Finanz und Kreditwesen

Gender bias and credit access

Description: 

We extract an exogenous measure of gender bias from survey responses by descendants of U.S. immigrants on questions about the role of women in society. We then use data on around 6,000 small business firms from 17 countries and find that in high-gender-bias countries, female entrepreneurs are more likely to opt out of the loan application process and to resort to informal finance, even though banks do not appear to actively discriminate against them. These results are not driven by credit risk differences between female- and male-owned firms or by any idiosyncrasies in the set of countries in our sample.

Securitization and lending standards: Evidence from the European wholesale loan market

Description: 

We assess the effect of securitization activity on banks’ lending rates employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, in the run up to the 2007-2009 crisis banks that were more active at originating asset-backed securities did not price their loans more aggressively (i.e. with narrower lending spreads) than less-active banks. Using a unique feature of our dataset, we show that also within the set of loans that were previously securitized, the relative level of securitization activity by the originating bank is not related to narrower lending spreads. Our results suggest that while the credit cycle seems to have a major impact of lending standards, the effect of securitization activity appears to be very limited.

The Impact of Cointegration on Commodity Spread Options

Description: 

In this work we explore the implications of cointegration in a system of commodity prices on the premiums of options written on various spreads on the futures prices of these commodities. We employ a parsimonious, yet comprehensive model for cointegration in a system of commodity prices. The model has an exponential affine structure and is flexible enough to allow for an arbitrary number of cointegration relationships. We conduct an extensive simulation study on pricing spread options. We argue that cointegration creates an upward sloping term structure of correlation, that in turn lowers the volatility of spreads and consequently the price of options on them.

Leveraging the network: a stress-test framework based on DebtRank

Description: 

We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of distress propagation. The main features are as follows. First, the framework allows to estimate and disentangle not only first-round effects (i.e. shock on external assets) and second-round effects (i.e. distress induced in the interbank network), but also third-round effects induced by possible fire sales. Second, it allows to monitor at the same time the impact of shocks on individual or groups of financial institutions as well as their vulnerability to shocks on counterparties or certain asset classes. Third, it includes estimates for loss distributions, thus combining network effects with familiar risk measures such as VaR and CVaR. Fourth, in order to perform robustness analyses and cope with incomplete data, the framework features a module for the generation of sets of networks of interbank exposures that are coherent with the total lending and borrowing of each bank. As an illustration, we carry out a stress--test exercise on a dataset of listed European banks over the years 2008-2013. We find that second-round and third-round effects dominate first-round effects, therefore suggesting that most current stress-test frameworks might lead to a severe underestimation of systemic risk.

Essays on banking, governance and sustainability

Market quality and price impact of high-frequency trading and its regulation

Financial markets, innovation, and acquisitions

On the robustness of consumption-based asset pricing

Funding shocks and banks' credit reallocation

Description: 

This paper provides evidence on the strategic lending decisions made by banks facing a negative funding shock. Using bank-firm level credit data, we show that banks reallocate credit within their domestic loan portfolio in at least three different ways. First, banks reallocate to sectors where they have high sector presence. Second, they also reallocate to sectors in which they are heavily specialized. Third, they reallocate credit towards low-risk firms. These reallocation effects are economically large. A standard deviation improvement in sector presence, sector specialization or firm risk reduces the transmission of the funding shock to credit supply by 20, 13 and 10%, respectively. We also provide insight in the timing of these reallocation decisions. Reallocation to sectors in which a bank has a high sector presence is almost instantaneous, while sector specialization starts playing a role four to five months after the shock.

Der Terror ist Resultat einer bankrotten Politik

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