@article{34802, abstract = {{Purpose Academic 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. Design/methodology/approach Using 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. Findings Our 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. Originality/value Our 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 = {{Herwald, Sarah and Voigt, Simone and Uhde, André}}, journal = {{Journal of Risk Finance}}, keywords = {{market concentration, market power, banking stability, European banking}}, number = {{3}}, pages = {{510 -- 536}}, title = {{{The conditional impact of market consolidation and market power on banking stability – Evidence from Europe}}}, doi = {{https://doi.org/10.1108/JRF-03-2023-0075}}, volume = {{25}}, year = {{2024}}, } @article{13147, abstract = {{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.}}, author = {{Wengerek, Sascha Tobias and Hippert, Benjamin and Uhde, André}}, journal = {{The Quarterly Review of Economics and Finance}}, keywords = {{European Banking, Non-performing Loans, Securitization}}, pages = {{48--64}}, publisher = {{Elsevier}}, title = {{{Risk allocation through securitization – Evidence from non-performing loans}}}, doi = {{https://doi.org/10.1016/j.qref.2022.06.005}}, volume = {{Vol. 86 (11)}}, year = {{2022}}, } @article{29317, abstract = {{In this paper new semiparametric GARCH models with long memory are in- troduced. The estimation of the nonparametric scale function is carried out by an adapted version of the SEMIFAR algorithm (Beran et al., 2002). Recurring on the revised recommendations by the Basel Committee to measure market risk in the banks' trading books (Basel Committee on Banking Supervision, 2013), the semi- parametric GARCH models are applied to obtain rolling one-step ahead forecasts for the Value at Risk (VaR) and Expected Shortfall (ES) for market risk assets. In addition, standard regulatory traffic light tests (Basel Committee on Banking Supervision, 1996) and a newly introduced traffic light test for the ES are carried out for all models. The practical relevance of our proposal is demonstrated by a comparative study. Our results indicate that semiparametric long memory GARCH models are an attractive alternative to their conventional, parametric counterparts.}}, author = {{Letmathe, Sebastian and Feng, Yuanhua and Uhde, André}}, journal = {{Journal of Risk}}, keywords = {{Semiparametric, long memory, GARCH models, forecasting, Value at Risk, Expected Shortfall, traffic light test, Basel Committee on Banking Supervision}}, title = {{{Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall}}}, doi = {{10.21314/JOR.2022.044}}, year = {{2022}}, } @article{5163, abstract = {{Employing a unique hand-collected sample of 956 credit risk securitization transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the impact of securitization on the issuing banks’ effective tax rates. Our analysis reveals that banks may reduce their tax expense through securitization via a direct and indirect channel suggesting that tax avoidance may be a further motive for banks to engage in the securitization business. These baseline findings remain robust under various robustness checks, especially when implementing structural equation models and controlling for a reverse causality between the banks’ tax burden and their incentive to securitize. Finally, various sensitivity analyses provide further important results and implications for tax policies, banking regulation and the ongoing process of revitalizing the European securitization market.}}, author = {{Uhde, André}}, journal = {{The Quarterly Review of Economics and Finance}}, keywords = {{Securitization, Credit risk transfer, Effective tax rates, European banking}}, pages = {{411--421}}, title = {{{Tax avoidance through securitization}}}, doi = {{10.1016/j.qref.2020.07.008}}, volume = {{79}}, year = {{2021}}, } @techreport{36063, abstract = {{This paper empirically investigates determinants of the outstanding net notional amount of credit default swaps (CDSs) contracts written on banks. We extend and complement the previous literature dealing with CDS trading by analyzing a comprehensive set of CDS tradingspecific, bank-fundamental, macroeconomic and bank-institutional determinants. We find that risk hedging clearly dominates an investor’s speculation and arbitrage motive, while the latter, however, exhibits the strongest impact on the outstanding net notional amount of bank CDSs. Furthermore, being classified as a G-SIB, being a constituent of the main CDS index and the equity trading volume may significantly explain changes in the outstanding CDS net notional on banks. The analysis at hand provides important implications for both academics and practitioners, since understanding the trading motives of bank CDS investors provides a deeper insight into the opaque CDS market. }}, author = {{Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}}, keywords = {{banking, outstanding CDS net notional, determinants of bank CDS trading}}, title = {{{Determinants of CDS Trading on Major Banks}}}, year = {{2021}}, } @techreport{29316, abstract = {{Employing a unique and hand-collected dataset of securitization transactions by European banks, this paper analyzes the relationship between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect during the boom phase of securitizations suggesting that banks (partly) securitized NPLs as the most risky junior tranche. In contrast, we find the reverse effect during the crises period indicating that issuing banks demonstrated `skin in the game'. A variety of sensitivity analyses provides further important implications for the vital debate on reducing NPL exposures and regulating securitization markets.}}, author = {{Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}}, keywords = {{European Banking, Non-performing Loans, Risk Allocation, Securitization}}, title = {{{Risk allocation through securitization - Evidence from non-performing loans}}}, year = {{2021}}, } @article{17522, abstract = {{Employing a unique hand-collected sample of 956 credit risk securitization transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the impact of securitization on the issuing banks’ effective tax rates. Our analysis reveals that banks may reduce their tax expense through securitization via a direct and indirect channel suggesting that tax avoidance may be a further motive for banks to engage in the securitization business. These baseline findings remain robust under various robustness checks, especially when implementing structural equation models and controlling for a reverse causality between the banks’ tax burden and their incentive to securitize. Finally, various sensitivity analyses provide further important results and implications for tax policies, banking regulation and the ongoing process of revitalizing the European securitization market.}}, author = {{Uhde, André}}, issn = {{1062-9769}}, journal = {{The Quarterly Review of Economics and Finance}}, keywords = {{Securitization, Credit risk transfer, Effective tax rates, European banking}}, title = {{{Tax avoidance through securitization}}}, doi = {{10.1016/j.qref.2020.07.008}}, year = {{2020}}, } @article{17401, abstract = {{Employing a unique hand-collected sample of 956 credit risk securitization transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the impact of securitization on the issuing banks’ effective tax rates. Our analysis reveals that banks may reduce their tax expense through securitization via a direct and indirect channel suggesting that tax avoidance may be a further motive for banks to engage in the securitization business. These baseline findings remain robust under various robustness checks, especially when implementing structural equation models and controlling for a reverse causality between the banks’ tax burden and their incentive to securitize. Finally, various sensitivity analyses provide further important results and implications for tax policies, banking regulation and the ongoing process of revitalizing the European securitization market.}}, author = {{Uhde, André}}, journal = {{The Quarterly Review of Economics and Finance}}, keywords = {{Securitization, credit risk transfer, effective tax rates, European banking}}, title = {{{Tax avoidance through securitization}}}, year = {{2020}}, } @techreport{29314, abstract = {{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 = {{Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}}, keywords = {{banking, outstanding CDS net notional, determinants of bank CDS trading}}, title = {{{Determinants of CDS trading on major banks}}}, year = {{2019}}, } @techreport{13145, abstract = {{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 = {{Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}}, keywords = {{banking, outstanding CDS net notional, determinants of bank CDS trading}}, title = {{{Determinants of CDS trading on major banks}}}, year = {{2019}}, } @techreport{5170, abstract = {{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-specifi c, fundamental bank-speci fic as well as macroeconomic and institutional determinants with a focus on bank CDS trading. We fi nd 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 = {{Hippert, Benjamin and Uhde, André}}, keywords = {{banking, outstanding CDS net notional, determinants of bank CDS trading}}, title = {{{Determinants of CDS trading on major banks}}}, year = {{2019}}, } @techreport{5171, abstract = {{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 loan to total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect during the boom phase of securitizations in Europe suggesting that banks in our sample may (partly) securitize NPLs as the most risky junior tranche and do not (fully) retain NPLs as a reputation and quality signal towards less informed investors in imperfect capital markets. In contrast, we fi nd the reverse effect during the crises period in Europe indicating that issuing banks provided credit enhancement and demonstrated `skin in the game'. Our baseline result remains robust when controlling for endogeneity concerns and a potential persistence in the time series of the NPL data. Moreover, results from a variety of sensitivity analysis reveal that the NPLR-reducing effect is stronger for opaque securitization transactions, for issuing banks exhibiting higher average levels of NPLRs and for banks operating from non-PIIGS countries. In addition, a reduction of NPLRs through securitization is observed for issued collateralized debt obligations, residential mortgage-backed securities, consumer and other unspeci ed loans as well as for non-frequently issuing, systemically less important and worse-rated banks. Our analysis offers essential insights into the loan risk allocation process through securitization and provides important implications for the vital debate on reducing NPL exposures and the process of revitalizing and regulating the European securitization market.}}, author = {{Uhde, André and Wengerek, Sascha Tobias}}, keywords = {{European Banking, Non-performing Loans, Risk Allocation, Securitization}}, title = {{{The relationship between credit risk transfer and non-performing loans. Evidence from European banks}}}, year = {{2017}}, } @article{3376, abstract = {{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 = {{Uhde, André}}, journal = {{The Quarterly Review of Economics and Finance}}, keywords = {{Banking, Executive compensation, Risk-taking, Financial stability}}, number = {{5}}, pages = {{12--28}}, publisher = {{Elsevier}}, title = {{{Risk-taking incentives through excess variable compensation: Evidence from European banks}}}, doi = {{https://doi.org/10.1016/j.qref.2015.11.009}}, volume = {{60}}, year = {{2016}}, } @article{4396, abstract = {{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 = {{Farruggio, Christian and Uhde, André}}, journal = {{Journal of Banking and Finance}}, keywords = {{Securitization, Determinants, European banking}}, pages = {{12--27}}, title = {{{Determinants of loan securitization in European banking}}}, doi = {{10.1016/j.jbankfin.2015.01.015 }}, volume = {{56}}, year = {{2015}}, } @article{4399, abstract = {{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 = {{Michalak, Tobias C. and Uhde, André}}, journal = {{Quarterly Review of Economics and Finance}}, keywords = {{Credit risk securitization Bank soundness European banking}}, number = {{3}}, pages = {{272--285}}, title = {{{ Credit risk securitization and bank soundness: Evidence from the microlevel for Europe}}}, doi = {{https://doi.org/10.1016/j.qref.2012.04.008}}, volume = {{52}}, year = {{2012}}, } @article{4401, abstract = {{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 = {{Müller, Oliver and Uhde, André}}, journal = {{Journal of International Financial Markets, Institutions & Money}}, keywords = {{Foreign bank claims, Gravity measures, OECD banking markets’ characteristics, Lending banks’ characteristics}}, pages = {{136--162}}, title = {{{Cross-border bank lending - Empirical evidence on further determinants from OECD banking markets}}}, doi = {{DOI: 10.1016/j.intfin.2012.09.004 }}, volume = {{23}}, year = {{2012}}, } @article{4402, abstract = {{This contribution presents and discusses main results of a new survey on the assessment of supervisory quality among German banks in 2010. In particular, it is analyzed if and how supervised banks’ perception of the quality of supervisory authorities and their instruments has changed due to the financial crisis starting in mid-2007. Subsequently, results from the recent survey are compared with findings provided by a former study carried out by the authors in 2006 (Paul, Stein and Uhde, 2008). }}, author = {{Paul, Stephan and Stein, Stefan and Uhde, André}}, journal = {{Journal of Governance and Regulation}}, keywords = {{banking supervision, quality, assessment, banking sector}}, number = {{3}}, pages = {{96--109}}, title = {{{Measuring the quality of banking supervision revisited - Assessments by German banks before and during the financial crisis}}}, doi = {{http://dx.doi.org/10.2139/ssrn.1946120 }}, volume = {{1}}, year = {{2012}}, } @techreport{36021, abstract = {{Using a sample of stock-listed bank holding companies located in Western Europe over the period from 1997 to 2008 this paper provides empirical evidence that an increase in short-term interest rates as well as an extended period of expansionary monetary policy has a negative impact on European stock-listed banks’ soundness as measured by the Expected Default Frequency. Against this background and in order to evaluate interactions between the risk-taking channel of monetary policy and the competitiveness of a country’s banking market we find a negative impact of an increase in competition in the loan market – proxied by the Boone-indicator – on financial soundness. Referring to the structural-conduct performance (SCP) paradigm, this paper provides further evidence that an increase in concentration in the banking market spurs financial soundness. }}, author = {{Michalak, Tobias C. and Uhde, André}}, keywords = {{risk-taking channel, competition, concentration, bank soundness, European banking}}, publisher = {{Paderborn University}}, title = {{{The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking}}}, year = {{2011}}, } @article{4406, abstract = {{Using aggregate balance sheet data from banks across the EU-25 over the period from 1997 to 2005 we provide empirical evidence that national banking market concentration has a negative impact on European banks’ financial soundness as measured by the Z-score technique while controlling for macroeconomic, bank-specific, regulatory, and institutional factors. Furthermore, our analysis reveals that Eastern European banking markets exhibiting a lower level of competitive pressure, fewer diversification opportunities and a higher fraction of government-owned banks are more prone to financial fragility whereas capital regulations have supported financial stability across the entire European Union.}}, author = {{Uhde, André and Heimeshoff, Ulrich}}, journal = {{Journal of Banking & Finance}}, keywords = {{Market structure, Financial stability, Banking regulation}}, number = {{7}}, pages = {{1299--1311}}, title = {{{Consolidation in banking and financial stability in Europe: Empirical evidence}}}, doi = {{https://doi.org/10.1016/j.jbankfin.2009.01.006}}, volume = {{33}}, year = {{2009}}, } @article{4407, abstract = {{The successful implementation of a harmonised regulatory framework for the global banking system is still a long way off. This mainly results from (a) different traditions in banking regulation and supervision at the national level, (b) different national emphases on regulatory sub-goals such as efficiency or the protection and promotion of national financial markets, and (c) different institutional settings and conditions. In this context, studies on the banking industry's assessment of supervisory processes and instruments highlight how effectively and efficiently individual nation states are implementing international frameworks such as Basel II and the Capital Requirements Directive for Europe. In November 2005, the German Government commissioned an evaluation of the supervisory processes and instruments of the country's banking authorities, BaFin and Bundesbank. The study aimed to determine the options for further optimising supervision, reducing regulatory burden and bureaucracy, and otherwise restricting supervision. This paper presents the most important findings from the survey, analyses significant differences in assessments given by various banking groups, empirically evaluates significant drivers of banks' overall satisfaction with banking supervision, and drafts proposals for improving banking regulation and supervision in Germany. Finally, aspects of further research are discussed. }}, author = {{Paul, Stephan and Stein, Stefan and Uhde, André}}, journal = {{Journal of Risk Managment in Financial Institutions}}, keywords = {{banking supervision, quality, assessment, banking sector}}, number = {{1}}, pages = {{69--87}}, title = {{{Measuring the relationship between supervisory authorities and banks: An assessment of the German banking sector}}}, volume = {{2}}, year = {{2008}}, }