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Discussion Paper Series 2: Banking and Financial Studies

From Deutsche Bundesbank
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2008,17: Stress testing of real credit portfolios Downloads
Ferdinand Mager and Christian Schmieder
2008,16: The impact of downward rating momentum on credit portfolio risk Downloads
André Güttler and Peter Raupach
2008,15: The implications of latent technology regimes for competition and efficiency in banking Downloads
Michael Koetter and Tigran Poghosyan
2008,14: Regulatory capital for market and credit risk interaction: is current regulation always conservative? Downloads
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 Downloads
Theodore M. Barnhill and Marcos Rietti Souto
2008,12: A value at risk analysis of credit default swaps Downloads
Martin Scheicher and Burkhard Raunig
2008,11: Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation Downloads
Martin Hillebrand and Klaus Böcker
2008,10: Determinants of European banks' engagement in loan securitization Downloads
Dennis N. Hänsel and Christina Bannier
2008,09: The pricing of correlated default risk: evidence from the credit derivatives market Downloads
Haibin Zhu and Nikola Tarashev
2008,08: Market conditions, default risk and credit spreads Downloads
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 Downloads
Christoph Memmel
2008,06: The success of bank mergers revisited: an assessment based on a matching strategy Downloads
Frank Heid and Andreas Behr
2008,05: Rollover risk in commercial paper markets and firms' debt maturity choice Downloads
Felix Thierfelder
2008,04: Estimating asset correlations from stock prices or default rates: which method is superior? Downloads
Klaus Düllmann, Michael Kunisch and Jonathan Küll
2008,03: Monetary policy and bank distress: an integrated micro-macro approach Downloads
Ferre De Graeve and Thomas Kick
2008,02: Bank mergers and the dynamics of deposit interest rates Downloads
Ben Craig and Valeriya Dinger
2008,01: Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany Downloads
Marco Wilkens, Christoph Memmel, Oliver Entrop and Alexander Zeisler
2007,18: Estimating probabilities of default with support vector machines Downloads
Wolfgang Karl Härdle, Rouslan A. Moro and Dorothea Schäfer
2007,17: Profitability of Western European banking systems: panel evidence on structural and cyclical determinants Downloads
Rainer Beckmann
2007,16: Endogenous credit derivatives and bank behavior Downloads
Thilo Pausch
2007,15: Creditor concentration: an empirical investigation Downloads
Steven Ongena, Günseli Tümer-Alkan and Natalja von Westernhagen
2007,14: Relationship lending: empirical evidence for Germany Downloads
Christian Schmieder, Christoph Memmel and Ingrid Stein
2007,13: Asset correlations and credit portfolio risk: an empirical analysis Downloads
Klaus Düllmann, Martin Scheicher and Christian Schmieder
2007,12: The marketability of bank assets and managerial rents: implications for financial stability Downloads
Falko Fecht and Wolf Wagner
2007,11: Welfare effects of financial integration Downloads
Philipp Hartmann, Hans Peter Grüner and Falko Fecht
2007,10: The quality of banking and regional growth Downloads
Iftekhar Hasan, Michael Koetter and Michael Wedow
2007,09: Banking consolidation and small businessfinance: empirical evidence for Germany Downloads
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 Downloads
Niko Dötz
2007,07: Modelling dynamic portfolio risk using risk drivers of elliptical processes Downloads
Rafael Schmidt and Christian Schmieder
2007,06: How do banks adjust their capital ratios? Evidence from Germany Downloads
Christoph Memmel and Peter Raupach
2007,05: Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks Downloads
Andreas Behr, Andreas Kamp, Christoph Memmel and Andreas Pfingsten
2007,04: Open-end real estate funds in Germany: genesis and crisis Downloads
Christina Bannier, Falko Fecht and Marcel Tyrell
2007,03: Slippery slopes of stress: ordered failure events in German banking Downloads
Michael Koetter and Thomas Kick
2007,02: Efficient, profitable and safe banking: an oxymoron? Evidence from a panel VAR approach Downloads
Michael Koetter and Daniel Porath
2007,01: Granularity adjustment for Basel II Downloads
Eva Lütkebohmert and Michael Gordy
2006,12: Money market derivatives and the allocation of liquidity risk in the banking sector Downloads
Hendrik Hakenes and Falko Fecht
2006,11: Limits to international banking consolidation Downloads
Hans Peter Grüner and Falko Fecht
2006,10: The cost efficiency of German banks: a comparison of SFA and DEA Downloads
Michael Koetter, Alexander Karmann and Elisabetta Fiorentino
2006,09: Sector concentration in loan portfolios and economic capital Downloads
Nancy Masschelein and Klaus Düllmann
2006,08: The stability of efficiency rankings when risk-preferences and objectives are different Downloads
Michael Koetter
2006,07: Empirical risk analysis of pension insurance: the case of Germany Downloads
Christian Schmieder, Timo Reinschmidt, Ferdinand Mager and Wolfgang Gerke
2006,06: Banks' regulatory buffers, liquidity networks and monetary policy transmission Downloads
Christian Merkl and Stephanie Stolz
2006,05: Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios Downloads
Natalja von Westernhagen, Daniel Porath and Evelyn Hayden
2006,04: Heterogeneity in lending and sectoral growth: evidence from German bank-level data Downloads
Andrea Schertler, Claudia Buch and Natalja von Westernhagen
2006,03: Measuring business sector concentration by an infection model Downloads
Klaus Düllmann
2006,02: Finance and growth in a bank-based economy: is it quantity or quality that matters? Downloads
Michael Koetter and Michael Wedow
2006,01: Forecasting stock market volatility with macroeconomic variables in real time Downloads
Jörg Döpke, Daniel Hartmann and Christian Pierdzioch
2005,15: Inefficient or just different? Effects of heterogeneity on bank efficiency scores Downloads
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 Downloads
Ulrich Krüger, Martin Stötzel and Stefan Trück
2005,13: Incorporating prediction and estimation risk in point-in-time credit portfolio models Downloads
Alfred Hamerle, Michael Knapp, Thilo Liebig and Nicole Wildenauer
2005,12: Evaluating the German bank merger wave Downloads
Michael Koetter
2005,11: Financial integration and systemic risk Downloads
Falko Fecht and Hans Peter Grüner
2005,10: The eurosystem money market auctions: a banking perspective Downloads
Nikolaus Bartzsch, Ben Craig and Falko Fecht
2005,09: Accounting for distress in bank mergers Downloads
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? Downloads
Thorsten Nestmann
2005,07: Banks' regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks Downloads
Stephanie Stolz and Michael Wedow
2005,06: Cyclical implications of minimum capital requirements Downloads
Frank Heid
2005,05: The forecast ability of risk-neutral densities of foreign exchange Downloads
Ben Craig and Joachim Keller
2005,04: Banks, markets, and efficiency Downloads
Falko Fecht and Antoine Martin
2005,03: Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios Downloads
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 Downloads
Christoph Memmel and Carsten Wehn
2005,01: Measurement matters: Input price proxies and bank efficiency in Germany Downloads
Michael Koetter
2004,06: Estimating probabilities of default for German savings banks and credit cooperatives Downloads
Daniel Porath
2004,05: How will Basel II affect bank lending to emerging markets? An analysis based on German bank level data Downloads
Thilo Liebig, Daniel Porath, Beatrice Weder di Mauro and Michael Wedow
2004,04: German bank lending during emerging market crises: A bank level analysis Downloads
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 Downloads
Frank Heid, Daniel Porath and Stephanie Stolz
2004,02: Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures Downloads
Klaus Düllmann and Monika Trapp
2004,01: Forecasting Credit Portfolio Risk Downloads
Alfred Hamerle, Thilo Liebig and Harald Scheule
2003,02: Credit Risk Factor Modeling and the Basel II IRB Approach Downloads
Alfred Hamerle, Thilo Liebig and Daniel Rösch
2003,01: Measuring the Discriminative Power of Rating Systems Downloads
Bernd Engelmann, Evelyn Hayden and Dirk Tasche
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