المستودع الأكاديمي جامعة المدينة

Estimating probabilities of default for German savings banks and credit cooperatives

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dc.creator Porath, Daniel
dc.date 2004
dc.date.accessioned 2013-10-16T07:06:33Z
dc.date.available 2013-10-16T07:06:33Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19733
dc.identifier ppn:479343985
dc.identifier RePEc:zbw:bubdp2:4255
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19733
dc.description A 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.
dc.language eng
dc.relation Discussion Paper, Series 2: Banking and Financial Supervision 2004,06
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject C23
dc.subject G28
dc.subject G21
dc.subject ddc:330
dc.subject bank failure
dc.subject default probability
dc.subject time-discrete hazard rate
dc.subject Bankinsolvenz
dc.subject Sparkasse
dc.subject Kreditgenossenschaft
dc.subject Schätzung
dc.subject Deutschland
dc.title Estimating probabilities of default for German savings banks and credit cooperatives
dc.type doc-type:workingPaper


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