--- _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: '4951' abstract: - lang: eng text: Despite the rapid growth and potential of technology-based services, managers' greatest challenges are gaining customer acceptance and increasing usage of these new innovative services. In the B2C field, studies of self-service technology show that perceived risk is an important factor influencing the use of service technology. Though prior research explores different risk types that emerge in consumer settings, risk perception in the B2B setting lacks a detailed examination of different risk types influencing technology-based service adoption. Data from 49 qualitative interviews with providers and customers in two different B2B industries inform this study. The findings emphasize the importance of functional and financial risks in a B2B context and show that business customers' personal and psychological fears hinder their use of technology-based services. Results highlight differences in risk perception and evaluation between customers and providers. article_type: original author: - first_name: Stefanie full_name: Paluch, Stefanie last_name: Paluch - first_name: Nancy full_name: Wünderlich, Nancy id: '36392' last_name: Wünderlich citation: ama: Paluch S, Wünderlich N. Contrasting Risk Perceptions of Technology-Based Service Innovations in Inter-Organizational Settings. Journal of business Research. 2016;69(7):2424--2431. apa: Paluch, S., & Wünderlich, N. (2016). Contrasting Risk Perceptions of Technology-Based Service Innovations in Inter-Organizational Settings. Journal of Business Research, 69(7), 2424--2431. bibtex: '@article{Paluch_Wünderlich_2016, title={Contrasting Risk Perceptions of Technology-Based Service Innovations in Inter-Organizational Settings.}, volume={69}, number={7}, journal={Journal of business Research}, publisher={Elsevier}, author={Paluch, Stefanie and Wünderlich, Nancy}, year={2016}, pages={2424--2431} }' chicago: 'Paluch, Stefanie, and Nancy Wünderlich. “Contrasting Risk Perceptions of Technology-Based Service Innovations in Inter-Organizational Settings.” Journal of Business Research 69, no. 7 (2016): 2424--2431.' ieee: S. Paluch and N. Wünderlich, “Contrasting Risk Perceptions of Technology-Based Service Innovations in Inter-Organizational Settings.,” Journal of business Research, vol. 69, no. 7, pp. 2424--2431, 2016. mla: Paluch, Stefanie, and Nancy Wünderlich. “Contrasting Risk Perceptions of Technology-Based Service Innovations in Inter-Organizational Settings.” Journal of Business Research, vol. 69, no. 7, Elsevier, 2016, pp. 2424--2431. short: S. Paluch, N. Wünderlich, Journal of Business Research 69 (2016) 2424--2431. date_created: 2018-10-26T10:20:07Z date_updated: 2022-01-06T07:01:30Z department: - _id: '178' - _id: '181' intvolume: ' 69' issue: '7' keyword: - Risk perception - Technology-based service innovations - Business-to-business context - Interview study - Risk categories - Smart service language: - iso: eng page: 2424--2431 publication: Journal of business Research publication_status: published publisher: Elsevier status: public title: Contrasting Risk Perceptions of Technology-Based Service Innovations in Inter-Organizational Settings. type: journal_article user_id: '37741' volume: 69 year: '2016' ... --- _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: '5614' abstract: - lang: eng text: Natural disasters, including earthquakes, Tsunamis, floods, hurricanes, and volcanic eruptions, have caused tremendous harm and continue to threaten millions of humans and various infrastructure capabilities each year. In their efforts to take countermeasures against the threats posed by future natural disasters, the United Nations formulated the ?Hyogo Framework for Action?, which aims at assessing and reducing risk. This framework and a global review of disaster reduction initiatives of the United Nations acknowledge the need for information systems research contributions in addressing major challenges of natural disaster management. In this paper, we provide a review of the literature with regard to how information systems research has addressed risk assessment and reduction in natural disaster management. Based on the review we identify research gaps that are centered around the need for acquiring general knowledge on how to design IS artifacts for risk assessment and reduction. In order to close these gaps in further research, we develop a research agenda that follows the IS design science paradigm. author: - first_name: Guido full_name: Schryen, Guido id: '72850' last_name: Schryen - first_name: Felix full_name: Wex, Felix last_name: Wex citation: ama: 'Schryen G, Wex F. Risk Reduction in Natural Disaster Management Through Information Systems: A Literature review and an IS design science research agenda. International Journal of Information Systems for Crisis Response and Management (IJISCRAM). 2014;6(1).' apa: 'Schryen, G., & Wex, F. (2014). Risk Reduction in Natural Disaster Management Through Information Systems: A Literature review and an IS design science research agenda. International Journal of Information Systems for Crisis Response and Management (IJISCRAM), 6(1).' bibtex: '@article{Schryen_Wex_2014, title={Risk Reduction in Natural Disaster Management Through Information Systems: A Literature review and an IS design science research agenda}, volume={6}, number={1}, journal={International Journal of Information Systems for Crisis Response and Management (IJISCRAM)}, author={Schryen, Guido and Wex, Felix}, year={2014} }' chicago: 'Schryen, Guido, and Felix Wex. “Risk Reduction in Natural Disaster Management Through Information Systems: A Literature Review and an IS Design Science Research Agenda.” International Journal of Information Systems for Crisis Response and Management (IJISCRAM) 6, no. 1 (2014).' ieee: 'G. Schryen and F. Wex, “Risk Reduction in Natural Disaster Management Through Information Systems: A Literature review and an IS design science research agenda,” International Journal of Information Systems for Crisis Response and Management (IJISCRAM), vol. 6, no. 1, 2014.' mla: 'Schryen, Guido, and Felix Wex. “Risk Reduction in Natural Disaster Management Through Information Systems: A Literature Review and an IS Design Science Research Agenda.” International Journal of Information Systems for Crisis Response and Management (IJISCRAM), vol. 6, no. 1, 2014.' short: G. Schryen, F. Wex, International Journal of Information Systems for Crisis Response and Management (IJISCRAM) 6 (2014). date_created: 2018-11-14T13:58:50Z date_updated: 2022-01-06T07:02:08Z ddc: - '000' department: - _id: '277' extern: '1' file: - access_level: open_access content_type: application/pdf creator: hsiemes date_created: 2018-12-07T11:50:26Z date_updated: 2018-12-13T15:11:05Z file_id: '6044' file_name: Risk reduction in NDM - Revision 1.pdf file_size: 2708161 relation: main_file file_date_updated: 2018-12-13T15:11:05Z has_accepted_license: '1' intvolume: ' 6' issue: '1' keyword: - Natural Disaster Management - Risk Reduction - Hyogo Framework - IS Design Science - Literature review language: - iso: eng oa: '1' publication: International Journal of Information Systems for Crisis Response and Management (IJISCRAM) status: public title: 'Risk Reduction in Natural Disaster Management Through Information Systems: A Literature review and an IS design science research agenda' type: journal_article user_id: '61579' volume: 6 year: '2014' ... --- _id: '39483' author: - first_name: F.F. full_name: Vidor, F.F. last_name: Vidor - first_name: G.I. full_name: Wirth, G.I. last_name: Wirth - first_name: Ulrich full_name: Hilleringmann, Ulrich id: '20179' last_name: Hilleringmann citation: ama: Vidor FF, Wirth GI, Hilleringmann U. Low temperature fabrication of a ZnO nanoparticle thin-film transistor suitable for flexible electronics. Microelectronics Reliability. 2014;54(12):2760-2765. doi:10.1016/j.microrel.2014.07.147 apa: Vidor, F. F., Wirth, G. I., & Hilleringmann, U. (2014). Low temperature fabrication of a ZnO nanoparticle thin-film transistor suitable for flexible electronics. Microelectronics Reliability, 54(12), 2760–2765. https://doi.org/10.1016/j.microrel.2014.07.147 bibtex: '@article{Vidor_Wirth_Hilleringmann_2014, title={Low temperature fabrication of a ZnO nanoparticle thin-film transistor suitable for flexible electronics}, volume={54}, DOI={10.1016/j.microrel.2014.07.147}, number={12}, journal={Microelectronics Reliability}, publisher={Elsevier BV}, author={Vidor, F.F. and Wirth, G.I. and Hilleringmann, Ulrich}, year={2014}, pages={2760–2765} }' chicago: 'Vidor, F.F., G.I. Wirth, and Ulrich Hilleringmann. “Low Temperature Fabrication of a ZnO Nanoparticle Thin-Film Transistor Suitable for Flexible Electronics.” Microelectronics Reliability 54, no. 12 (2014): 2760–65. https://doi.org/10.1016/j.microrel.2014.07.147.' ieee: 'F. F. Vidor, G. I. Wirth, and U. Hilleringmann, “Low temperature fabrication of a ZnO nanoparticle thin-film transistor suitable for flexible electronics,” Microelectronics Reliability, vol. 54, no. 12, pp. 2760–2765, 2014, doi: 10.1016/j.microrel.2014.07.147.' mla: Vidor, F. F., et al. “Low Temperature Fabrication of a ZnO Nanoparticle Thin-Film Transistor Suitable for Flexible Electronics.” Microelectronics Reliability, vol. 54, no. 12, Elsevier BV, 2014, pp. 2760–65, doi:10.1016/j.microrel.2014.07.147. short: F.F. Vidor, G.I. Wirth, U. Hilleringmann, Microelectronics Reliability 54 (2014) 2760–2765. date_created: 2023-01-24T11:25:42Z date_updated: 2023-03-22T10:15:06Z department: - _id: '59' doi: 10.1016/j.microrel.2014.07.147 intvolume: ' 54' issue: '12' keyword: - Electrical and Electronic Engineering - Surfaces - Coatings and Films - Safety - Risk - Reliability and Quality - Condensed Matter Physics - Atomic and Molecular Physics - and Optics - Electronic - Optical and Magnetic Materials language: - iso: eng page: 2760-2765 publication: Microelectronics Reliability publication_identifier: issn: - 0026-2714 publication_status: published publisher: Elsevier BV status: public title: Low temperature fabrication of a ZnO nanoparticle thin-film transistor suitable for flexible electronics type: journal_article user_id: '20179' volume: 54 year: '2014' ... --- _id: '20863' abstract: - lang: eng text: This article examines and extends research on the relation between the capital asset pricing model market beta, accounting risk measures and macroeconomic risk factors. We employ a beta decomposition approach that nests competing models with different business risk proxies and allows to frame cross-model comparison. Because model tests require estimated independent variables resulting in measurement error, we empirically estimate three comparable model specifications with instrumental variable estimators and for the first time provide thorough instrument diagnostics in this setting. Correcting for the heretofore neglected weak instruments problem we find that growth risk (i.e., the risk of firm sales variations that are inconsistent with the market wide trends), is the business risk that explains cross-sectional variations in market beta best. article_type: original author: - first_name: Tobias full_name: Schlueter, Tobias last_name: Schlueter - first_name: Sönke full_name: Sievers, Sönke id: '46447' last_name: Sievers citation: ama: 'Schlueter T, Sievers S. Determinants of market beta: the impacts of firm-specific accounting figures and market conditions. Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B). 2013;(3):535-570. doi:10.1007/s11156-013-0352-1' apa: 'Schlueter, T., & Sievers, S. (2013). Determinants of market beta: the impacts of firm-specific accounting figures and market conditions. Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B), 3, 535–570. https://doi.org/10.1007/s11156-013-0352-1' bibtex: '@article{Schlueter_Sievers_2013, title={Determinants of market beta: the impacts of firm-specific accounting figures and market conditions}, DOI={10.1007/s11156-013-0352-1}, number={3}, journal={Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B)}, author={Schlueter, Tobias and Sievers, Sönke}, year={2013}, pages={535–570} }' chicago: 'Schlueter, Tobias, and Sönke Sievers. “Determinants of Market Beta: The Impacts of Firm-Specific Accounting Figures and Market Conditions.” Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B), no. 3 (2013): 535–70. https://doi.org/10.1007/s11156-013-0352-1.' ieee: 'T. Schlueter and S. Sievers, “Determinants of market beta: the impacts of firm-specific accounting figures and market conditions,” Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B), no. 3, pp. 535–570, 2013, doi: 10.1007/s11156-013-0352-1.' mla: 'Schlueter, Tobias, and Sönke Sievers. “Determinants of Market Beta: The Impacts of Firm-Specific Accounting Figures and Market Conditions.” Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B), no. 3, 2013, pp. 535–70, doi:10.1007/s11156-013-0352-1.' short: T. Schlueter, S. Sievers, Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B) (2013) 535–570. date_created: 2021-01-05T09:28:36Z date_updated: 2026-04-09T08:02:58Z department: - _id: '275' doi: 10.1007/s11156-013-0352-1 extern: '1' issue: '3' jel: - C36 - G11 - G12 keyword: - CAPM - Cost of capital - Accounting beta - Intrinsic business risk - Growth risk - Instrumental variables language: - iso: eng main_file_link: - url: https://link.springer.com/article/10.1007/s11156-013-0352-1 page: 535-570 publication: Review of Quantitative Finance and Accounting (VHB-JOURQUAL 4 Ranking B) publication_identifier: issn: - 0924-865X - 1573-7179 publication_status: published quality_controlled: '1' status: public title: 'Determinants of market beta: the impacts of firm-specific accounting figures and market conditions' type: journal_article user_id: '115848' 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: '4403' abstract: - lang: eng text: 'Using a unique cross‐sectional dataset of 381 cash and synthetic securitizations issued by 53 banks from the EU‐15 plus Switzerland between 1997 and 2007, this paper provides empirical evidence for time‐dependent negative wealth effects of credit risk securitization announcements in European banking. Baseline results hold when comparing estimated wealth effects with a control group of similar but non‐securitizing banks for the relevant time period. Moreover, building several sub samples we find that the nexus between credit risk securitization, the issuing banks’ overall risk exposure and wealth effects is associated with a variety of transaction‐ and bank‐specific factors. ' 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. Wealth effects of credit risk securitization in European Banking. Journal of Business Finance and Accounting. 2012;39(1 & 2):193-228. doi:https://doi.org/10.1111/j.1468-5957.2012.02273.x apa: Farruggio, C., Michalak, T. C., & Uhde, A. (2012). Wealth effects of credit risk securitization in European Banking. Journal of Business Finance and Accounting, 39(1 & 2), 193–228. https://doi.org/10.1111/j.1468-5957.2012.02273.x bibtex: '@article{Farruggio_Michalak_Uhde_2012, title={Wealth effects of credit risk securitization in European Banking}, volume={39}, DOI={https://doi.org/10.1111/j.1468-5957.2012.02273.x}, number={1 & 2}, journal={Journal of Business Finance and Accounting}, author={Farruggio, Christian and Michalak, Tobias C. and Uhde, André}, year={2012}, pages={193–228} }' chicago: 'Farruggio, Christian, Tobias C. Michalak, and André Uhde. “Wealth Effects of Credit Risk Securitization in European Banking.” Journal of Business Finance and Accounting 39, no. 1 & 2 (2012): 193–228. https://doi.org/10.1111/j.1468-5957.2012.02273.x.' ieee: 'C. Farruggio, T. C. Michalak, and A. Uhde, “Wealth effects of credit risk securitization in European Banking,” Journal of Business Finance and Accounting, vol. 39, no. 1 & 2, pp. 193–228, 2012, doi: https://doi.org/10.1111/j.1468-5957.2012.02273.x.' mla: Farruggio, Christian, et al. “Wealth Effects of Credit Risk Securitization in European Banking.” Journal of Business Finance and Accounting, vol. 39, no. 1 & 2, 2012, pp. 193–228, doi:https://doi.org/10.1111/j.1468-5957.2012.02273.x. short: C. Farruggio, T.C. Michalak, A. Uhde, Journal of Business Finance and Accounting 39 (2012) 193–228. date_created: 2018-09-14T12:44:33Z date_updated: 2023-01-10T09:35:34Z department: - _id: '186' - _id: '188' doi: https://doi.org/10.1111/j.1468-5957.2012.02273.x extern: '1' intvolume: ' 39' issue: 1&2 jel: - G - F keyword: - wealth effects - credit risk securitization - Europe - event study language: - iso: eng page: 193-228 publication: Journal of Business Finance and Accounting publication_status: published status: public title: Wealth effects of credit risk securitization in European Banking type: journal_article user_id: '21810' volume: 39 year: '2012' ... --- _id: '36015' abstract: - lang: eng text: 'Employing time series of single-name CDS market spreads from 29 European banks located in the EU-12 plus Switzerland and the UK over the period from January 2004 through September 2010 this paper analyses the relationship between increasing sovereign risk and bank-specific CDS pricing. Results from calculating relative CDS spread deviations (model minus market spreads) initially reveal a price bubble in the European CDS market until the beginning of the financial crisis in mid-2007. From this point in time the gap narrows remarkably during the financial crisis and sovereign debt crisis period. Corresponding to these findings, the empirical analysis reveals a negative impact of sovereign risk on calculated CDS spread differentials indicating a spill-over effect between sovereign risk and bank risk and hence, a positive effect on bank-specific CDS pricing. Further analyses reveal that the perception of sovereign risk is not crisis- but country-dependent suggesting that bank-specific CDS market spreads may already include a premium to cover sovereign risk from PIIGS countries during the pre-crisis period in Europe. ' author: - first_name: Christian full_name: Meine, Christian last_name: Meine - first_name: Tobias C. full_name: Michalak, Tobias C. last_name: Michalak - first_name: André full_name: Uhde, André id: '36049' last_name: Uhde citation: ama: Meine C, Michalak TC, Uhde A. Sovereign Risk and Bank-Specific CDS Pricing. Paderborn University; 2012. apa: Meine, C., Michalak, T. C., & Uhde, A. (2012). Sovereign Risk and Bank-Specific CDS Pricing. Paderborn University. bibtex: '@book{Meine_Michalak_Uhde_2012, title={Sovereign Risk and Bank-Specific CDS Pricing}, publisher={Paderborn University}, author={Meine, Christian and Michalak, Tobias C. and Uhde, André}, year={2012} }' chicago: Meine, Christian, Tobias C. Michalak, and André Uhde. Sovereign Risk and Bank-Specific CDS Pricing. Paderborn University, 2012. ieee: C. Meine, T. C. Michalak, and A. Uhde, Sovereign Risk and Bank-Specific CDS Pricing. Paderborn University, 2012. mla: Meine, Christian, et al. Sovereign Risk and Bank-Specific CDS Pricing. Paderborn University, 2012. short: C. Meine, T.C. Michalak, A. Uhde, Sovereign Risk and Bank-Specific CDS Pricing, Paderborn University, 2012. date_created: 2023-01-11T11:00:57Z date_updated: 2023-01-11T11:05:44Z department: - _id: '186' - _id: '188' jel: - G01 - G12 - G14 - G18 - G21 keyword: - Sovereign risk - Structural credit risk models - bank-specific CDS pricing language: - iso: eng publication_status: published publisher: Paderborn University status: public title: Sovereign Risk and Bank-Specific CDS Pricing type: working_paper user_id: '21810' year: '2012' ... --- _id: '36021' abstract: - lang: eng text: '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: - first_name: Tobias C. full_name: Michalak, Tobias C. last_name: Michalak - first_name: André full_name: Uhde, André id: '36049' last_name: Uhde citation: ama: Michalak TC, Uhde A. The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking. Paderborn University; 2011. apa: Michalak, T. C., & Uhde, A. (2011). The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking. Paderborn University. bibtex: '@book{Michalak_Uhde_2011, title={The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking}, publisher={Paderborn University}, author={Michalak, Tobias C. and Uhde, André}, year={2011} }' chicago: Michalak, Tobias C., and André Uhde. The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking. Paderborn University, 2011. ieee: T. C. Michalak and A. Uhde, The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking. Paderborn University, 2011. mla: Michalak, Tobias C., and André Uhde. The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking. Paderborn University, 2011. short: T.C. Michalak, A. Uhde, The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking, Paderborn University, 2011. date_created: 2023-01-11T11:04:30Z date_updated: 2024-04-17T13:35:15Z department: - _id: '186' - _id: '188' jel: - E43 - E44 - E52 - G01 - G28 keyword: - risk-taking channel - competition - concentration - bank soundness - European banking language: - iso: eng publication_status: published publisher: Paderborn University status: public title: The Nexus between Monetary Policy, Banking Market Structure and Bank Risk Taking type: working_paper user_id: '21810' year: '2011' ... --- _id: '4404' abstract: - lang: eng text: Using a unique dataset of 592 cash and synthetic securitizations issued by 54 banks from the EU-15 plus Switzerland over the period from 1997 to 2007 this paper provides empirical evidence that credit risk securitization has a positive impact on the increase of European banks’ systematic risk. Baseline results hold when comparing estimated beta coefficients with a control group of similar non-securitizing banks. Building several sub-samples we additionally find that (a) the increase in systematic risk is more relevant for larger banks that repeatedly engage in securitization, (b) securitization is more important for small and medium financial institutions, (c) banks have a higher incentive to retain the larger part of credit risk as a quality signal at the beginning of the securitization business in Europe, and (d) the overall risk-shifting effect due to securitization is more distinct when the pre-event systematic risk is low. author: - first_name: André full_name: Uhde, André id: '36049' last_name: Uhde orcid: https://orcid.org/0000-0002-8058-8857 - first_name: Tobias C. full_name: Michalak, Tobias C. last_name: Michalak citation: ama: 'Uhde A, Michalak TC. Securitization and systematic risk in European banking: Empirical evidence. Journal of Banking & Finance. 2010;34(12):3061-3077. doi:https://doi.org/10.1016/j.jbankfin.2010.07.012' apa: 'Uhde, A., & Michalak, T. C. (2010). Securitization and systematic risk in European banking: Empirical evidence. Journal of Banking & Finance, 34(12), 3061–3077. https://doi.org/10.1016/j.jbankfin.2010.07.012' bibtex: '@article{Uhde_Michalak_2010, title={Securitization and systematic risk in European banking: Empirical evidence}, volume={34}, DOI={https://doi.org/10.1016/j.jbankfin.2010.07.012}, number={12}, journal={Journal of Banking & Finance}, author={Uhde, André and Michalak, Tobias C.}, year={2010}, pages={3061–3077} }' chicago: 'Uhde, André, and Tobias C. Michalak. “Securitization and Systematic Risk in European Banking: Empirical Evidence.” Journal of Banking & Finance 34, no. 12 (2010): 3061–77. https://doi.org/10.1016/j.jbankfin.2010.07.012.' ieee: 'A. Uhde and T. C. Michalak, “Securitization and systematic risk in European banking: Empirical evidence,” Journal of Banking & Finance, vol. 34, no. 12, pp. 3061–3077, 2010, doi: https://doi.org/10.1016/j.jbankfin.2010.07.012.' mla: 'Uhde, André, and Tobias C. Michalak. “Securitization and Systematic Risk in European Banking: Empirical Evidence.” Journal of Banking & Finance, vol. 34, no. 12, 2010, pp. 3061–77, doi:https://doi.org/10.1016/j.jbankfin.2010.07.012.' short: A. Uhde, T.C. Michalak, Journal of Banking & Finance 34 (2010) 3061–3077. date_created: 2018-09-14T12:48:35Z date_updated: 2023-01-10T09:35:58Z department: - _id: '186' - _id: '188' doi: https://doi.org/10.1016/j.jbankfin.2010.07.012 extern: '1' intvolume: ' 34' issue: '12' jel: - G14 - G21 - G28 - G32 keyword: - Credit risk transfer - Securitization - Systematic risk - Event study language: - iso: eng page: 3061-3077 publication: Journal of Banking & Finance status: public title: 'Securitization and systematic risk in European banking: Empirical evidence' type: journal_article user_id: '21810' volume: 34 year: '2010' ...