Stress testing German banks against a global cost-of-capital shock:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt, M.
Dt. Bundesbank, Press and Public Relations Division
2012
|
| Schriftenreihe: | Discussion paper / Deutsche Bundesbank
Eurosystem 2012,04 |
| Schlagworte: | |
| Online-Zugang: | kostenfrei Inhaltsverzeichnis |
| Beschreibung: | 40 S. graph. Darst. 30 cm |
| ISBN: | 9783865587961 9783865587978 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804149183647580160 |
|---|---|
| adam_text | Titel: Stress testing German banks against a global cost-of-capital shock
Autor: Düllmann, Klaus
Jahr: 2012
Contents
1 Introduction 1
2 Macro-econometric Model 5
3 Portfolio Model 10
3.1 The Credit Risk Portfolio Model 10
3.2 Linking the Stress Forecast to the Portfolio Model 12
3.3 Impact on Regulatory Capital Ratios 14
4 Descriptive Analysis 16
5 Empirical Results for Portfolio Losses 21
5.1 Impact on Expected Losses 21
6 Empirical Results for Tier 1 Capital Ratios and Contribution Analysis 25
6.1 Contribution Analysis 25
6.2 Correlation Analysis: Changes in EL for Defaults vs. Tier 1 Capital Ratios 27
7 Summary and Outlook 28
|
| any_adam_object | 1 |
| author | Düllmann, Klaus Kick, Thomas |
| author_GND | (DE-588)171803078 |
| author_facet | Düllmann, Klaus Kick, Thomas |
| author_role | aut aut |
| author_sort | Düllmann, Klaus |
| author_variant | k d kd t k tk |
| building | Verbundindex |
| bvnumber | BV040156174 |
| classification_rvk | QB 910 QK 900 |
| collection | ebook |
| ctrlnum | (OCoLC)794508006 (DE-599)DNB1020951990 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| geographic | Deutschland (DE-588)4011882-4 gnd |
| geographic_facet | Deutschland |
| id | DE-604.BV040156174 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:18:59Z |
| institution | BVB |
| isbn | 9783865587961 9783865587978 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025012808 |
| oclc_num | 794508006 |
| open_access_boolean | 1 |
| owner | DE-12 DE-945 DE-M382 DE-188 DE-355 DE-BY-UBR |
| owner_facet | DE-12 DE-945 DE-M382 DE-188 DE-355 DE-BY-UBR |
| physical | 40 S. graph. Darst. 30 cm |
| psigel | ebook |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Dt. Bundesbank, Press and Public Relations Division |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank |
| spelling | Düllmann, Klaus Verfasser (DE-588)171803078 aut Stress testing German banks against a global cost-of-capital shock Klaus Duellmann ; Thomas Kick. Deutsche Bundesbank ; Eurosystem Frankfurt, M. Dt. Bundesbank, Press and Public Relations Division 2012 40 S. graph. Darst. 30 cm txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank Eurosystem 2012,04 Testkonstruktion (DE-588)4124306-7 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Stresstest (DE-588)7730549-8 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf Deutschland (DE-588)4011882-4 g Bank (DE-588)4004436-1 s Stresstest (DE-588)7730549-8 s Testkonstruktion (DE-588)4124306-7 s b DE-604 Kick, Thomas Verfasser aut Deutsche Bundesbank Discussion paper Eurosystem ; 2012,04 (DE-604)BV040156046 2012,04 http://hdl.handle.net/10419/56020 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025012808&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Düllmann, Klaus Kick, Thomas Stress testing German banks against a global cost-of-capital shock Testkonstruktion (DE-588)4124306-7 gnd Bank (DE-588)4004436-1 gnd Stresstest (DE-588)7730549-8 gnd |
| subject_GND | (DE-588)4124306-7 (DE-588)4004436-1 (DE-588)7730549-8 (DE-588)4011882-4 |
| title | Stress testing German banks against a global cost-of-capital shock |
| title_auth | Stress testing German banks against a global cost-of-capital shock |
| title_exact_search | Stress testing German banks against a global cost-of-capital shock |
| title_full | Stress testing German banks against a global cost-of-capital shock Klaus Duellmann ; Thomas Kick. Deutsche Bundesbank ; Eurosystem |
| title_fullStr | Stress testing German banks against a global cost-of-capital shock Klaus Duellmann ; Thomas Kick. Deutsche Bundesbank ; Eurosystem |
| title_full_unstemmed | Stress testing German banks against a global cost-of-capital shock Klaus Duellmann ; Thomas Kick. Deutsche Bundesbank ; Eurosystem |
| title_short | Stress testing German banks against a global cost-of-capital shock |
| title_sort | stress testing german banks against a global cost of capital shock |
| topic | Testkonstruktion (DE-588)4124306-7 gnd Bank (DE-588)4004436-1 gnd Stresstest (DE-588)7730549-8 gnd |
| topic_facet | Testkonstruktion Bank Stresstest Deutschland |
| url | http://hdl.handle.net/10419/56020 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025012808&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV040156046 |
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