---
_id: '34802'
abstract:
- lang: eng
text: "Purpose\r\nAcademic research has intensively analyzed the relationship between
market concentration or market power and banking stability but provides ambiguous
results, which are summarized under the concentration-stability/fragility view.
We provide empirical evidence that the mixed results are due to the difficulty
of identifying reliable variables to measure concentration and market power.\r\n\r\nDesign/methodology/approach\r\nUsing
data from 3,943 banks operating in the European Union (EU)-15 between 2013 and
2020, we employ linear regression models on panel data. Banking market concentration
is measured by the Herfindahl–Hirschman Index (HHI), and market power is estimated
by the product-specific Lerner Indices for the loan and deposit market, respectively.\r\n\r\nFindings\r\nOur
analysis reveals a significantly stability-decreasing impact of market concentration
(HHI) and a significantly stability-increasing effect of market power (Lerner
Indices). In addition, we provide evidence for a weak (or even absent) empirical
relationship between the (non)structural measures, challenging the validity of
the structure-conduct-performance (SCP) paradigm. Our baseline findings remain
robust, especially when controlling for a likely reverse causality.\r\n\r\nOriginality/value\r\nOur
results suggest that the HHI may reflect other factors beyond market power that
influence banking stability. Thus, banking supervisors and competition authorities
should investigate market concentration and market power simultaneously while
considering their joint impact on banking stability."
author:
- first_name: Sarah
full_name: Herwald, Sarah
last_name: Herwald
- first_name: Simone
full_name: Voigt, Simone
last_name: Voigt
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Herwald S, Voigt S, Uhde A. The conditional impact of market consolidation
and market power on banking stability – Evidence from Europe. Journal of Risk
Finance. 2024;25(3):510-536. doi:https://doi.org/10.1108/JRF-03-2023-0075
apa: Herwald, S., Voigt, S., & Uhde, A. (2024). The conditional impact of market
consolidation and market power on banking stability – Evidence from Europe. Journal
of Risk Finance, 25(3), 510–536. https://doi.org/10.1108/JRF-03-2023-0075
bibtex: '@article{Herwald_Voigt_Uhde_2024, title={The conditional impact of market
consolidation and market power on banking stability – Evidence from Europe}, volume={25},
DOI={https://doi.org/10.1108/JRF-03-2023-0075},
number={3}, journal={Journal of Risk Finance}, author={Herwald, Sarah and Voigt,
Simone and Uhde, André}, year={2024}, pages={510–536} }'
chicago: 'Herwald, Sarah, Simone Voigt, and André Uhde. “The Conditional Impact
of Market Consolidation and Market Power on Banking Stability – Evidence from
Europe.” Journal of Risk Finance 25, no. 3 (2024): 510–36. https://doi.org/10.1108/JRF-03-2023-0075.'
ieee: 'S. Herwald, S. Voigt, and A. Uhde, “The conditional impact of market consolidation
and market power on banking stability – Evidence from Europe,” Journal of Risk
Finance, vol. 25, no. 3, pp. 510–536, 2024, doi: https://doi.org/10.1108/JRF-03-2023-0075.'
mla: Herwald, Sarah, et al. “The Conditional Impact of Market Consolidation and
Market Power on Banking Stability – Evidence from Europe.” Journal of Risk
Finance, vol. 25, no. 3, 2024, pp. 510–36, doi:https://doi.org/10.1108/JRF-03-2023-0075.
short: S. Herwald, S. Voigt, A. Uhde, Journal of Risk Finance 25 (2024) 510–536.
date_created: 2022-12-22T07:28:25Z
date_updated: 2024-05-14T12:13:51Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1108/JRF-03-2023-0075
intvolume: ' 25'
issue: '3'
jel:
- G15
- G21
- G38
keyword:
- market concentration
- market power
- banking stability
- European banking
language:
- iso: eng
page: 510 - 536
publication: Journal of Risk Finance
publication_status: published
status: public
title: The conditional impact of market consolidation and market power on banking
stability – Evidence from Europe
type: journal_article
user_id: '36049'
volume: 25
year: '2024'
...
---
_id: '34798'
author:
- first_name: Sarah
full_name: Herwald, Sarah
last_name: Herwald
- first_name: Simone
full_name: Voigt, Simone
last_name: Voigt
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Herwald S, Voigt S, Uhde A. The Conditional Impact of Market Consolidation
and Market Power on Banking Stability – Evidence from Europe.
apa: Herwald, S., Voigt, S., & Uhde, A. (n.d.). The conditional impact of
market consolidation and market power on banking stability – Evidence from Europe.
bibtex: '@book{Herwald_Voigt_Uhde, title={The conditional impact of market consolidation
and market power on banking stability – Evidence from Europe}, author={Herwald,
Sarah and Voigt, Simone and Uhde, André} }'
chicago: Herwald, Sarah, Simone Voigt, and André Uhde. The Conditional Impact
of Market Consolidation and Market Power on Banking Stability – Evidence from
Europe, n.d.
ieee: S. Herwald, S. Voigt, and A. Uhde, The conditional impact of market consolidation
and market power on banking stability – Evidence from Europe. .
mla: Herwald, Sarah, et al. The Conditional Impact of Market Consolidation and
Market Power on Banking Stability – Evidence from Europe.
short: S. Herwald, S. Voigt, A. Uhde, The Conditional Impact of Market Consolidation
and Market Power on Banking Stability – Evidence from Europe, n.d.
date_created: 2022-12-22T06:08:24Z
date_updated: 2024-04-17T13:35:00Z
department:
- _id: '186'
- _id: '188'
language:
- iso: eng
publication_status: unpublished
status: public
title: The conditional impact of market consolidation and market power on banking
stability – Evidence from Europe
type: working_paper
user_id: '36049'
year: '2023'
...
---
_id: '13147'
abstract:
- lang: eng
text: Employing a unique and hand-collected sample of 648 true sale loan securitization
transactions issued by 57 stock-listed banks across the EU-12 plus Switzerland
over the period from 1997 to 2010, this paper empirically analyzes the relationship
between true sale loan securitization and the issuing banks’ non-performing loans
to total assets ratios. Overall, we provide evidence for a negative impact of
securitization on NPL exposures suggesting that banks predominantly used securitization
as an instrument of credit risk transfer and diversification. In addition, the
analysis at hand reveals a time-sensitive relationship between securitization
and NPL exposures. While we observe an even stronger NPL-reducing effect through
securitization during the non-crisis periods, the effect reverses during and after
the global financial crisis suggesting that banks were forced to provide credit
enhancement and employ securitization as a funding management tool. Along with
the results from a variety of sensitivity analyses our study provides important
implications for the recent debate on reducing NPL exposures of European banks
by revitalizing the European securitization market.
article_type: original
author:
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Wengerek ST, Hippert B, Uhde A. Risk allocation through securitization – Evidence
from non-performing loans. The Quarterly Review of Economics and Finance.
2022;Vol. 86 (11):48-64. doi:https://doi.org/10.1016/j.qref.2022.06.005
apa: Wengerek, S. T., Hippert, B., & Uhde, A. (2022). Risk allocation through
securitization – Evidence from non-performing loans. The Quarterly Review of
Economics and Finance, Vol. 86 (11), 48–64. https://doi.org/10.1016/j.qref.2022.06.005
bibtex: '@article{Wengerek_Hippert_Uhde_2022, title={Risk allocation through securitization
– Evidence from non-performing loans}, volume={Vol. 86 (11)}, DOI={https://doi.org/10.1016/j.qref.2022.06.005},
journal={The Quarterly Review of Economics and Finance}, publisher={Elsevier},
author={Wengerek, Sascha Tobias and Hippert, Benjamin and Uhde, André}, year={2022},
pages={48–64} }'
chicago: 'Wengerek, Sascha Tobias, Benjamin Hippert, and André Uhde. “Risk Allocation
through Securitization – Evidence from Non-Performing Loans.” The Quarterly
Review of Economics and Finance Vol. 86 (11) (2022): 48–64. https://doi.org/10.1016/j.qref.2022.06.005.'
ieee: 'S. T. Wengerek, B. Hippert, and A. Uhde, “Risk allocation through securitization
– Evidence from non-performing loans,” The Quarterly Review of Economics and
Finance, vol. Vol. 86 (11), pp. 48–64, 2022, doi: https://doi.org/10.1016/j.qref.2022.06.005.'
mla: Wengerek, Sascha Tobias, et al. “Risk Allocation through Securitization – Evidence
from Non-Performing Loans.” The Quarterly Review of Economics and Finance,
vol. Vol. 86 (11), Elsevier, 2022, pp. 48–64, doi:https://doi.org/10.1016/j.qref.2022.06.005.
short: S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and
Finance Vol. 86 (11) (2022) 48–64.
date_created: 2019-09-06T08:59:28Z
date_updated: 2022-12-23T11:27:53Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1016/j.qref.2022.06.005
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Securitization
language:
- iso: eng
page: 48-64
publication: The Quarterly Review of Economics and Finance
publication_status: published
publisher: Elsevier
status: public
title: Risk allocation through securitization – Evidence from non-performing loans
type: journal_article
user_id: '36049'
volume: Vol. 86 (11)
year: '2022'
...
---
_id: '35992'
abstract:
- lang: eng
text: 'In this paper new semiparametric generalized autoregressive conditional heteroscedasticity
(GARCH) models with long memory are introduced. A multiplicative decomposition
of the volatility into a conditional component and an unconditional component
is assumed. The estimation of the latter is carried out by means of a data-driven
local polynomial smoother. According to the revised recommendations by the Basel
Committee on Banking Supervision to measure market risk in the banks’ trading
books, these new semiparametric GARCH models are applied to obtain rolling one-step
ahead forecasts for the value-at-risk and expected shortfall (ES) for market risk
assets. Standard regulatory traffic-light tests and a newly introduced traffic-light
test for the ES are carried out for all models. In addition, model performance
is assessed via a recently introduced model selection criterion. The practical
relevance of our proposal is demonstrated by a comparative study. Our results
indicate that semiparametric long-memory GARCH models are a meaningful substitute
for their conventional, parametric counterparts. '
article_type: original
author:
- first_name: Sebastian
full_name: Letmathe, Sebastian
id: '23991'
last_name: Letmathe
- first_name: Yuanhua
full_name: Feng, Yuanhua
id: '20760'
last_name: Feng
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
citation:
ama: Letmathe S, Feng Y, Uhde A. Semiparametric GARCH models with long memory applied
to Value at Risk and Expected Shortfall. Journal of Risk. 25(2).
apa: Letmathe, S., Feng, Y., & Uhde, A. (n.d.). Semiparametric GARCH models
with long memory applied to Value at Risk and Expected Shortfall. Journal of
Risk, 25(2).
bibtex: '@article{Letmathe_Feng_Uhde, title={Semiparametric GARCH models with long
memory applied to Value at Risk and Expected Shortfall}, volume={25}, number={2},
journal={Journal of Risk}, author={Letmathe, Sebastian and Feng, Yuanhua and Uhde,
André} }'
chicago: Letmathe, Sebastian, Yuanhua Feng, and André Uhde. “Semiparametric GARCH
Models with Long Memory Applied to Value at Risk and Expected Shortfall.” Journal
of Risk 25, no. 2 (n.d.).
ieee: S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long
memory applied to Value at Risk and Expected Shortfall,” Journal of Risk,
vol. 25, no. 2.
mla: Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied
to Value at Risk and Expected Shortfall.” Journal of Risk, vol. 25, no.
2.
short: S. Letmathe, Y. Feng, A. Uhde, Journal of Risk 25 (n.d.).
date_created: 2023-01-11T10:50:27Z
date_updated: 2023-11-17T10:26:36Z
department:
- _id: '186'
- _id: '188'
intvolume: ' 25'
issue: '2'
keyword:
- long memory
- generalized autoregressive conditional heteroscedasticity (GARCH) models
- value-at-risk (VaR)
- expected shortfall (ES)
- traffic-light test
- backtesting
language:
- iso: eng
publication: Journal of Risk
publication_status: inpress
status: public
title: Semiparametric GARCH models with long memory applied to Value at Risk and Expected
Shortfall
type: journal_article
user_id: '36049'
volume: 25
year: '2022'
...
---
_id: '5163'
abstract:
- lang: eng
text: "Employing a unique hand-collected sample of 956 credit risk securitization
transactions issued by 64 stock-listed\r\nEuropean banks across the EU-13 plus
Switzerland over the period from 1997 to 2010, this paper empirically analyzes\r\nthe
impact of securitization on the issuing banks’ effective tax rates. Our analysis
reveals that banks may reduce their\r\ntax expense through securitization via
a direct and indirect channel suggesting that tax avoidance may be a further\r\nmotive
for banks to engage in the securitization business. These baseline findings remain
robust under various\r\nrobustness checks, especially when implementing structural
equation models and controlling for a reverse causality\r\nbetween the banks’
tax burden and their incentive to securitize. Finally, various sensitivity analyses
provide further\r\nimportant results and implications for tax policies, banking
regulation and the ongoing process of revitalizing the\r\nEuropean securitization
market."
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Uhde A. Tax avoidance through securitization. The Quarterly Review of Economics
and Finance. 2021;79:411-421. doi:10.1016/j.qref.2020.07.008
apa: Uhde, A. (2021). Tax avoidance through securitization. The Quarterly Review
of Economics and Finance, 79, 411–421. https://doi.org/10.1016/j.qref.2020.07.008
bibtex: '@article{Uhde_2021, title={Tax avoidance through securitization}, volume={79},
DOI={10.1016/j.qref.2020.07.008},
journal={The Quarterly Review of Economics and Finance}, author={Uhde, André},
year={2021}, pages={411–421} }'
chicago: 'Uhde, André. “Tax Avoidance through Securitization.” The Quarterly
Review of Economics and Finance 79 (2021): 411–21. https://doi.org/10.1016/j.qref.2020.07.008.'
ieee: A. Uhde, “Tax avoidance through securitization,” The Quarterly Review of
Economics and Finance, vol. 79, pp. 411–421, 2021.
mla: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, vol. 79, 2021, pp. 411–21, doi:10.1016/j.qref.2020.07.008.
short: A. Uhde, The Quarterly Review of Economics and Finance 79 (2021) 411–421.
date_created: 2018-10-31T09:55:40Z
date_updated: 2022-01-06T07:01:40Z
department:
- _id: '186'
- _id: '188'
doi: 10.1016/j.qref.2020.07.008
intvolume: ' 79'
jel:
- G21
- G28
- H25
- H71
keyword:
- Securitization
- Credit risk transfer
- Effective tax rates
- European banking
language:
- iso: eng
page: 411-421
publication: The Quarterly Review of Economics and Finance
status: public
title: Tax avoidance through securitization
type: journal_article
user_id: '81176'
volume: 79
year: '2021'
...
---
_id: '36060'
abstract:
- lang: eng
text: 'Merging a sample of 492 merger and acquisition (M&A) announcements from 284
acquiring firms across Europe and North America with data from 5-year single-name
credit default swaps (CDSs) written on stock-listed acquiring firms between 2005
and 2018, the paper at hand empirically analyzes the CDS investors’ risk perceptions
of M&A announcements using event study methodologies. As a baseline result, we
provide evidence for significantly positive cumulative average abnormal CDS spread
changes for both, European and North American acquirers suggesting that CDS investors
perceive an increase in the acquiring firms’ credit risk exposures due to M&A
announcements. Our baseline finding holds under several robustness checks, especially
when controlling for the robustness of the empirical design. Moreover, results
from a large variety of sensitivity analyses reveal a number of deal and firm
characteristics that may explain why CDS investors from our sample expect an increase
in the acquirers’ credit risk exposures due to forthcoming M&A transactions. '
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
citation:
ama: Hippert B, Uhde A. CDS Investors’ Risk Perceptions of M&A Announcements.
apa: Hippert, B., & Uhde, A. (n.d.). CDS Investors’ Risk Perceptions of M&A
Announcements.
bibtex: '@book{Hippert_Uhde, title={CDS Investors’ Risk Perceptions of M&A Announcements},
author={Hippert, Benjamin and Uhde, André} }'
chicago: Hippert, Benjamin, and André Uhde. CDS Investors’ Risk Perceptions of
M&A Announcements, n.d.
ieee: B. Hippert and A. Uhde, CDS Investors’ Risk Perceptions of M&A Announcements.
.
mla: Hippert, Benjamin, and André Uhde. CDS Investors’ Risk Perceptions of M&A
Announcements.
short: B. Hippert, A. Uhde, CDS Investors’ Risk Perceptions of M&A Announcements,
n.d.
date_created: 2023-01-11T11:31:54Z
date_updated: 2023-11-17T10:23:54Z
department:
- _id: '186'
- _id: '188'
jel:
- G14
- G34
keyword:
- credit default swaps
- risk perception of CDS investors
- mergers and acquisitions
- event study
language:
- iso: eng
publication_status: unpublished
status: public
title: CDS Investors’ Risk Perceptions of M&A Announcements
type: working_paper
user_id: '36049'
year: '2021'
...
---
_id: '36063'
abstract:
- lang: eng
text: "This paper empirically investigates determinants of the outstanding net notional
amount\r\nof credit default swaps (CDSs) contracts written on banks. We extend
and complement the\r\nprevious literature dealing with CDS trading by analyzing
a comprehensive set of CDS tradingspecific,\r\nbank-fundamental, macroeconomic
and bank-institutional determinants. We find that\r\nrisk hedging clearly dominates
an investor’s speculation and arbitrage motive, while the latter,\r\nhowever,
exhibits the strongest impact on the outstanding net notional amount of bank CDSs.\r\nFurthermore,
being classified as a G-SIB, being a constituent of the main CDS index and the\r\nequity
trading volume may significantly explain changes in the outstanding CDS net notional
on\r\nbanks. The analysis at hand provides important implications for both academics
and practitioners,\r\nsince understanding the trading motives of bank CDS investors
provides a deeper insight into the\r\nopaque CDS market. "
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
last_name: Wengerek
citation:
ama: Hippert B, Uhde A, Wengerek ST. Determinants of CDS Trading on Major Banks.
apa: Hippert, B., Uhde, A., & Wengerek, S. T. (n.d.). Determinants of CDS
Trading on Major Banks.
bibtex: '@book{Hippert_Uhde_Wengerek, title={Determinants of CDS Trading on Major
Banks}, author={Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}
}'
chicago: Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. Determinants
of CDS Trading on Major Banks, n.d.
ieee: B. Hippert, A. Uhde, and S. T. Wengerek, Determinants of CDS Trading on
Major Banks. .
mla: Hippert, Benjamin, et al. Determinants of CDS Trading on Major Banks.
short: B. Hippert, A. Uhde, S.T. Wengerek, Determinants of CDS Trading on Major
Banks, n.d.
date_created: 2023-01-11T11:34:17Z
date_updated: 2023-11-17T10:23:44Z
department:
- _id: '186'
- _id: '188'
jel:
- G10
- G12
- G21
keyword:
- banking
- outstanding CDS net notional
- determinants of bank CDS trading
language:
- iso: eng
publication_status: unpublished
status: public
title: Determinants of CDS Trading on Major Banks
type: working_paper
user_id: '36049'
year: '2021'
...
---
_id: '13146'
abstract:
- lang: eng
text: Employing a sample of 492 merger and acquisition (M&A) announcements from
284 acquirers across North America and Europe between 2005 and 2018, this study
analyzes the impact of M&A announcements on an acquirers abnormal CDS spread changes.
We find that spreads from CDS which are written on acquirers increase by 310 bps
during a symmetric five-day event window suggesting that investors expect an increase
in the acquirers credit risk exposure due to M&As. Next to this baseline finding,
we conduct a large variety of sensitivity analyses to gain more insight into the
driving factors of the rising risk perception of CDS investors due to M&A announcements.
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
citation:
ama: Hippert B. The Relationship between Announcements of Complete Mergers and
Acquisitions and Acquirers’ Abnormal CDS Spread Changes. Working Papers Dissertations
from Paderborn University, Faculty of Business Administration and Economics; 2019.
apa: Hippert, B. (2019). The relationship between announcements of complete mergers
and acquisitions and acquirers’ abnormal CDS spread changes. Working Papers
Dissertations from Paderborn University, Faculty of Business Administration and
Economics.
bibtex: '@book{Hippert_2019, place={Working Papers Dissertations from Paderborn
University, Faculty of Business Administration and Economics}, series={No 52},
title={The relationship between announcements of complete mergers and acquisitions
and acquirers’ abnormal CDS spread changes}, author={Hippert, Benjamin}, year={2019},
collection={No 52} }'
chicago: Hippert, Benjamin. The Relationship between Announcements of Complete
Mergers and Acquisitions and Acquirers’ Abnormal CDS Spread Changes. No 52.
Working Papers Dissertations from Paderborn University, Faculty of Business Administration
and Economics, 2019.
ieee: B. Hippert, The relationship between announcements of complete mergers
and acquisitions and acquirers’ abnormal CDS spread changes. Working Papers
Dissertations from Paderborn University, Faculty of Business Administration and
Economics, 2019.
mla: Hippert, Benjamin. The Relationship between Announcements of Complete Mergers
and Acquisitions and Acquirers’ Abnormal CDS Spread Changes. 2019.
short: B. Hippert, The Relationship between Announcements of Complete Mergers and
Acquisitions and Acquirers’ Abnormal CDS Spread Changes, Working Papers Dissertations
from Paderborn University, Faculty of Business Administration and Economics, 2019.
date_created: 2019-09-06T08:56:48Z
date_updated: 2022-01-06T06:51:29Z
department:
- _id: '186'
- _id: '188'
jel:
- G14
- G34
keyword:
- credit default swaps
- risk perception of CDS investors
- mergers and acquisitions
- event study
language:
- iso: eng
place: Working Papers Dissertations from Paderborn University, Faculty of Business
Administration and Economics
series_title: No 52
status: public
title: The relationship between announcements of complete mergers and acquisitions
and acquirers' abnormal CDS spread changes
type: working_paper
user_id: '21810'
year: '2019'
...
---
_id: '4562'
abstract:
- lang: eng
text: Employing main and sector-specific investment-grade CDS indices from the North
American and European CDS market and performing mean-variance out-of-sample analyses
for conservative and aggressive investors over the period from 2006 to 2014, this
paper analyzes portfolio benefits of adding corporate CDS indices to a traditional
financial portfolio consisting of stock and sovereign bond indices. As a baseline
result, we initially find an increase in portfolio (downside) risk-diversification
when adding CDS indices, which is observed irrespective of both CDS markets, investor-types
and different sub-periods, including the global financial crisis and European
sovereign debt crisis. In addition, the analysis reveals higher portfolio excess
returns and performance in CDS index portfolios, however, these effects clearly
differ between markets, investor-types and sub-periods. Overall, portfolio benefits
of adding CDS indices mainly result from the fact that institutional investors
replace sovereign bond indices rather than stock indices by CDS indices due to
better risk-return characteristics. Our baseline findings remain robust under
a variety of robustness checks. Results from sensitivity analyses provide further
important implications for institutional investors with a strategic focus on a
long-term conservative portfolio management.
article_type: original
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: 'Hippert B, Uhde A, Wengerek ST. Portfolio Benefits of Adding Corporate Credit
Default Swap Indices: Evidence from North America and Europe. Review of Derivatives
Research . 2019;22(2):203-259. doi:https://doi.org/10.1007/s11147-018-9148-8'
apa: 'Hippert, B., Uhde, A., & Wengerek, S. T. (2019). Portfolio Benefits of
Adding Corporate Credit Default Swap Indices: Evidence from North America and
Europe. Review of Derivatives Research , 22(2), 203–259. https://doi.org/10.1007/s11147-018-9148-8'
bibtex: '@article{Hippert_Uhde_Wengerek_2019, title={Portfolio Benefits of Adding
Corporate Credit Default Swap Indices: Evidence from North America and Europe},
volume={22}, DOI={https://doi.org/10.1007/s11147-018-9148-8},
number={2}, journal={Review of Derivatives Research }, author={Hippert, Benjamin
and Uhde, André and Wengerek, Sascha Tobias}, year={2019}, pages={203–259} }'
chicago: 'Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. “Portfolio
Benefits of Adding Corporate Credit Default Swap Indices: Evidence from North
America and Europe.” Review of Derivatives Research 22, no. 2 (2019):
203–59. https://doi.org/10.1007/s11147-018-9148-8.'
ieee: 'B. Hippert, A. Uhde, and S. T. Wengerek, “Portfolio Benefits of Adding Corporate
Credit Default Swap Indices: Evidence from North America and Europe,” Review
of Derivatives Research , vol. 22, no. 2, pp. 203–259, 2019, doi: https://doi.org/10.1007/s11147-018-9148-8.'
mla: 'Hippert, Benjamin, et al. “Portfolio Benefits of Adding Corporate Credit Default
Swap Indices: Evidence from North America and Europe.” Review of Derivatives
Research , vol. 22, no. 2, 2019, pp. 203–59, doi:https://doi.org/10.1007/s11147-018-9148-8.'
short: B. Hippert, A. Uhde, S.T. Wengerek, Review of Derivatives Research 22 (2019)
203–259.
date_created: 2018-10-01T12:17:35Z
date_updated: 2022-05-04T06:15:02Z
department:
- _id: '188'
- _id: '186'
doi: https://doi.org/10.1007/s11147-018-9148-8
intvolume: ' 22'
issue: '2'
jel:
- C61
- G01
- G11
- G15
- G23
keyword:
- Corporate credit default swap indices
- Mean-variance asset allocation
- Out-of-sample portfolio optimization
- Portfolio risk-diversification
- Portfolio performance evaluation
language:
- iso: eng
page: 203-259
publication: 'Review of Derivatives Research '
publication_status: published
status: public
title: 'Portfolio Benefits of Adding Corporate Credit Default Swap Indices: Evidence
from North America and Europe'
type: journal_article
user_id: '36049'
volume: 22
year: '2019'
...
---
_id: '36004'
abstract:
- lang: eng
text: 'Employing a unique sample of 2,849 tariff imposition announcements by and
against the United States (U.S.) over the period from 2018 to 2019, this study
analyzes the impact of recent tariff announcements on share prices from 859 U.S.
companies. We provide evidence for negative (cumulative) average abnormal stock
returns due to tariff announcements during a symmetric three-day event window.
We suggest that stock market investors expect adverse impacts of tariff impositions,
e.g. a decrease in the companies'' future cash flows and a threat of retaliation.
The negative wealth effects are observed irrespective of whether the Trump administration
announces safeguard tariffs to protect domestic firms or a retaliation is declared
by foreign countries. Moreover, building several subsamples, we find that the
adverse impact is mostly driven by announcements involving China and is associated
with a variety of sector, tariff, trade and firm characteristics. '
author:
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
last_name: Wengerek
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
citation:
ama: Wengerek ST, Uhde A. Share Price Reactions to Tariff Imposition Announcements
in the Trump Era – An Event Study of the Trade Conflict. Paderborn University;
2019.
apa: Wengerek, S. T., & Uhde, A. (2019). Share price reactions to tariff
imposition announcements in the Trump era – An event study of the trade conflict.
Paderborn University.
bibtex: '@book{Wengerek_Uhde_2019, title={Share price reactions to tariff imposition
announcements in the Trump era – An event study of the trade conflict}, publisher={Paderborn
University}, author={Wengerek, Sascha Tobias and Uhde, André}, year={2019} }'
chicago: Wengerek, Sascha Tobias, and André Uhde. Share Price Reactions to Tariff
Imposition Announcements in the Trump Era – An Event Study of the Trade Conflict.
Paderborn University, 2019.
ieee: S. T. Wengerek and A. Uhde, Share price reactions to tariff imposition
announcements in the Trump era – An event study of the trade conflict. Paderborn
University, 2019.
mla: Wengerek, Sascha Tobias, and André Uhde. Share Price Reactions to Tariff
Imposition Announcements in the Trump Era – An Event Study of the Trade Conflict.
Paderborn University, 2019.
short: S.T. Wengerek, A. Uhde, Share Price Reactions to Tariff Imposition Announcements
in the Trump Era – An Event Study of the Trade Conflict, Paderborn University,
2019.
date_created: 2023-01-11T10:57:04Z
date_updated: 2023-01-11T11:05:30Z
department:
- _id: '186'
- _id: '188'
jel:
- F14
- F18
- F23
- F51
keyword:
- event study
- international relations
- protectionism
- strategic trade policy
- tariffs
- trade conflict
language:
- iso: eng
publication_status: published
publisher: Paderborn University
status: public
title: Share price reactions to tariff imposition announcements in the Trump era –
An event study of the trade conflict
type: working_paper
user_id: '21810'
year: '2019'
...
---
_id: '13145'
abstract:
- lang: eng
text: 'Employing credit default swap (CDS) data for a sample of 52 major banks across
18 countries from 2008 to 2016, this paper investigates determinants of the outstanding
net notional amount of CDS which are written on banks. We extend the current literature
dealing with CDS trading by analyzing further CDS trading-specific, fundamental
bank-specific as well as macroeconomic and institutional determinants with a focus
on bank CDS trading. We find that, next to well-discussed determinants for corporate
firms in the literature, especially a bank''s tail risk, capital adequacy, loan
portfolio and business model affect a bank''s outstanding CDS net notional. This
finding indicates that investors in the bank CDS market partly have a recourse
to a fundamental analysis for their investment decision. Our study fills an important
gap since empirical studies have solely focused on sovereign and corporate CDS
yet. In addition, the analysis at hand provides important implications for both
academics and practitioners since understanding the trading motives of bank CDS
investors gives deeper insights into the still opaque CDS market. '
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: Hippert B, Uhde A, Wengerek ST. Determinants of CDS Trading on Major Banks.;
2019.
apa: Hippert, B., Uhde, A., & Wengerek, S. T. (2019). Determinants of CDS
trading on major banks.
bibtex: '@book{Hippert_Uhde_Wengerek_2019, place={Working Papers Dissertations from
Paderborn University, Faculty of Business Administration and Economics}, series={No
51}, title={Determinants of CDS trading on major banks}, author={Hippert, Benjamin
and Uhde, André and Wengerek, Sascha Tobias}, year={2019}, collection={No 51}
}'
chicago: Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. Determinants
of CDS Trading on Major Banks. No 51. Working Papers Dissertations from Paderborn
University, Faculty of Business Administration and Economics, 2019.
ieee: B. Hippert, A. Uhde, and S. T. Wengerek, Determinants of CDS trading on
major banks. Working Papers Dissertations from Paderborn University, Faculty
of Business Administration and Economics, 2019.
mla: Hippert, Benjamin, et al. Determinants of CDS Trading on Major Banks.
2019.
short: B. Hippert, A. Uhde, S.T. Wengerek, Determinants of CDS Trading on Major
Banks, Working Papers Dissertations from Paderborn University, Faculty of Business
Administration and Economics, 2019.
date_created: 2019-09-06T07:46:50Z
date_updated: 2024-04-17T13:35:52Z
department:
- _id: '186'
- _id: '188'
jel:
- G10
- G12
- G21
keyword:
- banking
- outstanding CDS net notional
- determinants of bank CDS trading
language:
- iso: eng
place: Working Papers Dissertations from Paderborn University, Faculty of Business
Administration and Economics
series_title: No 51
status: public
title: Determinants of CDS trading on major banks
type: working_paper
user_id: '36049'
year: '2019'
...
---
_id: '5170'
abstract:
- lang: eng
text: "Employing credit default swap (CDS) data for a sample of 52 major banks across
18\r\ncountries from 2008 to 2016, this paper investigates determinants of the
outstanding\r\nnet notional amount of CDS which are written on banks. We extend
the current\r\nliterature dealing with CDS trading by analyzing further CDS trading-specifi\fc,\r\nfundamental
bank-speci\ffic as well as macroeconomic and institutional determinants\r\nwith
a focus on bank CDS trading. We fi\fnd that, next to well-discussed determinants\r\nfor
corporate \ffirms in the literature, especially a bank's tail risk, capital adequacy,\r\nloan
portfolio and business model affect a bank's outstanding CDS net notional.\r\nThis
\ffinding indicates that investors in the bank CDS market partly have a recourse\r\nto
a fundamental analysis for their investment decision. Our study \ffills an important\r\ngap
since empirical studies have solely focused on sovereign and corporate CDS yet.\r\nIn
addition, the analysis at hand provides important implications for both academics\r\nand
practitioners since understanding the trading motives of bank CDS investors\r\ngives
deeper insights into the still opaque CDS market."
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Hippert B, Uhde A. Determinants of CDS Trading on Major Banks.
apa: Hippert, B., & Uhde, A. (n.d.). Determinants of CDS trading on major
banks.
bibtex: '@book{Hippert_Uhde, title={Determinants of CDS trading on major banks},
author={Hippert, Benjamin and Uhde, André} }'
chicago: Hippert, Benjamin, and André Uhde. Determinants of CDS Trading on Major
Banks, n.d.
ieee: B. Hippert and A. Uhde, Determinants of CDS trading on major banks.
.
mla: Hippert, Benjamin, and André Uhde. Determinants of CDS Trading on Major
Banks.
short: B. Hippert, A. Uhde, Determinants of CDS Trading on Major Banks, n.d.
date_created: 2018-10-31T10:05:47Z
date_updated: 2024-04-17T13:35:47Z
department:
- _id: '186'
- _id: '188'
jel:
- G10
- G12
- G21
keyword:
- banking
- outstanding CDS net notional
- determinants of bank CDS trading
language:
- iso: eng
publication_status: submitted
status: public
title: Determinants of CDS trading on major banks
type: working_paper
user_id: '36049'
year: '2019'
...
---
_id: '3378'
abstract:
- lang: ger
text: "Nach der Finanzkrise sind die Modellwelten der Finanzierungstheorie, vor
allem diejenigen, die auf vollkommenen Märkten spielen, nicht mehr zeitgemäß.
Heute muss die Lehre zu Theorie und Praxis der Finanzierungspolitik beide Sphären
miteinander verbinden - wie es das Konzept dieses neuen Lehrbuchs verfolgt: Aus
der strategischen Sicht des Finanzleiters werden die zentralen Themen der unternehmerischen
Finanzierungspolitik aufgezeigt:\r\nInvestitionsrechnung, Nutzung von Finanzmärkten,
-intermediären und -instrumenten, Finanzielles Risikomanagement, Finanzkommunikation,
Gestaltung von Unternehmensstruktur und -kontrolle.\r\n\r\nMit vielen Anwendungsbeispielen
und Einblicken in die Praxis."
author:
- first_name: Stephan
full_name: Paul, Stephan
last_name: Paul
- first_name: Andreas
full_name: Horsch, Andreas
last_name: Horsch
- first_name: Daniel
full_name: Kaltofen, Daniel
last_name: Kaltofen
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Gregor
full_name: Weiß, Gregor
last_name: Weiß
citation:
ama: Paul S, Horsch A, Kaltofen D, Uhde A, Weiß G. Unternehmerische Finanzierungspolitik.
Vol 1. 1st ed. Schäffer Poeschel; 2017.
apa: Paul, S., Horsch, A., Kaltofen, D., Uhde, A., & Weiß, G. (2017). Unternehmerische
Finanzierungspolitik (1st ed., Vol. 1). Schäffer Poeschel.
bibtex: '@book{Paul_Horsch_Kaltofen_Uhde_Weiß_2017, edition={1}, series={Eine wertorientierte
Einführung}, title={Unternehmerische Finanzierungspolitik}, volume={1}, publisher={Schäffer
Poeschel}, author={Paul, Stephan and Horsch, Andreas and Kaltofen, Daniel and
Uhde, André and Weiß, Gregor}, year={2017}, collection={Eine wertorientierte Einführung}
}'
chicago: Paul, Stephan, Andreas Horsch, Daniel Kaltofen, André Uhde, and Gregor
Weiß. Unternehmerische Finanzierungspolitik. 1st ed. Vol. 1. Eine wertorientierte
Einführung. Schäffer Poeschel, 2017.
ieee: S. Paul, A. Horsch, D. Kaltofen, A. Uhde, and G. Weiß, Unternehmerische
Finanzierungspolitik, 1st ed., vol. 1. Schäffer Poeschel, 2017.
mla: Paul, Stephan, et al. Unternehmerische Finanzierungspolitik. 1st ed.,
vol. 1, Schäffer Poeschel, 2017.
short: S. Paul, A. Horsch, D. Kaltofen, A. Uhde, G. Weiß, Unternehmerische Finanzierungspolitik,
1st ed., Schäffer Poeschel, 2017.
date_created: 2018-06-27T12:30:27Z
date_updated: 2023-01-10T09:38:15Z
department:
- _id: '186'
- _id: '188'
edition: '1'
intvolume: ' 1'
keyword:
- Investitionsrechnung
- finanzielles Risikomanagement
- Finanzkommunikation
language:
- iso: ger
page: '760'
publication_identifier:
isbn:
- ' 978-3-7910-3086-9'
publication_status: published
publisher: Schäffer Poeschel
series_title: Eine wertorientierte Einführung
status: public
title: Unternehmerische Finanzierungspolitik
type: book
user_id: '21810'
volume: 1
year: '2017'
...
---
_id: '5171'
abstract:
- lang: eng
text: "Employing a unique and hand-collected sample of 648 true sale loan securitization\r\ntransactions
issued by 57 stock-listed banks across the EU-12 plus Switzerland\r\nover the
period from 1997 to 2010, this paper empirically analyzes the relationship\r\nbetween
true sale loan securitization and the issuing banks' non-performing loan\r\nto
total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect\r\nduring
the boom phase of securitizations in Europe suggesting that banks in our\r\nsample
may (partly) securitize NPLs as the most risky junior tranche and do not\r\n(fully)
retain NPLs as a reputation and quality signal towards less informed investors\r\nin
imperfect capital markets. In contrast, we fi\fnd the reverse effect during the\r\ncrises
period in Europe indicating that issuing banks provided credit enhancement\r\nand
demonstrated `skin in the game'. Our baseline result remains robust when\r\ncontrolling
for endogeneity concerns and a potential persistence in the time series\r\nof
the NPL data. Moreover, results from a variety of sensitivity analysis reveal\r\nthat
the NPLR-reducing effect is stronger for opaque securitization transactions,\r\nfor
issuing banks exhibiting higher average levels of NPLRs and for banks operating\r\nfrom
non-PIIGS countries. In addition, a reduction of NPLRs through securitization\r\nis
observed for issued collateralized debt obligations, residential mortgage-backed\r\nsecurities,
consumer and other unspeci\fed loans as well as for non-frequently issuing,\r\nsystemically
less important and worse-rated banks. Our analysis offers essential\r\ninsights
into the loan risk allocation process through securitization and provides\r\nimportant
implications for the vital debate on reducing NPL exposures and the\r\nprocess
of revitalizing and regulating the European securitization market."
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: Uhde A, Wengerek ST. The Relationship between Credit Risk Transfer and Non-Performing
Loans. Evidence from European Banks.
apa: Uhde, A., & Wengerek, S. T. (n.d.). The relationship between credit
risk transfer and non-performing loans. Evidence from European banks.
bibtex: '@book{Uhde_Wengerek, title={The relationship between credit risk transfer
and non-performing loans. Evidence from European banks}, author={Uhde, André and
Wengerek, Sascha Tobias} }'
chicago: Uhde, André, and Sascha Tobias Wengerek. The Relationship between Credit
Risk Transfer and Non-Performing Loans. Evidence from European Banks, n.d.
ieee: A. Uhde and S. T. Wengerek, The relationship between credit risk transfer
and non-performing loans. Evidence from European banks. .
mla: Uhde, André, and Sascha Tobias Wengerek. The Relationship between Credit
Risk Transfer and Non-Performing Loans. Evidence from European Banks.
short: A. Uhde, S.T. Wengerek, The Relationship between Credit Risk Transfer and
Non-Performing Loans. Evidence from European Banks, n.d.
date_created: 2018-10-31T10:07:26Z
date_updated: 2024-04-17T13:34:47Z
department:
- _id: '186'
- _id: '188'
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Risk Allocation
- Securitization
language:
- iso: eng
publication_status: submitted
status: public
title: The relationship between credit risk transfer and non-performing loans. Evidence
from European banks
type: working_paper
user_id: '36049'
year: '2017'
...
---
_id: '3376'
abstract:
- lang: eng
text: Employing compensation data provided by 63 banks from 16 European countries
for the period from 2000 to 2010 this paper empirically investigates the impact
of excess variable compensation on bank risk. As a main finding, we provide evidence
for a risk-increasing impact of excess variable pay for both executive variable
cash-based and variable equity-based compensation. This baseline finding holds
under various robustness checks, in particular when controlling for likely reverse
causality between bank risk and variable compensation by employing Granger-causality
tests and instrumental variable regressions. In addition, results from a large
number of sensitivity analyses including board and banking characteristics as
well as the financial crisis period and the quality of a country's regulatory
framework provide further important implications for banking regulators and politicians
in Europe.
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: 'Uhde A. Risk-taking incentives through excess variable compensation: Evidence
from European banks. The Quarterly Review of Economics and Finance. 2016;60(5):12-28.
doi:https://doi.org/10.1016/j.qref.2015.11.009'
apa: 'Uhde, A. (2016). Risk-taking incentives through excess variable compensation:
Evidence from European banks. The Quarterly Review of Economics and Finance,
60(5), 12–28. https://doi.org/10.1016/j.qref.2015.11.009'
bibtex: '@article{Uhde_2016, title={Risk-taking incentives through excess variable
compensation: Evidence from European banks}, volume={60}, DOI={https://doi.org/10.1016/j.qref.2015.11.009},
number={5}, journal={The Quarterly Review of Economics and Finance}, publisher={Elsevier},
author={Uhde, André}, year={2016}, pages={12–28} }'
chicago: 'Uhde, André. “Risk-Taking Incentives through Excess Variable Compensation:
Evidence from European Banks.” The Quarterly Review of Economics and Finance
60, no. 5 (2016): 12–28. https://doi.org/10.1016/j.qref.2015.11.009.'
ieee: 'A. Uhde, “Risk-taking incentives through excess variable compensation: Evidence
from European banks,” The Quarterly Review of Economics and Finance, vol.
60, no. 5, pp. 12–28, 2016, doi: https://doi.org/10.1016/j.qref.2015.11.009.'
mla: 'Uhde, André. “Risk-Taking Incentives through Excess Variable Compensation:
Evidence from European Banks.” The Quarterly Review of Economics and Finance,
vol. 60, no. 5, Elsevier, 2016, pp. 12–28, doi:https://doi.org/10.1016/j.qref.2015.11.009.'
short: A. Uhde, The Quarterly Review of Economics and Finance 60 (2016) 12–28.
date_created: 2018-06-27T12:16:57Z
date_updated: 2023-01-10T09:38:37Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1016/j.qref.2015.11.009
intvolume: ' 60'
issue: '5'
jel:
- G21
- G28
- G32
- J33
keyword:
- Banking
- Executive compensation
- Risk-taking
- Financial stability
language:
- iso: eng
page: 12-28
publication: The Quarterly Review of Economics and Finance
publication_status: published
publisher: Elsevier
status: public
title: 'Risk-taking incentives through excess variable compensation: Evidence from
European banks'
type: journal_article
user_id: '21810'
volume: 60
year: '2016'
...
---
_id: '4396'
abstract:
- lang: eng
text: Analyzing 75 securitizing and non-securitizing stock-listed banks in the EU-13
plus Switzerland over the period from 1997 to 2010, this paper provides empirical
evidence that loan securitization in Europe is a composite decision based on bank-specific
as well as market- and country-specific determinants. In addition, we find that
these determinants remarkably change when separately investigating securitization
transactions during the pre-crisis and crisis period. Moreover, results from several
subsample regressions reveal that determinants of loan securitizations in Europe
depend on the transaction type, the underlying asset portfolio and the regulatory
and institutional environment under which banks operate.
author:
- first_name: Christian
full_name: Farruggio, Christian
last_name: Farruggio
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Farruggio C, Uhde A. Determinants of loan securitization in European banking.
Journal of Banking and Finance. 2015;56:12-27. doi:10.1016/j.jbankfin.2015.01.015
apa: Farruggio, C., & Uhde, A. (2015). Determinants of loan securitization in
European banking. Journal of Banking and Finance, 56, 12–27. https://doi.org/10.1016/j.jbankfin.2015.01.015
bibtex: '@article{Farruggio_Uhde_2015, title={Determinants of loan securitization
in European banking}, volume={56}, DOI={10.1016/j.jbankfin.2015.01.015 }, journal={Journal of Banking and Finance},
author={Farruggio, Christian and Uhde, André}, year={2015}, pages={12–27} }'
chicago: 'Farruggio, Christian, and André Uhde. “Determinants of Loan Securitization
in European Banking.” Journal of Banking and Finance 56 (2015): 12–27.
https://doi.org/10.1016/j.jbankfin.2015.01.015
.'
ieee: 'C. Farruggio and A. Uhde, “Determinants of loan securitization in European
banking,” Journal of Banking and Finance, vol. 56, pp. 12–27, 2015, doi:
10.1016/j.jbankfin.2015.01.015
.'
mla: Farruggio, Christian, and André Uhde. “Determinants of Loan Securitization
in European Banking.” Journal of Banking and Finance, vol. 56, 2015, pp.
12–27, doi:10.1016/j.jbankfin.2015.01.015
.
short: C. Farruggio, A. Uhde, Journal of Banking and Finance 56 (2015) 12–27.
date_created: 2018-09-14T11:26:52Z
date_updated: 2023-01-10T09:37:18Z
department:
- _id: '186'
- _id: '188'
doi: '10.1016/j.jbankfin.2015.01.015 '
intvolume: ' 56'
jel:
- G21
- G28
keyword:
- Securitization
- Determinants
- European banking
language:
- iso: eng
page: 12-27
publication: Journal of Banking and Finance
publication_status: published
status: public
title: Determinants of loan securitization in European banking
type: journal_article
user_id: '21810'
volume: 56
year: '2015'
...
---
_id: '4398'
abstract:
- lang: eng
text: Employing a Hausman–Taylor instrument variable (HT–IV) estimator to data from
558 microfinance institutions (MFIs) in 80 developing countries for the period
from 2002 to 2007, this paper provides empirical evidence for a positive impact
of a country's external governance quality and outcome on local microbanks' economic
success in terms of profitability and sustainability. Evidence as well suggests
a negative relationship between external governance and the microbanks' social
success measured by the depth of outreach. In this context, our analysis reveals
that a country's political stability, governance effectiveness, regulatory quality
and rule of law are significant key elements of external governance affecting
the MFIs' functional performance. Moreover, results from sensitivity analyses
indicate that the relationship between external governance quality and microfinance
functional performance significantly depends on the microbanks' business concepts,
their lending methodologies and sources of funding.
alternative_title:
- 'The impact of external governance quality on the economic and social success of
microfinance institutions '
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Oliver
full_name: Müller, Oliver
last_name: Müller
citation:
ama: Uhde A, Müller O. External governance outcome and microfinance success.
International Journal of Monetary Economics and Finance . 2013;6(2/3):116-149.
doi:https://doi.org/10.1504/IJMEF.2013.056394
apa: Uhde, A., & Müller, O. (2013). External governance outcome and microfinance
success. International Journal of Monetary Economics and Finance , 6(2/3),
116–149. https://doi.org/10.1504/IJMEF.2013.056394
bibtex: '@article{Uhde_Müller_2013, title={External governance outcome and microfinance
success}, volume={6}, DOI={https://doi.org/10.1504/IJMEF.2013.056394},
number={2/3}, journal={ International Journal of Monetary Economics and Finance
}, author={Uhde, André and Müller, Oliver}, year={2013}, pages={116–149} }'
chicago: 'Uhde, André, and Oliver Müller. “External Governance Outcome and Microfinance
Success.” International Journal of Monetary Economics and Finance 6,
no. 2/3 (2013): 116–49. https://doi.org/10.1504/IJMEF.2013.056394.'
ieee: 'A. Uhde and O. Müller, “External governance outcome and microfinance success,”
International Journal of Monetary Economics and Finance , vol. 6, no.
2/3, pp. 116–149, 2013, doi: https://doi.org/10.1504/IJMEF.2013.056394.'
mla: Uhde, André, and Oliver Müller. “External Governance Outcome and Microfinance
Success.” International Journal of Monetary Economics and Finance , vol.
6, no. 2/3, 2013, pp. 116–49, doi:https://doi.org/10.1504/IJMEF.2013.056394.
short: A. Uhde, O. Müller, International Journal of Monetary Economics and Finance 6
(2013) 116–149.
date_created: 2018-09-14T11:53:25Z
date_updated: 2023-01-10T09:38:58Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1504/IJMEF.2013.056394
intvolume: ' 6'
issue: 2/3
jel:
- G21
- G28
keyword:
- microfinance
- external governance
- economic success
- social success
- developing countries
- profitability
- sustainability
- microbanks
- outreach
- political stability
- governance effectiveness
- regulatory quality
- rule of law
- governance quality
- lending methodologies
- funding sources
language:
- iso: eng
page: 116-149
publication: ' International Journal of Monetary Economics and Finance '
publication_identifier:
eissn:
- 1752-0487
publication_status: published
status: public
title: External governance outcome and microfinance success
type: journal_article
user_id: '21810'
volume: 6
year: '2013'
...
---
_id: '4397'
abstract:
- lang: eng
text: 'Employing four event dates of the U.S. “Troubled Asset Relief Program” (TARP)
this paper empirically investigates the impact of the first announcement of TARP
(September 19, 2008), the announcement of revised TARP (October 14, 2008), respective
capital infusions under TARP-CPP and capital repayments on changes in shareholder
value and risk exposure of 125 supported U.S. banks as perceived by the capital
market through share price reactions for an entire sample period from September
19, 2008 to June 16, 2010. Our analysis reveals a light and a dark side of TARP.
While announcements as well as capital repayments may restore market confidence
and financial stability, equity capital injections to banks are observed to be
a severe impediment to an increase in bank shareholder value and financial soundness. '
author:
- first_name: Christian
full_name: Farruggio, Christian
last_name: Farruggio
- first_name: Tobias C.
full_name: Michalak, Tobias C.
last_name: Michalak
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Farruggio C, Michalak TC, Uhde A. The light and dark side of TARP. Journal
of Banking and Finance. 2013;32(5):2586-2604. doi:10.1016/j.jbankfin.2013.02.020
apa: Farruggio, C., Michalak, T. C., & Uhde, A. (2013). The light and dark side
of TARP. Journal of Banking and Finance, 32(5), 2586–2604. https://doi.org/10.1016/j.jbankfin.2013.02.020
bibtex: '@article{Farruggio_Michalak_Uhde_2013, title={The light and dark side of
TARP}, volume={32}, DOI={10.1016/j.jbankfin.2013.02.020},
number={5}, journal={Journal of Banking and Finance}, author={Farruggio, Christian
and Michalak, Tobias C. and Uhde, André}, year={2013}, pages={2586–2604} }'
chicago: 'Farruggio, Christian, Tobias C. Michalak, and André Uhde. “The Light and
Dark Side of TARP.” Journal of Banking and Finance 32, no. 5 (2013): 2586–2604.
https://doi.org/10.1016/j.jbankfin.2013.02.020.'
ieee: 'C. Farruggio, T. C. Michalak, and A. Uhde, “The light and dark side of TARP,”
Journal of Banking and Finance, vol. 32, no. 5, pp. 2586–2604, 2013, doi:
10.1016/j.jbankfin.2013.02.020.'
mla: Farruggio, Christian, et al. “The Light and Dark Side of TARP.” Journal
of Banking and Finance, vol. 32, no. 5, 2013, pp. 2586–604, doi:10.1016/j.jbankfin.2013.02.020.
short: C. Farruggio, T.C. Michalak, A. Uhde, Journal of Banking and Finance 32 (2013)
2586–2604.
date_created: 2018-09-14T11:40:31Z
date_updated: 2023-01-10T09:37:43Z
department:
- _id: '186'
- _id: '188'
doi: 10.1016/j.jbankfin.2013.02.020
intvolume: ' 32'
issue: '5'
jel:
- G14
- G21
- G28
keyword:
- Financial crisis
- TARP
- Market efficiency
- Event study
language:
- iso: eng
page: 2586-2604
publication: Journal of Banking and Finance
publication_status: published
status: public
title: The light and dark side of TARP
type: journal_article
user_id: '21810'
volume: 32
year: '2013'
...
---
_id: '4399'
abstract:
- lang: eng
text: Using a unique sample of 749 cash and synthetic securitization transactions
issued by 60 stock-listed bank holdings in the EU-13 plus Switzerland over the
period from 1997 to 2007 this paper provides empirical evidence that credit risk
securitization has a negative impact on the issuing banks’ financial soundness.
Baseline findings hold even when controlling for likely reverse causality by employing
instrumental variable techniques and substituting the accounting-based z-score
ratio by market-based indicators of bank risk. Moreover, investigating the relationship
between credit risk securitization and single z-score components in order to evaluate
significant transmission channels proposed by relevant theoretical literature,
we find a negative impact of securitization on bank profitability and capital
environment as well as a positive relationship between securitization and the
issuing bank's return volatility. Against the background of our empirical results
we underline that the decision by the Basel Committee to enhance the new Basel
III framework in the field of securitization is a step in the right direction.
author:
- first_name: Tobias C.
full_name: Michalak, Tobias C.
last_name: Michalak
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: 'Michalak TC, Uhde A. Credit risk securitization and bank soundness: Evidence
from the microlevel for Europe. Quarterly Review of Economics and Finance.
2012;52(3):272-285. doi:https://doi.org/10.1016/j.qref.2012.04.008'
apa: 'Michalak, T. C., & Uhde, A. (2012). Credit risk securitization and bank
soundness: Evidence from the microlevel for Europe. Quarterly Review of Economics
and Finance, 52(3), 272–285. https://doi.org/10.1016/j.qref.2012.04.008'
bibtex: '@article{Michalak_Uhde_2012, title={ Credit risk securitization and bank
soundness: Evidence from the microlevel for Europe}, volume={52}, DOI={https://doi.org/10.1016/j.qref.2012.04.008},
number={3}, journal={Quarterly Review of Economics and Finance}, author={Michalak,
Tobias C. and Uhde, André}, year={2012}, pages={272–285} }'
chicago: 'Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and
Bank Soundness: Evidence from the Microlevel for Europe.” Quarterly Review
of Economics and Finance 52, no. 3 (2012): 272–85. https://doi.org/10.1016/j.qref.2012.04.008.'
ieee: 'T. C. Michalak and A. Uhde, “ Credit risk securitization and bank soundness:
Evidence from the microlevel for Europe,” Quarterly Review of Economics and
Finance, vol. 52, no. 3, pp. 272–285, 2012, doi: https://doi.org/10.1016/j.qref.2012.04.008.'
mla: 'Michalak, Tobias C., and André Uhde. “ Credit Risk Securitization and Bank
Soundness: Evidence from the Microlevel for Europe.” Quarterly Review of Economics
and Finance, vol. 52, no. 3, 2012, pp. 272–85, doi:https://doi.org/10.1016/j.qref.2012.04.008.'
short: T.C. Michalak, A. Uhde, Quarterly Review of Economics and Finance 52 (2012)
272–285.
date_created: 2018-09-14T11:59:26Z
date_updated: 2023-01-10T09:32:07Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1016/j.qref.2012.04.008
intvolume: ' 52'
issue: '3'
jel:
- G21
- G28
keyword:
- Credit risk securitization Bank soundness European banking
language:
- iso: eng
page: 272-285
publication: Quarterly Review of Economics and Finance
publication_status: published
status: public
title: ' Credit risk securitization and bank soundness: Evidence from the microlevel
for Europe'
type: journal_article
user_id: '21810'
volume: 52
year: '2012'
...
---
_id: '4401'
abstract:
- lang: eng
text: Employing data on foreign bank claims from 13 OECD countries on 51 emerging
markets between 1993 and 2007, this study investigates specific characteristics
of OECD banking markets and lending banks as new important determinants of cross-border
lending. We initially provide empirical evidence that in addition to well-accepted
“gravity measures”, characteristics of OECD banking markets as well as lending
banks’ attributes may describe further important determinants of cross-border
bank lending with regard to our sample. Building subsamples of more-developed
emerging markets vs. frontier markets, addressing (non) common lender relationships
and analyzing cross border lending flows during different time periods, our analysis
additionally reveals that both the determinants’ explanatory power and their direction
of impact notably vary with respective subsamples.
author:
- first_name: Oliver
full_name: Müller, Oliver
last_name: Müller
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: 'Müller O, Uhde A. Cross-border bank lending - Empirical evidence on further
determinants from OECD banking markets. Journal of International Financial
Markets, Institutions & Money. 2012;23:136-162. doi:DOI: 10.1016/j.intfin.2012.09.004 '
apa: 'Müller, O., & Uhde, A. (2012). Cross-border bank lending - Empirical evidence
on further determinants from OECD banking markets. Journal of International
Financial Markets, Institutions & Money, 23, 136–162. https://doi.org/DOI: 10.1016/j.intfin.2012.09.004
'
bibtex: '@article{Müller_Uhde_2012, title={Cross-border bank lending - Empirical
evidence on further determinants from OECD banking markets}, volume={23}, DOI={DOI: 10.1016/j.intfin.2012.09.004
}, journal={Journal of International Financial Markets, Institutions &
Money}, author={Müller, Oliver and Uhde, André}, year={2012}, pages={136–162}
}'
chicago: 'Müller, Oliver, and André Uhde. “Cross-Border Bank Lending - Empirical
Evidence on Further Determinants from OECD Banking Markets.” Journal of International
Financial Markets, Institutions & Money 23 (2012): 136–62. https://doi.org/DOI: 10.1016/j.intfin.2012.09.004
.'
ieee: 'O. Müller and A. Uhde, “Cross-border bank lending - Empirical evidence on
further determinants from OECD banking markets,” Journal of International Financial
Markets, Institutions & Money, vol. 23, pp. 136–162, 2012, doi: DOI: 10.1016/j.intfin.2012.09.004 .'
mla: 'Müller, Oliver, and André Uhde. “Cross-Border Bank Lending - Empirical Evidence
on Further Determinants from OECD Banking Markets.” Journal of International
Financial Markets, Institutions & Money, vol. 23, 2012, pp. 136–62, doi:DOI: 10.1016/j.intfin.2012.09.004
.'
short: O. Müller, A. Uhde, Journal of International Financial Markets, Institutions
& Money 23 (2012) 136–162.
date_created: 2018-09-14T12:32:57Z
date_updated: 2023-01-10T09:34:19Z
department:
- _id: '186'
- _id: '188'
doi: 'DOI: 10.1016/j.intfin.2012.09.004 '
extern: '1'
intvolume: ' 23'
jel:
- F
- G
keyword:
- Foreign bank claims
- Gravity measures
- OECD banking markets’ characteristics
- Lending banks’ characteristics
language:
- iso: eng
page: 136-162
publication: Journal of International Financial Markets, Institutions & Money
publication_status: published
status: public
title: Cross-border bank lending - Empirical evidence on further determinants from
OECD banking markets
type: journal_article
user_id: '21810'
volume: 23
year: '2012'
...