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Uhde, “Unternehmensbewertung als Verknüpfung von Investitions- und Finanzierungsprogramm,” in <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>, 2025."},"year":"2025","author":[{"id":"36049","full_name":"Uhde, André","last_name":"Uhde","first_name":"André"}],"date_created":"2025-04-25T05:53:00Z","date_updated":"2025-04-25T06:05:18Z","title":"Unternehmensbewertung als Verknüpfung von Investitions- und Finanzierungsprogramm","type":"book_chapter","publication":"Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung","status":"public","user_id":"36049","department":[{"_id":"19"}],"_id":"59676","language":[{"iso":"eng"}]},{"title":"Ermittlung der Kosten des Eigen- und Fremdkapitals","date_updated":"2025-04-25T06:05:12Z","author":[{"first_name":"André","id":"36049","full_name":"Uhde, André","last_name":"Uhde"}],"date_created":"2025-04-25T05:50:54Z","year":"2025","citation":{"apa":"Uhde, A. (2025). 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Weiß, Eds., <i>Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung</i>. 2025.","ama":"Uhde A, Paul S, Horsch A, Kaltofen D, Weiß G, eds. <i>Unternehmerische Finanzierungspolitik - Eine Wertorientierte Einführung</i>.; 2025.","short":"A. Uhde, S. Paul, A. Horsch, D. Kaltofen, G. Weiß, eds., Unternehmerische Finanzierungspolitik - Eine Wertorientierte Einführung, 2025.","bibtex":"@book{Uhde_Paul_Horsch_Kaltofen_Weiß_2025, title={Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung}, year={2025} }","mla":"Uhde, André, et al., editors. <i>Unternehmerische Finanzierungspolitik - Eine Wertorientierte Einführung</i>. 2025.","apa":"Uhde, A., Paul, S., Horsch, A., Kaltofen, D., &#38; Weiß, G. (Eds.). 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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.","lang":"eng"}],"status":"public","_id":"34802","department":[{"_id":"186"},{"_id":"188"}],"user_id":"36049","keyword":["market concentration","market power","banking stability","European banking"],"language":[{"iso":"eng"}],"publication_status":"published","issue":"3","year":"2024","page":"510 - 536","intvolume":"        25","jel":["G15","G21","G38"],"citation":{"mla":"Herwald, Sarah, et al. “The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe.” <i>Journal of Risk Finance</i>, vol. 25, no. 3, 2024, pp. 510–36, doi:<a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>.","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={<a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>}, number={3}, journal={Journal of Risk Finance}, author={Herwald, Sarah and Voigt, Simone and Uhde, André}, year={2024}, pages={510–536} }","short":"S. Herwald, S. Voigt, A. Uhde, Journal of Risk Finance 25 (2024) 510–536.","apa":"Herwald, S., Voigt, S., &#38; Uhde, A. (2024). The conditional impact of market consolidation and market power on banking stability – Evidence from Europe. <i>Journal of Risk Finance</i>, <i>25</i>(3), 510–536. <a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>","ama":"Herwald S, Voigt S, Uhde A. The conditional impact of market consolidation and market power on banking stability – Evidence from Europe. <i>Journal of Risk Finance</i>. 2024;25(3):510-536. doi:<a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>","ieee":"S. Herwald, S. Voigt, and A. Uhde, “The conditional impact of market consolidation and market power on banking stability – Evidence from Europe,” <i>Journal of Risk Finance</i>, vol. 25, no. 3, pp. 510–536, 2024, doi: <a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>.","chicago":"Herwald, Sarah, Simone Voigt, and André Uhde. “The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe.” <i>Journal of Risk Finance</i> 25, no. 3 (2024): 510–36. <a href=\"https://doi.org/10.1108/JRF-03-2023-0075\">https://doi.org/10.1108/JRF-03-2023-0075</a>."},"date_updated":"2024-05-14T12:13:51Z","volume":25,"author":[{"last_name":"Herwald","full_name":"Herwald, Sarah","first_name":"Sarah"},{"first_name":"Simone","full_name":"Voigt, Simone","last_name":"Voigt"},{"full_name":"Uhde, André","id":"36049","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André"}],"date_created":"2022-12-22T07:28:25Z","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"},{"publication_identifier":{"isbn":["978-3-7910-4633-4"]},"citation":{"mla":"Uhde, André. “Zentrale Regulierungs- Und Aufsichtsnormen Für Bankrisiken.” <i>Bankpolitik - Eine Marktorientierte Einführung</i>, 2024.","bibtex":"@inbook{Uhde_2024, title={Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken}, booktitle={Bankpolitik - Eine marktorientierte Einführung}, author={Uhde, André}, year={2024} }","short":"A. Uhde, in: Bankpolitik - Eine Marktorientierte Einführung, 2024.","apa":"Uhde, A. (2024). Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken. In <i>Bankpolitik - Eine marktorientierte Einführung</i>.","ama":"Uhde A. Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken. In: <i>Bankpolitik - Eine Marktorientierte Einführung</i>. ; 2024.","ieee":"A. Uhde, “Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken,” in <i>Bankpolitik - Eine marktorientierte Einführung</i>, 2024.","chicago":"Uhde, André. “Zentrale Regulierungs- Und Aufsichtsnormen Für Bankrisiken.” In <i>Bankpolitik - Eine Marktorientierte Einführung</i>, 2024."},"year":"2024","author":[{"first_name":"André","last_name":"Uhde","id":"36049","full_name":"Uhde, André"}],"date_created":"2025-04-25T05:58:56Z","date_updated":"2025-04-25T06:05:34Z","title":"Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken","type":"book_chapter","publication":"Bankpolitik - Eine marktorientierte Einführung","status":"public","user_id":"36049","department":[{"_id":"19"}],"_id":"59679","language":[{"iso":"eng"}]},{"citation":{"apa":"Uhde, A., Paul, S., Horsch, A., Weiß, G., &#38; Kaltofen, D. (Eds.). (2024). <i>Bankpolitik - Eine marktorientierte Einführung</i>.","bibtex":"@book{Uhde_Paul_Horsch_Weiß_Kaltofen_2024, title={Bankpolitik - Eine marktorientierte Einführung}, year={2024} }","short":"A. Uhde, S. Paul, A. Horsch, G. Weiß, D. Kaltofen, eds., Bankpolitik - Eine Marktorientierte Einführung, 2024.","mla":"Uhde, André, et al., editors. <i>Bankpolitik - Eine Marktorientierte Einführung</i>. 2024.","chicago":"Uhde, André, Stephan Paul, Andreas Horsch, Gregor Weiß, and Daniel Kaltofen, eds. <i>Bankpolitik - Eine Marktorientierte Einführung</i>, 2024.","ieee":"A. Uhde, S. Paul, A. Horsch, G. Weiß, and D. 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Herwald, S. Voigt, and A. Uhde, “The impact of market concentration and market power on banking stability – evidence from Europe,” <i>The Journal of Risk Finance</i>, vol. 25, no. 3, pp. 510–536, 2024, doi: <a href=\"https://doi.org/10.1108/jrf-03-2023-0075\">10.1108/jrf-03-2023-0075</a>.","ama":"Herwald S, Voigt S, Uhde A. The impact of market concentration and market power on banking stability – evidence from Europe. <i>The Journal of Risk Finance</i>. 2024;25(3):510-536. doi:<a href=\"https://doi.org/10.1108/jrf-03-2023-0075\">10.1108/jrf-03-2023-0075</a>","apa":"Herwald, S., Voigt, S., &#38; Uhde, A. (2024). The impact of market concentration and market power on banking stability – evidence from Europe. <i>The Journal of Risk Finance</i>, <i>25</i>(3), 510–536. <a href=\"https://doi.org/10.1108/jrf-03-2023-0075\">https://doi.org/10.1108/jrf-03-2023-0075</a>","short":"S. Herwald, S. Voigt, A. Uhde, The Journal of Risk Finance 25 (2024) 510–536.","mla":"Herwald, Sarah, et al. “The Impact of Market Concentration and Market Power on Banking Stability – Evidence from Europe.” <i>The Journal of Risk Finance</i>, vol. 25, no. 3, Emerald, 2024, pp. 510–36, doi:<a href=\"https://doi.org/10.1108/jrf-03-2023-0075\">10.1108/jrf-03-2023-0075</a>.","bibtex":"@article{Herwald_Voigt_Uhde_2024, title={The impact of market concentration and market power on banking stability – evidence from Europe}, volume={25}, DOI={<a href=\"https://doi.org/10.1108/jrf-03-2023-0075\">10.1108/jrf-03-2023-0075</a>}, number={3}, journal={The Journal of Risk Finance}, publisher={Emerald}, author={Herwald, Sarah and Voigt, Simone and Uhde, André}, year={2024}, pages={510–536} }"},"publisher":"Emerald","date_updated":"2025-12-09T14:48:50Z","volume":25,"author":[{"first_name":"Sarah","id":"51867","full_name":"Herwald, Sarah","last_name":"Herwald"},{"first_name":"Simone","id":"50109","full_name":"Voigt, Simone","last_name":"Voigt"},{"last_name":"Uhde","full_name":"Uhde, André","id":"36049","first_name":"André"}],"date_created":"2025-12-09T14:42:44Z","title":"The impact of market concentration and market power on banking stability – evidence from Europe","doi":"10.1108/jrf-03-2023-0075","publication":"The Journal of Risk Finance","type":"journal_article","abstract":[{"text":"<jats:sec><jats:title content-type=\"abstract-subheading\">Purpose</jats:title><jats:p>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.</jats:p></jats:sec><jats:sec><jats:title content-type=\"abstract-subheading\">Design/methodology/approach</jats:title><jats:p>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.</jats:p></jats:sec><jats:sec><jats:title content-type=\"abstract-subheading\">Findings</jats:title><jats:p>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.</jats:p></jats:sec><jats:sec><jats:title content-type=\"abstract-subheading\">Originality/value</jats:title><jats:p>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.</jats:p></jats:sec>","lang":"eng"}],"status":"public","_id":"62999","department":[{"_id":"19"}],"user_id":"50109","language":[{"iso":"eng"}]},{"status":"public","type":"working_paper","language":[{"iso":"eng"}],"_id":"34798","user_id":"36049","department":[{"_id":"186"},{"_id":"188"}],"year":"2023","citation":{"ieee":"S. Herwald, S. Voigt, and A. Uhde, <i>The conditional impact of market consolidation and market power on banking stability – Evidence from Europe</i>. .","chicago":"Herwald, Sarah, Simone Voigt, and André Uhde. <i>The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe</i>, n.d.","ama":"Herwald S, Voigt S, Uhde A. <i>The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe</i>.","mla":"Herwald, Sarah, et al. <i>The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe</i>.","short":"S. Herwald, S. Voigt, A. Uhde, The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe, n.d.","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} }","apa":"Herwald, S., Voigt, S., &#38; Uhde, A. (n.d.). <i>The conditional impact of market consolidation and market power on banking stability – Evidence from Europe</i>."},"publication_status":"unpublished","title":"The conditional impact of market consolidation and market power on banking stability – Evidence from Europe","date_updated":"2024-04-17T13:35:00Z","date_created":"2022-12-22T06:08:24Z","author":[{"last_name":"Herwald","full_name":"Herwald, Sarah","first_name":"Sarah"},{"first_name":"Simone","full_name":"Voigt, Simone","last_name":"Voigt"},{"full_name":"Uhde, André","id":"36049","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André"}]},{"_id":"13147","user_id":"36049","department":[{"_id":"186"},{"_id":"188"}],"article_type":"original","keyword":["European Banking","Non-performing Loans","Securitization"],"language":[{"iso":"eng"}],"type":"journal_article","publication":"The Quarterly Review of Economics and Finance","abstract":[{"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.","lang":"eng"}],"status":"public","date_updated":"2022-12-23T11:27:53Z","publisher":"Elsevier","date_created":"2019-09-06T08:59:28Z","author":[{"id":"48837","full_name":"Wengerek, Sascha Tobias","orcid":"0000-0002-7820-3903","last_name":"Wengerek","first_name":"Sascha Tobias"},{"last_name":"Hippert","full_name":"Hippert, Benjamin","id":"48476","first_name":"Benjamin"},{"last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","id":"36049","full_name":"Uhde, André","first_name":"André"}],"volume":"Vol. 86 (11)","title":"Risk allocation through securitization – Evidence from non-performing loans","doi":"https://doi.org/10.1016/j.qref.2022.06.005","publication_status":"published","year":"2022","jel":["G21","G28","G32"],"citation":{"short":"S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and Finance Vol. 86 (11) (2022) 48–64.","bibtex":"@article{Wengerek_Hippert_Uhde_2022, title={Risk allocation through securitization – Evidence from non-performing loans}, volume={Vol. 86 (11)}, DOI={<a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>}, 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} }","mla":"Wengerek, Sascha Tobias, et al. “Risk Allocation through Securitization – Evidence from Non-Performing Loans.” <i>The Quarterly Review of Economics and Finance</i>, vol. Vol. 86 (11), Elsevier, 2022, pp. 48–64, doi:<a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>.","apa":"Wengerek, S. T., Hippert, B., &#38; Uhde, A. (2022). Risk allocation through securitization – Evidence from non-performing loans. <i>The Quarterly Review of Economics and Finance</i>, <i>Vol. 86 (11)</i>, 48–64. <a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>","ama":"Wengerek ST, Hippert B, Uhde A. Risk allocation through securitization – Evidence from non-performing loans. <i>The Quarterly Review of Economics and Finance</i>. 2022;Vol. 86 (11):48-64. doi:<a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>","ieee":"S. T. Wengerek, B. Hippert, and A. Uhde, “Risk allocation through securitization – Evidence from non-performing loans,” <i>The Quarterly Review of Economics and Finance</i>, vol. Vol. 86 (11), pp. 48–64, 2022, doi: <a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>.","chicago":"Wengerek, Sascha Tobias, Benjamin Hippert, and André Uhde. “Risk Allocation through Securitization – Evidence from Non-Performing Loans.” <i>The Quarterly Review of Economics and Finance</i> Vol. 86 (11) (2022): 48–64. <a href=\"https://doi.org/10.1016/j.qref.2022.06.005\">https://doi.org/10.1016/j.qref.2022.06.005</a>."},"page":"48-64"},{"citation":{"apa":"Letmathe, S., Feng, Y., &#38; Uhde, A. (n.d.). Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. <i>Journal of Risk</i>, <i>25</i>(2).","mla":"Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” <i>Journal of Risk</i>, vol. 25, no. 2.","short":"S. Letmathe, Y. Feng, A. Uhde, Journal of Risk 25 (n.d.).","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} }","ieee":"S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall,” <i>Journal of Risk</i>, vol. 25, no. 2.","chicago":"Letmathe, Sebastian, Yuanhua Feng, and André Uhde. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” <i>Journal of Risk</i> 25, no. 2 (n.d.).","ama":"Letmathe S, Feng Y, Uhde A. Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. <i>Journal of Risk</i>. 25(2)."},"intvolume":"        25","year":"2022","issue":"2","publication_status":"inpress","title":"Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall","author":[{"first_name":"Sebastian","last_name":"Letmathe","id":"23991","full_name":"Letmathe, Sebastian"},{"full_name":"Feng, Yuanhua","id":"20760","last_name":"Feng","first_name":"Yuanhua"},{"first_name":"André","id":"36049","full_name":"Uhde, André","last_name":"Uhde"}],"date_created":"2023-01-11T10:50:27Z","volume":25,"date_updated":"2023-11-17T10:26:36Z","status":"public","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. "}],"type":"journal_article","publication":"Journal of Risk","language":[{"iso":"eng"}],"article_type":"original","keyword":["long memory","generalized autoregressive conditional heteroscedasticity (GARCH) models","value-at-risk (VaR)","expected shortfall (ES)","traffic-light test","backtesting"],"user_id":"36049","department":[{"_id":"186"},{"_id":"188"}],"_id":"35992"},{"date_created":"2022-01-13T11:23:02Z","author":[{"first_name":"Sebastian","last_name":"Letmathe","id":"23991","full_name":"Letmathe, Sebastian"},{"last_name":"Feng","full_name":"Feng, Yuanhua","id":"20760","first_name":"Yuanhua"},{"first_name":"André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","id":"36049","full_name":"Uhde, André"}],"date_updated":"2024-04-17T13:34:54Z","doi":"10.21314/JOR.2022.044","title":"Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall","publication_status":"inpress","citation":{"chicago":"Letmathe, Sebastian, Yuanhua Feng, and André Uhde. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” <i>Journal of Risk</i>, n.d. <a href=\"https://doi.org/10.21314/JOR.2022.044\">https://doi.org/10.21314/JOR.2022.044</a>.","ieee":"S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall,” <i>Journal of Risk</i>, doi: <a href=\"https://doi.org/10.21314/JOR.2022.044\">10.21314/JOR.2022.044</a>.","ama":"Letmathe S, Feng Y, Uhde A. Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. <i>Journal of Risk</i>. doi:<a href=\"https://doi.org/10.21314/JOR.2022.044\">10.21314/JOR.2022.044</a>","apa":"Letmathe, S., Feng, Y., &#38; Uhde, A. (n.d.). Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. <i>Journal of Risk</i>. <a href=\"https://doi.org/10.21314/JOR.2022.044\">https://doi.org/10.21314/JOR.2022.044</a>","mla":"Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” <i>Journal of Risk</i>, doi:<a href=\"https://doi.org/10.21314/JOR.2022.044\">10.21314/JOR.2022.044</a>.","bibtex":"@article{Letmathe_Feng_Uhde, title={Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall}, DOI={<a href=\"https://doi.org/10.21314/JOR.2022.044\">10.21314/JOR.2022.044</a>}, journal={Journal of Risk}, author={Letmathe, Sebastian and Feng, Yuanhua and Uhde, André} }","short":"S. Letmathe, Y. Feng, A. Uhde, Journal of Risk (n.d.)."},"jel":["C14","C51","C52","G17","G32"],"year":"2022","department":[{"_id":"186"},{"_id":"19"}],"user_id":"36049","_id":"29317","language":[{"iso":"eng"}],"keyword":["Semiparametric","long memory","GARCH models","forecasting","Value at Risk","Expected Shortfall","traffic light test","Basel Committee on Banking Supervision"],"publication":"Journal of Risk","type":"journal_article","status":"public","abstract":[{"lang":"eng","text":"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."}]},{"title":"Tax avoidance through securitization","doi":"10.1016/j.qref.2020.07.008","date_updated":"2022-01-06T07:01:40Z","volume":79,"date_created":"2018-10-31T09:55:40Z","author":[{"first_name":"André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","id":"36049","full_name":"Uhde, André"}],"year":"2021","intvolume":"        79","page":"411-421","jel":["G21","G28","H25","H71"],"citation":{"bibtex":"@article{Uhde_2021, title={Tax avoidance through securitization}, volume={79}, DOI={<a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>}, journal={The Quarterly Review of Economics and Finance}, author={Uhde, André}, year={2021}, pages={411–421} }","short":"A. Uhde, The Quarterly Review of Economics and Finance 79 (2021) 411–421.","mla":"Uhde, André. “Tax Avoidance through Securitization.” <i>The Quarterly Review of Economics and Finance</i>, vol. 79, 2021, pp. 411–21, doi:<a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>.","apa":"Uhde, A. (2021). Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>, <i>79</i>, 411–421. <a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">https://doi.org/10.1016/j.qref.2020.07.008</a>","chicago":"Uhde, André. “Tax Avoidance through Securitization.” <i>The Quarterly Review of Economics and Finance</i> 79 (2021): 411–21. <a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">https://doi.org/10.1016/j.qref.2020.07.008</a>.","ieee":"A. Uhde, “Tax avoidance through securitization,” <i>The Quarterly Review of Economics and Finance</i>, vol. 79, pp. 411–421, 2021.","ama":"Uhde A. Tax avoidance through securitization. <i>The Quarterly Review of Economics and Finance</i>. 2021;79:411-421. doi:<a href=\"https://doi.org/10.1016/j.qref.2020.07.008\">10.1016/j.qref.2020.07.008</a>"},"keyword":["Securitization","Credit risk transfer","Effective tax rates","European banking"],"language":[{"iso":"eng"}],"_id":"5163","department":[{"_id":"186"},{"_id":"188"}],"user_id":"81176","abstract":[{"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.","lang":"eng"}],"status":"public","publication":"The Quarterly Review of Economics and Finance","type":"journal_article"},{"title":"CDS Investors’ Risk Perceptions of M&A Announcements","date_created":"2023-01-11T11:31:54Z","author":[{"first_name":"Benjamin","last_name":"Hippert","full_name":"Hippert, Benjamin"},{"full_name":"Uhde, André","id":"36049","last_name":"Uhde","first_name":"André"}],"date_updated":"2023-11-17T10:23:54Z","citation":{"apa":"Hippert, B., &#38; Uhde, A. (n.d.). <i>CDS Investors’ Risk Perceptions of M&#38;A Announcements</i>.","short":"B. Hippert, A. Uhde, CDS Investors’ Risk Perceptions of M&#38;A Announcements, n.d.","mla":"Hippert, Benjamin, and André Uhde. <i>CDS Investors’ Risk Perceptions of M&#38;A Announcements</i>.","bibtex":"@book{Hippert_Uhde, title={CDS Investors’ Risk Perceptions of M&#38;A Announcements}, author={Hippert, Benjamin and Uhde, André} }","chicago":"Hippert, Benjamin, and André Uhde. <i>CDS Investors’ Risk Perceptions of M&#38;A Announcements</i>, n.d.","ieee":"B. Hippert and A. Uhde, <i>CDS Investors’ Risk Perceptions of M&#38;A Announcements</i>. .","ama":"Hippert B, Uhde A. <i>CDS Investors’ Risk Perceptions of M&#38;A Announcements</i>."},"jel":["G14","G34"],"year":"2021","publication_status":"unpublished","language":[{"iso":"eng"}],"keyword":["credit default swaps","risk perception of CDS investors","mergers and acquisitions","event study"],"user_id":"36049","department":[{"_id":"186"},{"_id":"188"}],"_id":"36060","status":"public","abstract":[{"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. ","lang":"eng"}],"type":"working_paper"},{"date_created":"2023-01-11T11:34:17Z","author":[{"first_name":"Benjamin","full_name":"Hippert, Benjamin","last_name":"Hippert"},{"first_name":"André","last_name":"Uhde","full_name":"Uhde, André","id":"36049"},{"first_name":"Sascha Tobias","last_name":"Wengerek","full_name":"Wengerek, Sascha Tobias"}],"date_updated":"2023-11-17T10:23:44Z","title":"Determinants of CDS Trading on Major Banks","publication_status":"unpublished","citation":{"ieee":"B. Hippert, A. Uhde, and S. T. Wengerek, <i>Determinants of CDS Trading on Major Banks</i>. .","chicago":"Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. <i>Determinants of CDS Trading on Major Banks</i>, n.d.","ama":"Hippert B, Uhde A, Wengerek ST. <i>Determinants of CDS Trading on Major Banks</i>.","apa":"Hippert, B., Uhde, A., &#38; Wengerek, S. T. (n.d.). <i>Determinants of CDS Trading on Major Banks</i>.","bibtex":"@book{Hippert_Uhde_Wengerek, title={Determinants of CDS Trading on Major Banks}, author={Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias} }","short":"B. Hippert, A. Uhde, S.T. Wengerek, Determinants of CDS Trading on Major Banks, n.d.","mla":"Hippert, Benjamin, et al. <i>Determinants of CDS Trading on Major Banks</i>."},"jel":["G10","G12","G21"],"year":"2021","user_id":"36049","department":[{"_id":"186"},{"_id":"188"}],"_id":"36063","language":[{"iso":"eng"}],"keyword":["banking","outstanding CDS net notional","determinants of bank CDS trading"],"type":"working_paper","status":"public","abstract":[{"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. ","lang":"eng"}]},{"type":"working_paper","status":"public","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. "}],"department":[{"_id":"186"},{"_id":"19"}],"user_id":"21810","_id":"29313","language":[{"iso":"eng"}],"keyword":["event study","international relations","protectionism","strategic trade policy","tariffs","trade conflict"],"citation":{"short":"S.T. Wengerek, A. Uhde, Share Price Reactions to Tariff Imposition Announcements in the Trump Era – an Event Study of the Trade Conflict, 2021.","mla":"Wengerek, Sascha Tobias, and André Uhde. <i>Share Price Reactions to Tariff Imposition Announcements in the Trump Era – an Event Study of the Trade Conflict</i>. 2021.","bibtex":"@book{Wengerek_Uhde_2021, title={Share Price Reactions to Tariff Imposition Announcements in the Trump Era – an Event Study of the Trade Conflict}, author={Wengerek, Sascha Tobias and Uhde, André}, year={2021} }","apa":"Wengerek, S. T., &#38; Uhde, A. (2021). <i>Share Price Reactions to Tariff Imposition Announcements in the Trump Era – an Event Study of the Trade Conflict</i>.","ama":"Wengerek ST, Uhde A. <i>Share Price Reactions to Tariff Imposition Announcements in the Trump Era – an Event Study of the Trade Conflict</i>.; 2021.","chicago":"Wengerek, Sascha Tobias, and André Uhde. <i>Share Price Reactions to Tariff Imposition Announcements in the Trump Era – an Event Study of the Trade Conflict</i>, 2021.","ieee":"S. T. Wengerek and A. Uhde, <i>Share Price Reactions to Tariff Imposition Announcements in the Trump Era – an Event Study of the Trade Conflict</i>. 2021."},"jel":["F14","F18","F23","F51"],"year":"2021","author":[{"first_name":"Sascha Tobias","last_name":"Wengerek","full_name":"Wengerek, Sascha Tobias"},{"id":"36049","full_name":"Uhde, André","orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","first_name":"André"}],"date_created":"2022-01-13T11:06:25Z","date_updated":"2024-04-17T13:35:20Z","title":"Share Price Reactions to Tariff Imposition Announcements in the Trump Era – an Event Study of the Trade Conflict"},{"title":"CDS investors’ risk perceptions of M&A announcements","date_updated":"2024-04-17T13:35:29Z","date_created":"2022-01-13T11:15:12Z","author":[{"last_name":"Hippert","full_name":"Hippert, Benjamin","first_name":"Benjamin"},{"first_name":"André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","id":"36049","full_name":"Uhde, André"}],"year":"2021","citation":{"ama":"Hippert B, Uhde A. <i>CDS Investors’ Risk Perceptions of M&#38;A Announcements</i>.; 2021.","ieee":"B. Hippert and A. Uhde, <i>CDS investors’ risk perceptions of M&#38;A announcements</i>. 2021.","chicago":"Hippert, Benjamin, and André Uhde. <i>CDS Investors’ Risk Perceptions of M&#38;A Announcements</i>, 2021.","apa":"Hippert, B., &#38; Uhde, A. (2021). <i>CDS investors’ risk perceptions of M&#38;A announcements</i>.","mla":"Hippert, Benjamin, and André Uhde. <i>CDS Investors’ Risk Perceptions of M&#38;A Announcements</i>. 2021.","bibtex":"@book{Hippert_Uhde_2021, title={CDS investors’ risk perceptions of M&#38;A announcements}, author={Hippert, Benjamin and Uhde, André}, year={2021} }","short":"B. Hippert, A. Uhde, CDS Investors’ Risk Perceptions of M&#38;A Announcements, 2021."},"language":[{"iso":"eng"}],"_id":"29315","user_id":"21810","department":[{"_id":"186"},{"_id":"19"}],"abstract":[{"text":"We merge a sample of 492 merger and acquisition (M&A) announcements from 284 acquiring firms across North America and Europe with data from 5-year single-name credit default swaps (CDSs) that are written on stock-listed acquiring firms between 2005 and 2018. Subsequently, we empirically analyze the CDS investors’ risk perception of M&A announcements using event study methodologies. As a baseline finding, we provide evidence for significantly positive cumulative average abnormal CDS spread changes 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 as well as regional and sectoral differences. Moreover, results from a large variety of sensitivity analyses including deal and firm characteristics provide a deeper insight into the driving factors of CDS investors’ risk perceptions of M&A announcements.","lang":"eng"}],"status":"public","type":"working_paper"},{"title":"Risk allocation through securitization - Evidence from non-performing loans","date_updated":"2024-04-17T13:36:05Z","author":[{"full_name":"Hippert, Benjamin","last_name":"Hippert","first_name":"Benjamin"},{"first_name":"André","last_name":"Uhde","orcid":"https://orcid.org/0000-0002-8058-8857","full_name":"Uhde, André","id":"36049"},{"first_name":"Sascha Tobias","last_name":"Wengerek","full_name":"Wengerek, Sascha Tobias"}],"date_created":"2022-01-13T11:19:28Z","year":"2021","citation":{"ama":"Hippert B, Uhde A, Wengerek ST. <i>Risk Allocation through Securitization - Evidence from Non-Performing Loans</i>.; 2021.","chicago":"Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. <i>Risk Allocation through Securitization - Evidence from Non-Performing Loans</i>, 2021.","ieee":"B. Hippert, A. Uhde, and S. T. Wengerek, <i>Risk allocation through securitization - Evidence from non-performing loans</i>. 2021.","apa":"Hippert, B., Uhde, A., &#38; Wengerek, S. T. (2021). <i>Risk allocation through securitization - Evidence from non-performing loans</i>.","short":"B. Hippert, A. Uhde, S.T. Wengerek, Risk Allocation through Securitization - Evidence from Non-Performing Loans, 2021.","mla":"Hippert, Benjamin, et al. <i>Risk Allocation through Securitization - Evidence from Non-Performing Loans</i>. 2021.","bibtex":"@book{Hippert_Uhde_Wengerek_2021, title={Risk allocation through securitization - Evidence from non-performing loans}, author={Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}, year={2021} }"},"jel":["G21","G28","G32"],"keyword":["European Banking","Non-performing Loans","Risk Allocation","Securitization"],"language":[{"iso":"eng"}],"_id":"29316","user_id":"36049","department":[{"_id":"186"}],"abstract":[{"lang":"eng","text":"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."}],"status":"public","type":"working_paper"}]