Auflistung LIF-SAFE Working Papers nach Forschungsbereich "Financial Institutions"
Anzeige der Dokumente 21-40 von 52
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Liquidity Coinsurance and Bank Capital
(2014-03-01)Banks can deal with their liquidity risk by holding liquid assets (self-insurance), by participating in interbank markets (coinsurance), or by using flexible financing instruments, such as bank capital (risk-sharing). We ... -
Liquidity Premia in CDS Markets
(2017-07-14)We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ... -
Measuring Ambiguity Aversion: A Systematic Experimental Approach
(2014-06-20)This paper provides a systematic analysis of individual attitudes towards ambiguity, based on laboratory experiments. The design of the analysis allows to capture individual behavior across various levels of ambiguity, ... -
Mortgage Supply and the US Housing Boom: The Role of the Community Reinvestment Act
(2019-10-30)This paper studies the role of the Community Reinvestment Act (CRA) in the US housing boom-bust cycle. I find that the enhancement in CRA enforcement in 1998 increased the growth rate of mortgage lending by CRA-regulated ... -
Mortgage Supply and the US Housing Boom: The Role of the Community Reinvestment Act
(2016-10-30)This paper studies the role of the Community Reinvestment Act (CRA) in the US housing boom-bust cycle. I find that the enhancement in CRA enforcement in 1998 increased the growth rate of mortgage lending by CRA-regulated ... -
Natural Disaster and Bank Stability: Evidence from the U.S. Financial System
(2018-04-01)We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ... -
Networks in Risk Spillovers: A Multivariate GARCH Perspective
(2018-08-01)We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ... -
Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation
(2014-12-01)I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment ... -
Portfolio Similarity and Asset Liquidation in the Insurance Industry
(2018-07-30)An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine ... -
Regulatory Influence on Market Conditions in the Banking Union
(2015-06-02)This paper looks into the specific influence that the European banking union will have on (future) bank client relationships. It shows that the intended regulatory influence on market conditions in principle serves as a ... -
Remarks on the German Regulation of Crowdfunding
(2017-12-05)Crowdfunding is a buzzword that signifies a sub-set in the new forms of finance facilitated by advances in information technology usually categorized as fintech. Concerns for financial stability, investor and consumer ... -
Rent-Seeking in Elite Networks
(2017-01-31)We employ a unique dataset on members of an elite service club in Germany to investigate how social connections in elite networks affect the allocation of resources. Specifically, we investigate credit allocation decisions ... -
Resolution Planning and Structural Bank Reform within the Banking Union
(2014-12-18)In the aftermath of the global financial crisis, both resolution planning, i.e. contingency planning by both regulated institutions and public authorities in order to prepare their actions in financial crisis, and concepts ... -
Reviving the Shadow Banking Chain in Europe: Regulatory Agency, Technical Complexity and the Dynamics of Co-Habitation
(2018-06-01)In recent years European financial regulation has experienced a tremendous reorientation with respect to the shadow banking system, which manifested first and foremost in its reframing as market-based finance. Initially ... -
Social Centralization, Bank Integration and the Transmission of Lending Shocks
(2017-08-01)We introduce an innovative approach to measure bank integration, based on the corporate culture of multinational banking conglomerates. The new measure, the Power Index, assesses the prevalence of a language of power and ... -
Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
(2012-09-01)In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the ... -
Systemic Risk and Sovereign Debt in the Euro Area
(2013-12-13)We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ... -
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
(2017-11-05)This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ... -
Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?
(2014-12-14)We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the ... -
The Effects of a Low Interest Rate Environment on Life Insurers
(2015-01-01)Low interest rates are becoming a threat to the stability of the life insurance industry, especially in countries such as Germany, where products with relatively high guaranteed returns sold in the past still represent a ...