,12: Evaluating the German bank merger wave

Michael Koetter

2005,11: Financial integration and systemic risk

Falko Fecht and Hans Peter Grüner

2005,10: The eurosystem money market auctions: a banking perspective

Nikolaus Bartzsch, Ben Craig and Falko Fecht

2005,09: Accounting for distress in bank mergers

Michael Koetter, J. Bos, Frank Heid, Clemens Kool, James W. Kolari and Daniel Porath

2005,08: German bank lending to industrial and non-industrial countries: driven by fundamentals or different treatment?

Thorsten Nestmann

2005,07: Banks' regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks

Stephanie Stolz and Michael Wedow

2005,06: Cyclical implications of minimum capital requirements

Frank Heid

2005,05: The forecast ability of risk-neutral densities of foreign exchange

Ben Craig and Joachim Keller

2005,04: Banks, markets, and efficiency

Falko Fecht and Antoine Martin

2005,03: Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios

Andreas Kamp, Andreas Pfingsten and Daniel Porath

2005,02: The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation

Christoph Memmel and Carsten Wehn

2005,01: Measurement matters: Input price proxies and bank efficiency in Germany

Michael Koetter

2004,06: Estimating probabilities of default for German savings banks and credit cooperatives

Daniel Porath

2004,05: How will Basel II affect bank lending to emerging markets? An analysis based on German bank level data

Thilo Liebig, Daniel Porath, Beatrice Weder di Mauro and Michael Wedow

2004,04: German bank lending during emerging market crises: A bank level analysis

Frank Heid, Thorsten Nestmann, Beatrice Weder di Mauro and Natalja von Westernhagen

2004,03: Does capital regulation matter for bank behaviour? Evidence for German savings banks

Frank Heid, Daniel Porath and Stephanie Stolz

2004,02: Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures

Klaus Düllmann and Monika Trapp

2004,01: Forecasting Credit Portfolio Risk

Alfred Hamerle, Thilo Liebig and Harald Scheule

2003,02: Credit Risk Factor Modeling and the Basel II IRB Approach

Alfred Hamerle, Thilo Liebig and Daniel Rösch

2003,01: Measuring the Discriminative Power of Rating Systems

Bernd Engelmann, Evelyn Hayden and Dirk Tasche