We analyze the dynamics of banks’ regulatory capital ratios. Using monthly regulatory data
of large German banks, we estimate the target level and the adjustment speed of the capital …

We present a monitoring-based model of banking in which banks can fund their activities with
debt, equity, loan sales, and asset securitization. Our results show that banks that have the …

We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs).
For both linear and nonlinear return frameworks, assuming normal and heavy-tailed …

We look at the effect of capital rules on a banking system that is connected through
correlated credit exposures and interbank lending. The rules, which combine individual bank …

… Peter Raupach Deutsche Bundesbank … Peter Raupach, Research Center, Deutsche
Bundesbank. e-mail: peter.raupach@bundesbank.de. The views expressed in this paper …

Using a unique data set on German banks’ loans to the German real economy, we investigate
banks’ credit risk. This data set contains the volume of loans, and write-downs on loans, …

Rating downgrades are known to make subsequent downgrades more likely. We analyze
the impact of this “downward momentum” on credit portfolio risk and bond portfolio …

We analyze the dynamics of banks' regulatory capital ratios. Using monthly data of regulatory
capital ratios for a subset of large German banks, we estimate the target level and the …

Rating downgrades are known to make subsequent downgrades more likely. We analyze the
impact of this? downward momentum? on credit portfolio risk. Using S&P ratings from 1996 …

This study contributes to the valuation of employee stock options (ESO) in two ways. First, a
new pricing model is presented, allowing a major part of calculations to be solved in closed …