Working Paper
Refine
Year of publication
Document Type
- Working Paper (105) (remove)
Has Fulltext
- yes (105)
Is part of the Bibliography
- no (105)
Keywords
- Deutschland (15)
- Bank (10)
- Bankenunion (6)
- Banking Union (6)
- Kreditrisiko (5)
- Risikoverteilung (5)
- Schuldverschreibung (5)
- Schätzung (5)
- Liikanen-Kommission (4)
- Restrukturierung (4)
- Unternehmenssanierung (4)
- financial stability (4)
- risk transfer (4)
- systematic risk (4)
- systemic risk (4)
- Bail-in (3)
- Bankenaufsicht (3)
- Bankkredit (3)
- Börsenkurs (3)
- Climate Change (3)
- Corporate Governance (3)
- Debt-equity swap (3)
- Debt-nature swap (3)
- Gläubiger (3)
- Kapitalmarkt (3)
- Krisenmanagement (3)
- Monetary Union (3)
- Regulierung (3)
- Trennbanken (3)
- Umschuldung (3)
- Unternehmenskooperation (3)
- Unternehmenszusammenschluss (3)
- Wirecard (3)
- Währungsunion (3)
- bail-in (3)
- banking supervision (3)
- coronavirus (3)
- credit risk (3)
- relationship lending (3)
- Asymmetrische Information (2)
- BRRD (2)
- Banking Separation (2)
- Börse (2)
- Börsenhändler (2)
- Börsenmakler (2)
- Capital Markets (2)
- Capital Markets Union (2)
- Commerzbank (2)
- Covid-19 (2)
- Darlehen (2)
- Deutsche Bank (2)
- Distress (2)
- ESG (2)
- Erich Gutenberg (2)
- Eurosystem (2)
- Financial Crisis (2)
- Financial stability (2)
- Finanzierungstheorie (2)
- Fiscal Union (2)
- Fiskalunion (2)
- Fusion (2)
- Green Finance (2)
- Handel (2)
- Handelsvolumen (2)
- Hausbank (2)
- Kapitalmarkteffizienz (2)
- Kreditmarkt (2)
- Kreditsicherung (2)
- Landesbank (2)
- Liikanen Commission (2)
- Marktanteil (2)
- Markteffizienz (2)
- Merger (2)
- Mikrostrukturtheorie <Kapitalmarkttheorie> (2)
- Non-performing Loans (2)
- Open Banking Platform Germany (2)
- Political Union (2)
- Politische Union (2)
- Preispolitik (2)
- Sparkasse (2)
- Sustainability (2)
- Taxonomy (2)
- Universalbank (2)
- bank lending (2)
- banking (2)
- banking separation (2)
- collateral (2)
- coordination risk (2)
- corporate finance (2)
- corporate rating (2)
- credit risk management (2)
- emergency liquidity assistance (ELA) (2)
- housebanks (2)
- loan contract design (2)
- nachrangiges Fremdkapital (2)
- prohibition of proprietary trading (2)
- too big to fail (2)
- total loss absorbing capacity (TLAC) (2)
- workouts (2)
- ABS (1)
- Abgabe (1)
- Abnehmer (1)
- Abnormal Returns (1)
- Absatzweg (1)
- Abwicklung (1)
- Acquisitions (1)
- Arm’s Length Debt (1)
- Asset Management Companies (1)
- Auditing (1)
- Auktionstheorie (1)
- Bafin (1)
- Bail-in Anleihen (1)
- Bailin (1)
- Bank Capitalization (1)
- Bank Lending (1)
- Bank Pool (1)
- Bank Recovery and Resolution Directive (BRRD) (1)
- Bank Regulation (1)
- Bank Resolution (1)
- Banken (1)
- Bankenabwicklung (1)
- Bankenkrise (1)
- Banking (1)
- Banking Competition (1)
- Bankruptcy (1)
- Beschaffungsmarketing (1)
- Betrieb (1)
- Beziehungsmanagement (1)
- Bond Ratings (1)
- Boni (1)
- Bundesbank (1)
- Börsenorganisation (1)
- CCP (1)
- CMU (1)
- Call Markets (1)
- Collateralized debt obligation (1)
- Coordination (1)
- Coordination Risk (1)
- Coronavirus (1)
- Credit Ratings (1)
- Credit Risk (1)
- Credit Spread (1)
- Dodd-Frank Act (1)
- Dogma (1)
- EDIS (1)
- EU-Staaten (1)
- Einlagengeschäft (1)
- Einlagensicherung (1)
- Equity fund (1)
- European Central Bank (1)
- European Integration (1)
- Experimentelle Wirtschaftsforschung (1)
- Financial Crisis 2007/08 (1)
- Financial Regulation and Banking (1)
- Finanzierung (1)
- Finanzkrise (1)
- Finanzmarkt (1)
- Finanzsystem (1)
- Firma (1)
- First Loss Position (1)
- Fonds (1)
- Forbearance (1)
- Geldkurs (1)
- Geopolitics (1)
- Geschichte (1)
- Geschichte 1986-1998 (1)
- Gewerbebetrieb (1)
- Greece (1)
- Griechenland (1)
- Grüne Transformation (1)
- Gutenberg, Erich (1)
- Handelsgeschäft (1)
- High-Level-Forum (1)
- Hold-up (1)
- IPS (1)
- Individuum (1)
- Information (1)
- Innenfinanzierung (1)
- Insidergeschäft (1)
- Institution-building (1)
- Interim Report (1)
- Internal Controls (1)
- Investmentfonds (1)
- Investor Protection (1)
- Kapitalanlage (1)
- Klein- und Mittelbetrieb (1)
- Kongress (1)
- Kredit (1)
- Kreditgewährung (1)
- Kreditinstitute (1)
- Kreditpolitik (1)
- Kreditsicherheit (1)
- Kreditwürdigkeit (1)
- Lieferant (1)
- Lieferung (1)
- Liquidity (1)
- Liquidität (1)
- MREL (1)
- Market Integrity (1)
- Market Oversight (1)
- Marktmikrostruktur (1)
- Mergers and Acquisitions (1)
- Ordnungspolitik (1)
- Outright Monetary Transactions (1)
- Policy measures in the EU (1)
- Preisbildung (1)
- Price Formation (1)
- Rating (1)
- Rating Process (1)
- Regulation (1)
- Regulatory Arbitrage (1)
- Relationship Lending (1)
- Reorganization (1)
- Retail Challenge (1)
- Risiko (1)
- Risikomanagement (1)
- Risikoverhalten (1)
- Risk Transfer (1)
- Risk sharing (1)
- Russian Sanction (1)
- SRM (1)
- STS (simple, transparent, and standardized securitizations) (1)
- SWIFT (1)
- Secondary Loan Markets (1)
- Securitization (1)
- Sicherheit (1)
- Single Resolution Mechanism (1)
- Single Resolution Mechanism (SRM) (1)
- Specialist Trading (1)
- Stabilität (1)
- Standardisierung (1)
- Supervisory Achitecture (1)
- Systematic Risk (1)
- TARGET-Salden (1)
- TARGET2 (1)
- TLAC (1)
- Target 2 (1)
- Theoriegeschichte (1)
- Transparency (1)
- UK (1)
- Unternehmen (1)
- Unternehmensentwicklung (1)
- Unternehmensfinanzierung (1)
- Unternehmenskontrolle (1)
- Unternehmensziel (1)
- Verhandlungsspiel (1)
- Verhandlungstheorie (1)
- Vertrauen (1)
- Volatilität (1)
- Wachstum (1)
- Washington <DC, 2008> (1)
- Wettbewerb (1)
- Wirtschaftspolitik (1)
- Zentralbankensystem (1)
- Zertifizierung (1)
- abnormal returns (1)
- ambiguity (1)
- bank risk (1)
- banking and treasury functions (1)
- banking regulation (1)
- banking resolution (1)
- banking separation proposals (1)
- banking supervision, (1)
- capital (1)
- capital adequacy (1)
- capital markets (1)
- central banks (1)
- central counterparties (1)
- comprehensive assessment (1)
- contagion (1)
- corporate control (1)
- corporate governance (1)
- credit volume (1)
- crisis (1)
- deposit guarantee scheme (1)
- derivatives (1)
- distress (1)
- distress and workout (1)
- distribution channel (1)
- economic and monetary union (1)
- endowment effect (1)
- euro area (1)
- europäischer Zahlungsverkehr (1)
- eurozone (1)
- experimental asset markets (1)
- experimental economics (1)
- financial intermediation (1)
- financial market regulation (1)
- financial market supervision (1)
- financial markets regulation (1)
- financial resilience (1)
- financial services (1)
- functional finance approach (1)
- fund growth (1)
- information aggregation (1)
- internal financing (1)
- investment decisions (1)
- level playing field (1)
- loan price determination (1)
- long-term lending (1)
- macroprudential supervision (1)
- market efficiency (1)
- market institutions (1)
- market shares (1)
- market supervision (1)
- monetary policy (1)
- multiple lending (1)
- mutual fund performance (1)
- mutual funds (1)
- network formation (1)
- payment system (1)
- policy measures in the EU (1)
- proprietary trading (1)
- regulation (1)
- relationship lending, (1)
- retention (1)
- risk sharing (1)
- savings banks (1)
- securities markets (1)
- strategies (1)
- structural reforms (1)
- structured finance (1)
- supervision (1)
- systemic risk charge (1)
- systemic risk fund (1)
- tâtonnement (1)
- universal banking (1)
- valuation discount (1)
- workout (1)
In this paper we challenge the view that corporate bonds are always arm’s length debt. We analyze the effect of bond ratings on the stock price return to acquirers in M&A transactions, which tend to have significant effects on creditor wealth. We find acquirers abnormal returns to be higher if they are unrated, controlling for a wide variety of other effects identified in the literature. Tracing the difference in returns to distinct managerial decisions, we find that, everything else constant, rated firms increase their leverage in takeover transactions by less than their unrated counterparts. Consistent with a significant role for rating agencies, we find monitoring effects to be strongest when acquirer bonds are rated at the borderline between investment grade and junk. Finally, we are able to empirically exclude a large number of alternative explanations for the empirical regularities that we uncover. JEL Classification: G21, G24, G32, G34 Keywords: Acquisitions, Credit Ratings, Mergers and Acquisitions, Arm’s Length Debt, Abnormal Returns
Zusammenfassung - Das Kernanliegen des KredReorgG –die Internalisierung des systemischen Risikos in den Entscheidungsprozess und die Verantwortlichkeit von Bankeignern und –gläubigern – wird im Wesentlichen erreicht. - Die Wirksamkeit des Gesetzes steht und fällt mit der Möglichkeit, jede Bank in systemisch relevante (zu rettende) und systemisch nicht-relevante (abzuwickelnde) Teile zu zerlegen. Dieser Ansatz ist Ziel führend und international „state of the art“ (Bsp. UK). - Unsere Hauptkritik: Um die o.g. Wirksamkeit des Gesetzes überhaupt zu ermöglichen (und eine Unterlaufung der Gesetzesintention zu verhindern), bedarf es einer zusätzlichen und zwingenden Vorgabe, dass jede Bank eine Mindestmenge an Anleihen außerhalb des Kern-Finanzsektors dauerhaft platzieren muss, und dass diese Anleihen zu keinem Zeitpunkt von Banken erworben werden dürfen. - Um dies zu erreichen sind die Anlagevorschriften für Kapitalsammelstellen (Lebensversicherer, Pensionsfonds) und für Banken entsprechend zu ändern bzw. zu verschärfen. - Weitere Kritikpunkte betreffen die vermutete geringe Bedeutung der freiwilligen Verfahren (Sanierung und Reorganisation) und die Gestaltung der Sonderabgabe und der Restrukturierungsfonds.
SUMMARY RECOMMENDATIONS 1. One of the major lessons from the current financial crisis refers to the systemic dimension of financial risk which had been almost completely neglected by bankers and supervisors in the pre-2007 years. 2. Accordingly, the most needed change in financial regulation, in order to avoid a repetition of such a crisis in the future, consists of influencing individual bank behaviour such that systemic risk is decreased. This objective is new and distinct from what Basle II was intended to achieve. 3. It is important, therefore, to evaluate proposed new regulatory instruments on the ground of whether or not they contribute to a reduction, or containment of systemic risk. We see two new regulatory measures of paramount importance: the introduction of a Systemic Risk Charge (SRC), and the implementation of a transparent bank resolution regime. Both measures complement each other, thus both have to be realized to be effective. 4. We propose a Systemic Risk Charge (SRC), a levy capturing the contribution of any individual bank to the overall systemic risk which is distinct from the institution’s own default risk. The SRC is set up such that the more systemic risk a bank contributes, the higher is the cost it has to bear. Therefore, the SRC serves to internalize the cost of systemic risk which, up to now, was borne by the taxpayer. 5. Major details of our SRC refer to the use of debt that may be converted into equity when systemic risk threatens the stability of the banking system. Also, the SRC raises some revenues for government. 6. The SRC has to be compared to several bank levies currently debated. The Financial Transaction Tax (FTT) does not directly address systemic risk and is therefore inferior to a SRC. Nevertheless, a FTT may offer the opportunity to subsidize on-exchange trading at the expense of off-exchange (over-the-counter, OTC) transactions, thereby enhancing financial market stability. The Financial Activity Tax (FAT) is similar to a VAT on financial services. It is the least adequate instrument among all instruments discussed above to limit systemic risk. 7. Bank resolution regime: No instrument to contain systemic risk can be effective unless the restructuring of bank debt, and the ensuing loss given default to creditors, is a real possibility. As the crisis has taught, bank restructuring is very difficult in light of contagion risk between major banks. We therefore need a regulatory procedure that allows winding down banks, even large banks, on short notice. Among other things, the procedure will require to distinguish systemically relevant exposures from those that are irrelevant. Only the former will be saved with government money, and it will then be the task of the supervisor to ensure a sufficient amount of nonsystemically relevant debt on the balance sheet of all banks. 8. Further issues discussed in this policy paper and its appendices refer to the necessity of a global level playing field, or the lack thereof, for these new regulatory measures; the convergence of our SRC proposal with what is expected to be long-term outcome of Basle III discussions; as well as the role of global imbalances.
This paper analyzes loan pricing when there is multiple banking and borrower distress. Using a unique data set on SME lending collected from major German banks, we can instrument for effective coordination between lenders, carrying out a panel estimation. The analysis allows to distinguish between rents that accrue due to single bank lending, rents that accrue due to relationship lending, and rents that accrue due to the elimination of competition among multiple lenders. We find the relationship lending to have no discernible impact on loan spreads, while both single lending and coordinated multiple lending significantly increase the spread. Thus, contrary to predictions in the literature, multiple lending does not insure the borrower against hold-up. JEL Classification: D74, G21, G33, G34
Instabile Finanzmärkte
(2009)
Die Vorstellung selbst-stabilisierender, zum Gleichgewicht tendierender Finanzmärkte, lange Zeit als Selbstverständlichkeit angesehen, ist durch die aktuelle Banken- und Kreditkrise in Frage gestellt. Trotz ausgefeilten Risikomanagements der Banken und einer an Basel II orientierten Aufsicht ist es in den Jahren 2007-2009 zu einem Zusammenbruch des Interbankenmarktes und weiter Teile der Anleihemärkte gekommen. Die hierdurch erzwungenen massiven Staatsinterventionen zur Bankenrettung sind ohne Beispiel in der modernen Wirtschaftsgeschichte. In diesem Essay suchen wir nach Ansatzpunkten einer Erklärung für die Instabilität der Finanzmärkte. Als zentrale Krisenursache sehen wir Schwächen der Informationsarchitektur, deren Aufgabe darin besteht, glaubwürdige Information für Investoren bereitzustellen. Drei Determinanten der Instabilität werden herausgestellt, erstens die Nutzung von Schuldtiteln verbunden mit hohen Verschuldungsgraden, zweitens die Handelbarkeit von Titeln verbunden mit erhöhter Risikoübernahme, sowie drittens die zunehmende Komplexität von Finanzprodukten und Finanznetzwerken verbunden mit einer Homogenisierung der Aktiva- und Risikostrukturen von Finanzinstituten. Alle drei Faktoren verstärken die Anfälligkeit des Finanzsystems und zugleich die Bedeutung der Informationsarchitektur. Hieraus lassen sich Anforderungen an eine sinnvolle Reform der Regulierung ableiten. Neben den Anreizproblemen, die Gegenstand einer weiteren Arbeit sind (Franke/Krahnen 2009), diskutieren wir hier vier Kernthemen: glaubwürdige Informationen, makroprudentielle Aufsicht, robuste Eigenkapitalstandards und eine notwendige Risikobegrenzung auf Derivatemärkten
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of individual ABS tranches can directly be compared to those of corporate bonds, within and across rating classes. By applying Monte Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making. On an economic level, our analysis suggests a new explanation for the observed rating inflation in structured finance markets during the pre-crisis period 2004-2007. On a policy level, our findings call for a termination of the 'one-size-fits-all' approach to the rating methodology for fixed income instruments, requiring an own rating methodology for structured finance instruments. JEL Classification: G21, G28 Keywords: credit risk, risk transfer, systematic risk