@techreport{65685, abstract = {{Employing a unique hand-collected sample of 881 securitization transactions issued by 59 stock-listed banks across the EU-13 plus Switzerland over the period from 1997 to 2010, this paper empirically investigates if and how market power in the loan and deposit market may influence European banks’ incentives to engage in securitization activities. We construct product-specific residual Lerner Indices to measure market power in the loan and deposit market separately. Our results suggest that banks with higher loan and deposit market power securitize less, consistent with a reduced need for risk transfer and a reduced reliance on market-based funding. Various sensitivity analyses further show that these relationships vary across underlyings, issuance frequencies, and different time stages of securitization in Europe. Our findings contribute to the literature by disentangling loan and deposit market power as two further distinct determinants of securitization and thus, offer important insights regarding the ongoing policy debates on the consolidation of European banking markets and the revitalisation of the European securitization market.}}, author = {{Herwald, Sarah and Uhde, André}}, keywords = {{Securitization, market power, European banking}}, title = {{{Securitization and Market Power – Evidence from European Banks}}}, year = {{2026}}, } @book{65699, author = {{Uhde, André and Paul, Stephan and Horsch, Andreas and Kaltofen, Daniel and Weiß, Gregor}}, isbn = {{978-3-7910-6577-9}}, title = {{{Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung}}}, year = {{2026}}, } @techreport{65686, abstract = {{This paper empirically examines the relationship between market power and Environmental, Social, and Governance (ESG) scores of banks in Europe and North America from 2010 to 2021, focusing separately on loan and deposit markets. Employing the Lerner Index as a non-structural measure of market power, our findings suggest that the impact of banking market power on ESG scores varies by region and the respective loan or deposit market. We find a negative effect of loan and deposit market power on ESG scores of European banks whereas the opposite effect can be observed for North American banks exhibiting loan market power. Further sensitivity analyses reveal that factors such as banks being Global Systemically Important (G-SIBs), and different ESG-related events like the Paris Agreement, the reemergence of the #MeToo movement and the COVID-19 pandemic may also explain the relationship between bank market power and ESG scores. Overall, our results underline that banking market power plays a pivotal role in enforcing ESG commitments in banking, offering key insights for policymakers, regulators, and banking stakeholders.}}, author = {{Voigt, Simone and Uhde, André}}, keywords = {{Market Power, ESG scores, European and North American banking markets}}, pages = {{55}}, title = {{{The impact of market power on banks' ESG scores - evidence from Europe and North America}}}, year = {{2026}}, } @techreport{66449, abstract = {{This paper evaluates the forecasting performance of an expanded class of (semi-)parametric GARCH models belonging to the EGARCH family (EGF), including recently introduced long and short memory specifications and their semiparametric extensions. The semiparametric variants employ a multiplicative volatility decomposition into conditional and slowly varying unconditional components, where the latter is estimated via a data-driven local polynomial smoother to accommodate non-stationarities commonly observed in financial time series. Based on the revised Basel Committee framework for market-risk assessment, all models are capable of producing rolling one-day-ahead forecasts for Value at Risk (VaR) and Expected Shortfall (ES) under a wide range of symmetric and skewed innovation distributions. Their forecasting accuracy is examined using the regulatory traffic light tests for VaR and the recently developed ES-specific traffic light procedure, complemented by the regulatory loss function. In addition, model selection incorporates both a recently proposed corrected firm-oriented loss function that accounts for opportunity costs and the Weighted Absolute Deviation (WAD) criterion. The empirical comparison demonstrates that (semiparametric) long memory GARCH models - particularly those combining fractional dynamics with nonparametric scale adjustments - can serve as valuable alternatives to traditional parametric short memory models, offering more stable volatility estimates and improved tail-risk forecasts for practical risk management applications.}}, author = {{Hanke, Dominik Christian and Uhde, André and Feng, Yuanhua}}, keywords = {{semiparametric GARCH extension, data-driven local polynomial smoother, long memory, GARCH models, Value at Risk, Expected Shortfall, traffic light test, backtesting, Basel III, market risk}}, title = {{{Application of Novel Exponential (Semi-)Parametric Short and Long Memory GARCH Models under Regulatory Requirements of Basel III}}}, year = {{2026}}, } @techreport{66447, abstract = {{Volatility modeling is utilized across numerous fields including finance, environmental studies, and social sciences. It is particularly relevant in scenarios where understanding and predicting conditional variability is crucial, such as when dealing with incremental or time-dependent data. In this paper, novel short and long memory volatility models of the EGARCH family are introduced and analyzed, which are closely related to the well-established EGARCH model proposed by Nelson (1991) but share desirable theoretical properties in several dimensions. Recently developed members of the so-called EGARCH family, which introduces a modulus-log transformation proposed by John and Draper (1980) and a power transformation for the size and magnitude effect to tackle the problem with near-zero innovations and the asymmetric impact of positive and negative shocks on the volatility, are discussed. After a theoretical discussion of the proposed and related volatility models, the practical performance of the elaborated volatility models is compared to well-established and traditional GARCH approaches. A general QMLE algorithm is proposed to estimate the model parameters. The practical relevance of the advanced models is illustrated through a comparative study. By applying these volatility models to a variety of international stock index returns, this paper identifies market-specific characteristics as well as unique strengths and weaknesses of discussed volatility models. Although the practical performance of the recently introduced models is comparable to those obtained by the traditional EGARCH model, they generally outperform traditional non-exponential volatility models used as benchmarks and thus provide a useful alternative to existing short and long memory volatility models. }}, author = {{Hanke, Dominik Christian and Feng, Yuanhua and Uhde, André}}, keywords = {{Modulus Log-GARCH, Modified (FI)EGARCH, Modulus asymmetric (FI)Log-GARCH, (FI)EGARCH, long memory, modulus-log transformation, QMLE, model selection, implementation in R}}, title = {{{Comparing the behaviors of some original short and long memory exponential volatility models}}}, year = {{2026}}, } @inbook{59676, author = {{Uhde, André}}, booktitle = {{Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung}}, isbn = {{978-3-7910-3086-9}}, title = {{{Unternehmensbewertung als Verknüpfung von Investitions- und Finanzierungsprogramm}}}, year = {{2025}}, } @inbook{59674, author = {{Uhde, André}}, booktitle = {{Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung}}, isbn = {{978-3-7910-3086-9}}, title = {{{Ermittlung der Kosten des Eigen- und Fremdkapitals}}}, year = {{2025}}, } @inbook{59675, author = {{Uhde, André}}, booktitle = {{Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung}}, isbn = {{978-3-7910-3086-9}}, title = {{{Relevanz und Wertbeitrag der Kapitalstruktur}}}, year = {{2025}}, } @inbook{59677, author = {{Uhde, André}}, booktitle = {{Institutionenökonomie und Betriebswirtschaftslehre}}, isbn = {{3800632128}}, title = {{{Wirtschaftswissenschaftliche Forschungsrichtungen vor der Neoklassik}}}, year = {{2025}}, } @inbook{59678, author = {{Uhde, André}}, booktitle = {{Institutionenökonomie und Betriebswirtschaftslehre}}, isbn = {{3800632128}}, title = {{{Grundlagen der Principal-Agent-Theorie}}}, year = {{2025}}, } @book{59681, editor = {{Uhde, André and Paul, Stephan and Horsch, Andreas and Kaltofen, Daniel and Weiß, Gregor}}, isbn = {{978-3-7910-3086-9}}, title = {{{Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung}}}, year = {{2025}}, } @article{59673, abstract = {{This study analyzes the impact of tariff imposition announcements on the stock prices of 1,194 U.S. companies during the first Trump administration, using a unique sample of 4,624 announcements made by or against the U.S. between January 2018 and August 2019. We find that tariff announcements lead to negative (cumulative) average abnormal stock returns. These negative wealth effects occur regardless of whether the Trump administration imposes safeguard tariffs to protect domestic industries or foreign countries announce retaliatory tariffs. Moreover, the adverse impact is primarily driven by announcements involving China, with variations linked to sector-specific, tariff, trade, and firm characteristics.}}, author = {{Wengerek, Sascha Tobias and Uhde, André and Hippert, Benjamin}}, issn = {{1544-6123}}, journal = {{Finance Research Letters}}, keywords = {{Geopolitical risk, Protectionism, Strategic trade policy, Tariffs, Trade conflict, U.S. – China trade war}}, publisher = {{Elsevier BV}}, title = {{{Share price reactions to tariff imposition announcements during the first Trump administration}}}, doi = {{10.1016/j.frl.2025.107381}}, volume = {{80}}, year = {{2025}}, } @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}}, } @inbook{59679, author = {{Uhde, André}}, booktitle = {{Bankpolitik - Eine marktorientierte Einführung}}, isbn = {{978-3-7910-4633-4}}, title = {{{Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken}}}, year = {{2024}}, } @book{59680, editor = {{Uhde, André and Paul, Stephan and Horsch, Andreas and Weiß, Gregor and Kaltofen, Daniel}}, isbn = {{978-3-7910-4633-4}}, title = {{{Bankpolitik - Eine marktorientierte Einführung}}}, year = {{2024}}, } @article{62999, abstract = {{PurposeAcademic 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/approachUsing 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.FindingsOur 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/valueOur 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}}, issn = {{1526-5943}}, journal = {{The Journal of Risk Finance}}, number = {{3}}, pages = {{510--536}}, publisher = {{Emerald}}, title = {{{The impact of market concentration and market power on banking stability – evidence from Europe}}}, doi = {{10.1108/jrf-03-2023-0075}}, volume = {{25}}, year = {{2024}}, } @book{55175, author = {{Uhde, André and Paul, Stephan and Horsch, Andreas and Kaltofen, Daniel and Weiß, Gregor}}, isbn = {{978-3-7910-4633-4}}, pages = {{776}}, publisher = {{Schäffer-Poeschel}}, title = {{{Bankpolitik}}}, year = {{2024}}, } @techreport{34798, author = {{Herwald, Sarah and Voigt, Simone and Uhde, André}}, title = {{{The conditional impact of market consolidation and market power on banking stability – Evidence from Europe}}}, year = {{2023}}, } @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{35992, abstract = {{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. }}, author = {{Letmathe, Sebastian and Feng, Yuanhua and Uhde, André}}, journal = {{Journal of Risk}}, keywords = {{long memory, generalized autoregressive conditional heteroscedasticity (GARCH) models, value-at-risk (VaR), expected shortfall (ES), traffic-light test, backtesting}}, number = {{2}}, title = {{{Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall}}}, volume = {{25}}, year = {{2022}}, }