[{"ddc":["040"],"user_id":"50109","page":"55","_id":"65686","has_accepted_license":"1","status":"public","jel":["G21","G28"],"file_date_updated":"2026-05-26T11:08:10Z","citation":{"mla":"Voigt, Simone, and André Uhde. <i>The Impact of Market Power on Banks’ ESG Scores - Evidence from Europe and North America</i>.","bibtex":"@book{Voigt_Uhde, title={The impact of market power on banks’ ESG scores - evidence from Europe and North America}, author={Voigt, Simone and Uhde, André} }","ama":"Voigt S, Uhde A. <i>The Impact of Market Power on Banks’ ESG Scores - Evidence from Europe and North America</i>.","ieee":"S. Voigt and A. Uhde, <i>The impact of market power on banks’ ESG scores - evidence from Europe and North America</i>. .","apa":"Voigt, S., &#38; Uhde, A. (n.d.). <i>The impact of market power on banks’ ESG scores - evidence from Europe and North America</i>.","chicago":"Voigt, Simone, and André Uhde. <i>The Impact of Market Power on Banks’ ESG Scores - Evidence from Europe and North America</i>, n.d.","short":"S. Voigt, A. Uhde, The Impact of Market Power on Banks’ ESG Scores - Evidence from Europe and North America, n.d."},"language":[{"iso":"eng"}],"date_updated":"2026-05-27T06:48:05Z","publication_status":"draft","title":"The impact of market power on banks' ESG scores - evidence from Europe and North America","year":"2026","author":[{"full_name":"Voigt, Simone","last_name":"Voigt","first_name":"Simone","id":"50109"},{"id":"36049","full_name":"Uhde, André","last_name":"Uhde","first_name":"André"}],"keyword":["Market Power","ESG scores","European and North American banking markets"],"type":"working_paper","department":[{"_id":"19"}],"file":[{"date_created":"2026-05-26T11:08:10Z","creator":"simonevo","file_id":"65687","content_type":"application/pdf","success":1,"relation":"main_file","date_updated":"2026-05-26T11:08:10Z","file_name":"Voigt und Uhde (2026).pdf","file_size":848204,"access_level":"closed"}],"date_created":"2026-05-26T11:29:08Z","abstract":[{"text":"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.","lang":"eng"}]},{"language":[{"iso":"eng"}],"_id":"65685","ddc":["040"],"user_id":"51867","jel":["G21","G28"],"author":[{"id":"51867","full_name":"Herwald, Sarah","last_name":"Herwald","first_name":"Sarah"},{"full_name":"Uhde, André","first_name":"André","last_name":"Uhde","id":"36049"}],"title":"Securitization and Market Power – Evidence from European Banks","status":"public","year":"2026","has_accepted_license":"1","date_updated":"2026-05-27T06:50:46Z","date_created":"2026-05-26T11:29:46Z","file":[{"success":1,"content_type":"application/pdf","file_id":"65688","file_size":681627,"access_level":"closed","file_name":"Herwald und Uhde (2026).pdf","date_updated":"2026-05-26T11:10:31Z","relation":"main_file","date_created":"2026-05-26T11:10:31Z","creator":"sherwald"}],"department":[{"_id":"19"}],"keyword":["Securitization","market power","European banking"],"type":"working_paper","citation":{"mla":"Herwald, Sarah, and André Uhde. <i>Securitization and Market Power – Evidence from European Banks</i>. 2026.","ama":"Herwald S, Uhde A. <i>Securitization and Market Power – Evidence from European Banks</i>.; 2026.","bibtex":"@book{Herwald_Uhde_2026, title={Securitization and Market Power – Evidence from European Banks}, author={Herwald, Sarah and Uhde, André}, year={2026} }","apa":"Herwald, S., &#38; Uhde, A. (2026). <i>Securitization and Market Power – Evidence from European Banks</i>.","ieee":"S. Herwald and A. Uhde, <i>Securitization and Market Power – Evidence from European Banks</i>. 2026.","short":"S. Herwald, A. Uhde, Securitization and Market Power – Evidence from European Banks, 2026.","chicago":"Herwald, Sarah, and André Uhde. <i>Securitization and Market Power – Evidence from European Banks</i>, 2026."},"file_date_updated":"2026-05-26T11:10:31Z","abstract":[{"lang":"eng","text":"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."}]},{"publication_status":"published","date_updated":"2026-05-27T10:57:39Z","author":[{"id":"36049","full_name":"Uhde, André","first_name":"André","last_name":"Uhde"},{"full_name":"Paul, Stephan","last_name":"Paul","first_name":"Stephan"},{"full_name":"Horsch, Andreas","first_name":"Andreas","last_name":"Horsch"},{"first_name":"Daniel","last_name":"Kaltofen","full_name":"Kaltofen, Daniel"},{"full_name":"Weiß, Gregor","first_name":"Gregor","last_name":"Weiß"}],"publication_identifier":{"isbn":["978-3-7910-6577-9"]},"title":"Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung","status":"public","year":"2026","user_id":"36049","_id":"65699","language":[{"iso":"ger"}],"edition":"2. Auflage","citation":{"short":"A. Uhde, S. Paul, A. Horsch, D. Kaltofen, G. Weiß, Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung, 2. Auflage, 2026.","chicago":"Uhde, André, Stephan Paul, Andreas Horsch, Daniel Kaltofen, and Gregor Weiß. <i>Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung</i>. 2. Auflage., 2026.","apa":"Uhde, A., Paul, S., Horsch, A., Kaltofen, D., &#38; Weiß, G. (2026). <i>Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung</i> (2. Auflage).","ieee":"A. Uhde, S. Paul, A. Horsch, D. Kaltofen, and G. Weiß, <i>Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung</i>, 2. Auflage. 2026.","ama":"Uhde A, Paul S, Horsch A, Kaltofen D, Weiß G. <i>Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung</i>. 2. Auflage.; 2026.","bibtex":"@book{Uhde_Paul_Horsch_Kaltofen_Weiß_2026, edition={2. Auflage}, title={Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung}, author={Uhde, André and Paul, Stephan and Horsch, Andreas and Kaltofen, Daniel and Weiß, Gregor}, year={2026} }","mla":"Uhde, André, et al. <i>Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung</i>. 2. Auflage, 2026."},"department":[{"_id":"19"}],"type":"book","date_created":"2026-05-27T10:56:28Z"},{"date_updated":"2025-04-25T06:05:18Z","year":"2025","status":"public","title":"Unternehmensbewertung als Verknüpfung von Investitions- und Finanzierungsprogramm","author":[{"id":"36049","full_name":"Uhde, André","first_name":"André","last_name":"Uhde"}],"publication_identifier":{"isbn":["978-3-7910-3086-9"]},"user_id":"36049","_id":"59676","language":[{"iso":"eng"}],"publication":"Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung","citation":{"mla":"Uhde, André. “Unternehmensbewertung Als Verknüpfung von Investitions- Und Finanzierungsprogramm.” <i>Unternehmerische Finanzierungspolitik – Eine Wertorientierte Einführung</i>, 2025.","apa":"Uhde, A. (2025). Unternehmensbewertung als Verknüpfung von Investitions- und Finanzierungsprogramm. In <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>.","ieee":"A. Uhde, “Unternehmensbewertung als Verknüpfung von Investitions- und Finanzierungsprogramm,” in <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>, 2025.","chicago":"Uhde, André. “Unternehmensbewertung Als Verknüpfung von Investitions- Und Finanzierungsprogramm.” In <i>Unternehmerische Finanzierungspolitik – Eine Wertorientierte Einführung</i>, 2025.","ama":"Uhde A. Unternehmensbewertung als Verknüpfung von Investitions- und Finanzierungsprogramm. In: <i>Unternehmerische Finanzierungspolitik – Eine Wertorientierte Einführung</i>. ; 2025.","short":"A. Uhde, in: Unternehmerische Finanzierungspolitik – Eine Wertorientierte Einführung, 2025.","bibtex":"@inbook{Uhde_2025, title={Unternehmensbewertung als Verknüpfung von Investitions- und Finanzierungsprogramm}, booktitle={Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung}, author={Uhde, André}, year={2025} }"},"type":"book_chapter","department":[{"_id":"19"}],"date_created":"2025-04-25T05:53:00Z"},{"author":[{"id":"36049","first_name":"André","last_name":"Uhde","full_name":"Uhde, André"}],"publication_identifier":{"isbn":["978-3-7910-3086-9"]},"year":"2025","title":"Ermittlung der Kosten des Eigen- und Fremdkapitals","status":"public","date_updated":"2025-04-25T06:05:12Z","_id":"59674","language":[{"iso":"ger"}],"user_id":"36049","citation":{"ieee":"A. Uhde, “Ermittlung der Kosten des Eigen- und Fremdkapitals,” in <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>, 2025.","apa":"Uhde, A. (2025). Ermittlung der Kosten des Eigen- und Fremdkapitals. In <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>.","short":"A. Uhde, in: Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung, 2025.","chicago":"Uhde, André. “Ermittlung der Kosten des Eigen- und Fremdkapitals.” In <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>, 2025.","mla":"Uhde, André. “Ermittlung der Kosten des Eigen- und Fremdkapitals.” <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>, 2025.","bibtex":"@inbook{Uhde_2025, title={Ermittlung der Kosten des Eigen- und Fremdkapitals}, booktitle={Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung}, author={Uhde, André}, year={2025} }","ama":"Uhde A. Ermittlung der Kosten des Eigen- und Fremdkapitals. In: <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>. ; 2025."},"publication":"Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung","date_created":"2025-04-25T05:50:54Z","department":[{"_id":"19"}],"type":"book_chapter"},{"department":[{"_id":"19"}],"type":"book_chapter","date_created":"2025-04-25T05:52:00Z","citation":{"apa":"Uhde, A. (2025). Relevanz und Wertbeitrag der Kapitalstruktur. In <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>.","ieee":"A. Uhde, “Relevanz und Wertbeitrag der Kapitalstruktur,” in <i>Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung</i>, 2025.","short":"A. Uhde, in: Unternehmerische Finanzierungspolitik – Eine Wertorientierte Einführung, 2025.","chicago":"Uhde, André. “Relevanz Und Wertbeitrag Der Kapitalstruktur.” In <i>Unternehmerische Finanzierungspolitik – Eine Wertorientierte Einführung</i>, 2025.","mla":"Uhde, André. “Relevanz Und Wertbeitrag Der Kapitalstruktur.” <i>Unternehmerische Finanzierungspolitik – Eine Wertorientierte Einführung</i>, 2025.","ama":"Uhde A. Relevanz und Wertbeitrag der Kapitalstruktur. In: <i>Unternehmerische Finanzierungspolitik – Eine Wertorientierte Einführung</i>. ; 2025.","bibtex":"@inbook{Uhde_2025, title={Relevanz und Wertbeitrag der Kapitalstruktur}, booktitle={Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung}, author={Uhde, André}, year={2025} }"},"publication":"Unternehmerische Finanzierungspolitik – eine wertorientierte Einführung","user_id":"36049","language":[{"iso":"eng"}],"_id":"59675","date_updated":"2025-04-25T06:05:15Z","publication_identifier":{"isbn":["978-3-7910-3086-9"]},"author":[{"id":"36049","full_name":"Uhde, André","first_name":"André","last_name":"Uhde"}],"title":"Relevanz und Wertbeitrag der Kapitalstruktur","year":"2025","status":"public"},{"citation":{"ama":"Uhde A. Wirtschaftswissenschaftliche Forschungsrichtungen vor der Neoklassik. In: <i>Institutionenökonomie Und Betriebswirtschaftslehre</i>. ; 2025.","bibtex":"@inbook{Uhde_2025, title={Wirtschaftswissenschaftliche Forschungsrichtungen vor der Neoklassik}, booktitle={Institutionenökonomie und Betriebswirtschaftslehre}, author={Uhde, André}, year={2025} }","mla":"Uhde, André. “Wirtschaftswissenschaftliche Forschungsrichtungen Vor Der Neoklassik.” <i>Institutionenökonomie Und Betriebswirtschaftslehre</i>, 2025.","short":"A. Uhde, in: Institutionenökonomie Und Betriebswirtschaftslehre, 2025.","chicago":"Uhde, André. “Wirtschaftswissenschaftliche Forschungsrichtungen Vor Der Neoklassik.” In <i>Institutionenökonomie Und Betriebswirtschaftslehre</i>, 2025.","apa":"Uhde, A. (2025). Wirtschaftswissenschaftliche Forschungsrichtungen vor der Neoklassik. In <i>Institutionenökonomie und Betriebswirtschaftslehre</i>.","ieee":"A. Uhde, “Wirtschaftswissenschaftliche Forschungsrichtungen vor der Neoklassik,” in <i>Institutionenökonomie und Betriebswirtschaftslehre</i>, 2025."},"publication":"Institutionenökonomie und Betriebswirtschaftslehre","date_created":"2025-04-25T05:55:44Z","department":[{"_id":"19"}],"type":"book_chapter","author":[{"full_name":"Uhde, André","last_name":"Uhde","first_name":"André","id":"36049"}],"publication_identifier":{"isbn":["3800632128"]},"year":"2025","status":"public","title":"Wirtschaftswissenschaftliche Forschungsrichtungen vor der Neoklassik","date_updated":"2025-04-25T06:05:38Z","language":[{"iso":"eng"}],"_id":"59677","user_id":"36049"},{"department":[{"_id":"19"}],"type":"book_chapter","date_created":"2025-04-25T05:56:40Z","citation":{"apa":"Uhde, A. (2025). Grundlagen der Principal-Agent-Theorie. In <i>Institutionenökonomie und Betriebswirtschaftslehre</i>.","ieee":"A. Uhde, “Grundlagen der Principal-Agent-Theorie,” in <i>Institutionenökonomie und Betriebswirtschaftslehre</i>, 2025.","short":"A. Uhde, in: Institutionenökonomie Und Betriebswirtschaftslehre, 2025.","chicago":"Uhde, André. “Grundlagen Der Principal-Agent-Theorie.” In <i>Institutionenökonomie Und Betriebswirtschaftslehre</i>, 2025.","mla":"Uhde, André. “Grundlagen Der Principal-Agent-Theorie.” <i>Institutionenökonomie Und Betriebswirtschaftslehre</i>, 2025.","ama":"Uhde A. Grundlagen der Principal-Agent-Theorie. In: <i>Institutionenökonomie Und Betriebswirtschaftslehre</i>. ; 2025.","bibtex":"@inbook{Uhde_2025, title={Grundlagen der Principal-Agent-Theorie}, booktitle={Institutionenökonomie und Betriebswirtschaftslehre}, author={Uhde, André}, year={2025} }"},"publication":"Institutionenökonomie und Betriebswirtschaftslehre","user_id":"36049","language":[{"iso":"eng"}],"_id":"59678","date_updated":"2025-04-25T06:05:21Z","publication_identifier":{"isbn":["3800632128"]},"author":[{"id":"36049","first_name":"André","last_name":"Uhde","full_name":"Uhde, André"}],"title":"Grundlagen der Principal-Agent-Theorie","status":"public","year":"2025"},{"year":"2025","title":"Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung","status":"public","publication_identifier":{"isbn":["978-3-7910-3086-9"]},"date_updated":"2025-04-25T06:05:26Z","language":[{"iso":"eng"}],"_id":"59681","user_id":"36049","editor":[{"full_name":"Uhde, André","first_name":"André","last_name":"Uhde","id":"36049"},{"first_name":"Stephan","last_name":"Paul","full_name":"Paul, Stephan"},{"first_name":"Andreas","last_name":"Horsch","full_name":"Horsch, Andreas"},{"full_name":"Kaltofen, Daniel","last_name":"Kaltofen","first_name":"Daniel"},{"full_name":"Weiß, Gregor","first_name":"Gregor","last_name":"Weiß"}],"citation":{"ama":"Uhde A, Paul S, Horsch A, Kaltofen D, Weiß G, eds. <i>Unternehmerische Finanzierungspolitik - Eine Wertorientierte Einführung</i>.; 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.","short":"A. Uhde, S. Paul, A. Horsch, D. Kaltofen, G. Weiß, eds., Unternehmerische Finanzierungspolitik - Eine Wertorientierte Einführung, 2025.","chicago":"Uhde, André, Stephan Paul, Andreas Horsch, Daniel Kaltofen, and Gregor Weiß, eds. <i>Unternehmerische Finanzierungspolitik - Eine Wertorientierte Einführung</i>, 2025.","apa":"Uhde, A., Paul, S., Horsch, A., Kaltofen, D., &#38; Weiß, G. (Eds.). (2025). <i>Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung</i>.","ieee":"A. Uhde, S. Paul, A. Horsch, D. Kaltofen, and G. Weiß, Eds., <i>Unternehmerische Finanzierungspolitik - Eine wertorientierte Einführung</i>. 2025."},"date_created":"2025-04-25T06:03:39Z","type":"book_editor","department":[{"_id":"19"}]},{"date_created":"2025-04-25T05:44:31Z","type":"journal_article","keyword":["Geopolitical risk","Protectionism","Strategic trade policy","Tariffs","Trade conflict","U.S. – China trade war"],"department":[{"_id":"19"}],"publication":"Finance Research Letters","abstract":[{"text":"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.","lang":"eng"}],"main_file_link":[{"open_access":"1"}],"article_number":"107381","language":[{"iso":"eng"}],"doi":"10.1016/j.frl.2025.107381","title":"Share price reactions to tariff imposition announcements during the first Trump administration","year":"2025","author":[{"last_name":"Wengerek","orcid":"0000-0002-7820-3903","first_name":"Sascha Tobias","full_name":"Wengerek, Sascha Tobias","id":"48837"},{"last_name":"Uhde","first_name":"André","full_name":"Uhde, André","id":"36049"},{"id":"48476","first_name":"Benjamin","last_name":"Hippert","full_name":"Hippert, Benjamin"}],"publication_identifier":{"issn":["1544-6123"]},"date_updated":"2026-05-27T10:58:22Z","publication_status":"published","intvolume":"        80","article_type":"original","oa":"1","citation":{"short":"S.T. Wengerek, A. Uhde, B. Hippert, Finance Research Letters 80 (2025).","chicago":"Wengerek, Sascha Tobias, André Uhde, and Benjamin Hippert. “Share Price Reactions to Tariff Imposition Announcements during the First Trump Administration.” <i>Finance Research Letters</i> 80 (2025). <a href=\"https://doi.org/10.1016/j.frl.2025.107381\">https://doi.org/10.1016/j.frl.2025.107381</a>.","apa":"Wengerek, S. T., Uhde, A., &#38; Hippert, B. (2025). Share price reactions to tariff imposition announcements during the first Trump administration. <i>Finance Research Letters</i>, <i>80</i>, Article 107381. <a href=\"https://doi.org/10.1016/j.frl.2025.107381\">https://doi.org/10.1016/j.frl.2025.107381</a>","ieee":"S. T. Wengerek, A. Uhde, and B. Hippert, “Share price reactions to tariff imposition announcements during the first Trump administration,” <i>Finance Research Letters</i>, vol. 80, Art. no. 107381, 2025, doi: <a href=\"https://doi.org/10.1016/j.frl.2025.107381\">10.1016/j.frl.2025.107381</a>.","ama":"Wengerek ST, Uhde A, Hippert B. Share price reactions to tariff imposition announcements during the first Trump administration. <i>Finance Research Letters</i>. 2025;80. doi:<a href=\"https://doi.org/10.1016/j.frl.2025.107381\">10.1016/j.frl.2025.107381</a>","bibtex":"@article{Wengerek_Uhde_Hippert_2025, title={Share price reactions to tariff imposition announcements during the first Trump administration}, volume={80}, DOI={<a href=\"https://doi.org/10.1016/j.frl.2025.107381\">10.1016/j.frl.2025.107381</a>}, number={107381}, journal={Finance Research Letters}, publisher={Elsevier BV}, author={Wengerek, Sascha Tobias and Uhde, André and Hippert, Benjamin}, year={2025} }","mla":"Wengerek, Sascha Tobias, et al. “Share Price Reactions to Tariff Imposition Announcements during the First Trump Administration.” <i>Finance Research Letters</i>, vol. 80, 107381, Elsevier BV, 2025, doi:<a href=\"https://doi.org/10.1016/j.frl.2025.107381\">10.1016/j.frl.2025.107381</a>."},"quality_controlled":"1","publisher":"Elsevier BV","_id":"59673","user_id":"36049","volume":80,"status":"public"},{"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>.","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>","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} }","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>","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>.","short":"S. Herwald, S. Voigt, A. Uhde, Journal of Risk Finance 25 (2024) 510–536.","chicago":"Herwald, Sarah, Simone Voigt, and André Uhde. “The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe.” <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>."},"page":"510 - 536","_id":"34802","user_id":"36049","volume":25,"status":"public","jel":["G15","G21","G38"],"date_created":"2022-12-22T07:28:25Z","keyword":["market concentration","market power","banking stability","European banking"],"type":"journal_article","department":[{"_id":"186"},{"_id":"188"}],"issue":"3","publication":"Journal of Risk Finance","abstract":[{"text":"Purpose\r\nAcademic research has intensively analyzed the relationship between market concentration or market power and banking stability but provides ambiguous results, which are summarized under the concentration-stability/fragility view. We provide empirical evidence that the mixed results are due to the difficulty of identifying reliable variables to measure concentration and market power.\r\n\r\nDesign/methodology/approach\r\nUsing data from 3,943 banks operating in the European Union (EU)-15 between 2013 and 2020, we employ linear regression models on panel data. Banking market concentration is measured by the Herfindahl–Hirschman Index (HHI), and market power is estimated by the product-specific Lerner Indices for the loan and deposit market, respectively.\r\n\r\nFindings\r\nOur analysis reveals a significantly stability-decreasing impact of market concentration (HHI) and a significantly stability-increasing effect of market power (Lerner Indices). In addition, we provide evidence for a weak (or even absent) empirical relationship between the (non)structural measures, challenging the validity of the structure-conduct-performance (SCP) paradigm. Our baseline findings remain robust, especially when controlling for a likely reverse causality.\r\n\r\nOriginality/value\r\nOur results suggest that the HHI may reflect other factors beyond market power that influence banking stability. Thus, banking supervisors and competition authorities should investigate market concentration and market power simultaneously while considering their joint impact on banking stability.","lang":"eng"}],"language":[{"iso":"eng"}],"doi":"https://doi.org/10.1108/JRF-03-2023-0075","year":"2024","title":"The conditional impact of market consolidation and market power on banking stability – Evidence from Europe","author":[{"full_name":"Herwald, Sarah","first_name":"Sarah","last_name":"Herwald"},{"full_name":"Voigt, Simone","first_name":"Simone","last_name":"Voigt"},{"id":"36049","orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André","last_name":"Uhde","full_name":"Uhde, André"}],"date_updated":"2024-05-14T12:13:51Z","publication_status":"published","intvolume":"        25"},{"citation":{"short":"A. Uhde, in: Bankpolitik - Eine Marktorientierte Einführung, 2024.","chicago":"Uhde, André. “Zentrale Regulierungs- Und Aufsichtsnormen Für Bankrisiken.” In <i>Bankpolitik - Eine Marktorientierte Einführung</i>, 2024.","apa":"Uhde, A. (2024). Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken. In <i>Bankpolitik - Eine marktorientierte Einführung</i>.","ieee":"A. Uhde, “Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken,” in <i>Bankpolitik - Eine marktorientierte Einführung</i>, 2024.","ama":"Uhde A. Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken. In: <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} }","mla":"Uhde, André. “Zentrale Regulierungs- Und Aufsichtsnormen Für Bankrisiken.” <i>Bankpolitik - Eine Marktorientierte Einführung</i>, 2024."},"publication":"Bankpolitik - Eine marktorientierte Einführung","department":[{"_id":"19"}],"type":"book_chapter","date_created":"2025-04-25T05:58:56Z","date_updated":"2025-04-25T06:05:34Z","author":[{"full_name":"Uhde, André","first_name":"André","last_name":"Uhde","id":"36049"}],"publication_identifier":{"isbn":["978-3-7910-4633-4"]},"year":"2024","title":"Zentrale Regulierungs- und Aufsichtsnormen für Bankrisiken","status":"public","user_id":"36049","language":[{"iso":"eng"}],"_id":"59679"},{"citation":{"bibtex":"@book{Uhde_Paul_Horsch_Weiß_Kaltofen_2024, title={Bankpolitik - Eine marktorientierte Einführung}, year={2024} }","chicago":"Uhde, André, Stephan Paul, Andreas Horsch, Gregor Weiß, and Daniel Kaltofen, eds. <i>Bankpolitik - Eine Marktorientierte Einführung</i>, 2024.","ama":"Uhde A, Paul S, Horsch A, Weiß G, Kaltofen D, eds. <i>Bankpolitik - Eine Marktorientierte Einführung</i>.; 2024.","short":"A. Uhde, S. Paul, A. Horsch, G. Weiß, D. Kaltofen, eds., Bankpolitik - Eine Marktorientierte Einführung, 2024.","ieee":"A. Uhde, S. Paul, A. Horsch, G. Weiß, and D. Kaltofen, Eds., <i>Bankpolitik - Eine marktorientierte Einführung</i>. 2024.","mla":"Uhde, André, et al., editors. <i>Bankpolitik - Eine Marktorientierte Einführung</i>. 2024.","apa":"Uhde, A., Paul, S., Horsch, A., Weiß, G., &#38; Kaltofen, D. (Eds.). (2024). <i>Bankpolitik - Eine marktorientierte Einführung</i>."},"date_created":"2025-04-25T06:02:00Z","type":"book_editor","department":[{"_id":"19"}],"status":"public","year":"2024","title":"Bankpolitik - Eine marktorientierte Einführung","publication_identifier":{"isbn":["978-3-7910-4633-4"]},"date_updated":"2025-04-25T06:05:30Z","_id":"59680","language":[{"iso":"eng"}],"user_id":"36049","editor":[{"full_name":"Uhde, André","last_name":"Uhde","first_name":"André","id":"36049"},{"full_name":"Paul, Stephan","first_name":"Stephan","last_name":"Paul"},{"last_name":"Horsch","first_name":"Andreas","full_name":"Horsch, Andreas"},{"full_name":"Weiß, Gregor","first_name":"Gregor","last_name":"Weiß"},{"last_name":"Kaltofen","first_name":"Daniel","full_name":"Kaltofen, Daniel"}]},{"intvolume":"        25","date_updated":"2025-12-09T14:48:50Z","publication_status":"published","author":[{"full_name":"Herwald, Sarah","first_name":"Sarah","last_name":"Herwald","id":"51867"},{"full_name":"Voigt, Simone","first_name":"Simone","last_name":"Voigt","id":"50109"},{"full_name":"Uhde, André","last_name":"Uhde","first_name":"André","id":"36049"}],"publication_identifier":{"issn":["1526-5943"]},"year":"2024","title":"The impact of market concentration and market power on banking stability – evidence from Europe","doi":"10.1108/jrf-03-2023-0075","language":[{"iso":"eng"}],"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"}],"issue":"3","publication":"The Journal of Risk Finance","department":[{"_id":"19"}],"type":"journal_article","date_created":"2025-12-09T14:42:44Z","status":"public","volume":25,"user_id":"50109","_id":"62999","publisher":"Emerald","page":"510-536","citation":{"ieee":"S. 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>.","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.","chicago":"Herwald, Sarah, Simone Voigt, and André Uhde. “The Impact of Market Concentration and Market Power on Banking Stability – Evidence from Europe.” <i>The 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>.","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} }","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>"}},{"user_id":"36049","edition":"1","_id":"55175","publisher":"Schäffer-Poeschel","language":[{"iso":"ger"}],"page":"776","publication_status":"published","date_updated":"2026-05-27T10:58:34Z","publication_identifier":{"isbn":["978-3-7910-4633-4"]},"author":[{"id":"36049","full_name":"Uhde, André","first_name":"André","last_name":"Uhde"},{"full_name":"Paul, Stephan","first_name":"Stephan","last_name":"Paul"},{"full_name":"Horsch, Andreas","last_name":"Horsch","first_name":"Andreas"},{"full_name":"Kaltofen, Daniel ","last_name":"Kaltofen","first_name":"Daniel "},{"full_name":"Weiß, Gregor","last_name":"Weiß","first_name":"Gregor"}],"title":"Bankpolitik","year":"2024","status":"public","department":[{"_id":"19"}],"type":"book","date_created":"2024-07-11T08:25:33Z","place":"Stuttgart","citation":{"ama":"Uhde A, Paul S, Horsch A, Kaltofen D, Weiß G. <i>Bankpolitik</i>. 1st ed. Schäffer-Poeschel; 2024.","bibtex":"@book{Uhde_Paul_Horsch_Kaltofen_Weiß_2024, place={Stuttgart}, edition={1}, title={Bankpolitik}, publisher={Schäffer-Poeschel}, author={Uhde, André and Paul, Stephan and Horsch, Andreas and Kaltofen, Daniel  and Weiß, Gregor}, year={2024} }","mla":"Uhde, André, et al. <i>Bankpolitik</i>. 1st ed., Schäffer-Poeschel, 2024.","short":"A. Uhde, S. Paul, A. Horsch, D. Kaltofen, G. Weiß, Bankpolitik, 1st ed., Schäffer-Poeschel, Stuttgart, 2024.","chicago":"Uhde, André, Stephan Paul, Andreas Horsch, Daniel  Kaltofen, and Gregor Weiß. <i>Bankpolitik</i>. 1st ed. Stuttgart: Schäffer-Poeschel, 2024.","apa":"Uhde, A., Paul, S., Horsch, A., Kaltofen, D., &#38; Weiß, G. (2024). <i>Bankpolitik</i> (1st ed.). Schäffer-Poeschel.","ieee":"A. Uhde, S. Paul, A. Horsch, D. Kaltofen, and G. Weiß, <i>Bankpolitik</i>, 1st ed. Stuttgart: Schäffer-Poeschel, 2024."}},{"author":[{"full_name":"Herwald, Sarah","first_name":"Sarah","last_name":"Herwald"},{"full_name":"Voigt, Simone","first_name":"Simone","last_name":"Voigt"},{"id":"36049","last_name":"Uhde","first_name":"André","orcid":"https://orcid.org/0000-0002-8058-8857","full_name":"Uhde, André"}],"status":"public","title":"The conditional impact of market consolidation and market power on banking stability – Evidence from Europe","year":"2023","date_updated":"2024-04-17T13:35:00Z","publication_status":"unpublished","_id":"34798","language":[{"iso":"eng"}],"user_id":"36049","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>. .","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>.","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.","short":"S. Herwald, S. Voigt, A. Uhde, The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe, n.d.","mla":"Herwald, Sarah, et al. <i>The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe</i>.","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} }","ama":"Herwald S, Voigt S, Uhde A. <i>The Conditional Impact of Market Consolidation and Market Power on Banking Stability – Evidence from Europe</i>."},"date_created":"2022-12-22T06:08:24Z","department":[{"_id":"186"},{"_id":"188"}],"type":"working_paper"},{"status":"public","jel":["G21","G28","G32"],"user_id":"36049","volume":"Vol. 86 (11)","page":"48-64","_id":"13147","publisher":"Elsevier","citation":{"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>.","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>","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} }","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>","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>.","short":"S.T. Wengerek, B. Hippert, A. Uhde, The Quarterly Review of Economics and Finance Vol. 86 (11) (2022) 48–64."},"publication_status":"published","date_updated":"2022-12-23T11:27:53Z","article_type":"original","title":"Risk allocation through securitization – Evidence from non-performing loans","year":"2022","author":[{"first_name":"Sascha Tobias","orcid":"0000-0002-7820-3903","last_name":"Wengerek","full_name":"Wengerek, Sascha Tobias","id":"48837"},{"id":"48476","first_name":"Benjamin","last_name":"Hippert","full_name":"Hippert, Benjamin"},{"id":"36049","first_name":"André","orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","full_name":"Uhde, André"}],"doi":"https://doi.org/10.1016/j.qref.2022.06.005","language":[{"iso":"eng"}],"abstract":[{"lang":"eng","text":"Employing a unique and hand-collected sample of 648 true sale loan securitization transactions issued by 57 stock-listed banks across the EU-12 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the relationship between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios. Overall, we provide evidence for a negative impact of securitization on NPL exposures suggesting that banks predominantly used securitization as an instrument of credit risk transfer and diversification. In addition, the analysis at hand reveals a time-sensitive relationship between securitization and NPL exposures. While we observe an even stronger NPL-reducing effect through securitization during the non-crisis periods, the effect reverses during and after the global financial crisis suggesting that banks were forced to provide credit enhancement and employ securitization as a funding management tool. Along with the results from a variety of sensitivity analyses our study provides important implications for the recent debate on reducing NPL exposures of European banks by revitalizing the European securitization market."}],"publication":"The Quarterly Review of Economics and Finance","type":"journal_article","keyword":["European Banking","Non-performing Loans","Securitization"],"department":[{"_id":"186"},{"_id":"188"}],"date_created":"2019-09-06T08:59:28Z"},{"year":"2022","title":"Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall","status":"public","author":[{"first_name":"Sebastian","last_name":"Letmathe","full_name":"Letmathe, Sebastian","id":"23991"},{"last_name":"Feng","first_name":"Yuanhua","full_name":"Feng, Yuanhua","id":"20760"},{"full_name":"Uhde, André","first_name":"André","last_name":"Uhde","id":"36049"}],"publication_status":"inpress","date_updated":"2023-11-17T10:26:36Z","article_type":"original","intvolume":"        25","_id":"35992","language":[{"iso":"eng"}],"user_id":"36049","volume":25,"issue":"2","publication":"Journal of Risk","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> 25, no. 2 (n.d.).","short":"S. Letmathe, Y. Feng, A. Uhde, Journal of Risk 25 (n.d.).","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).","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.","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).","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} }","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."},"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. "}],"date_created":"2023-01-11T10:50:27Z","type":"journal_article","keyword":["long memory","generalized autoregressive conditional heteroscedasticity (GARCH) models","value-at-risk (VaR)","expected shortfall (ES)","traffic-light test","backtesting"],"department":[{"_id":"186"},{"_id":"188"}]},{"year":"2022","status":"public","title":"Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall","jel":["C14","C51","C52","G17","G32"],"author":[{"id":"23991","full_name":"Letmathe, Sebastian","first_name":"Sebastian","last_name":"Letmathe"},{"id":"20760","last_name":"Feng","first_name":"Yuanhua","full_name":"Feng, Yuanhua"},{"orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","first_name":"André","full_name":"Uhde, André","id":"36049"}],"publication_status":"inpress","date_updated":"2024-04-17T13:34:54Z","_id":"29317","language":[{"iso":"eng"}],"user_id":"36049","doi":"10.21314/JOR.2022.044","publication":"Journal of Risk","citation":{"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>.","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>","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} }","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>","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>.","short":"S. Letmathe, Y. Feng, A. Uhde, Journal of Risk (n.d.).","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>."},"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."}],"date_created":"2022-01-13T11:23:02Z","keyword":["Semiparametric","long memory","GARCH models","forecasting","Value at Risk","Expected Shortfall","traffic light test","Basel Committee on Banking Supervision"],"type":"journal_article","department":[{"_id":"186"},{"_id":"19"}]},{"type":"journal_article","keyword":["Securitization","Credit risk transfer","Effective tax rates","European banking"],"department":[{"_id":"186"},{"_id":"188"}],"date_created":"2018-10-31T09:55:40Z","abstract":[{"lang":"eng","text":"Employing a unique hand-collected sample of 956 credit risk securitization transactions issued by 64 stock-listed\r\nEuropean banks across the EU-13 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes\r\nthe impact of securitization on the issuing banks’ effective tax rates. Our analysis reveals that banks may reduce their\r\ntax expense through securitization via a direct and indirect channel suggesting that tax avoidance may be a further\r\nmotive for banks to engage in the securitization business. These baseline findings remain robust under various\r\nrobustness checks, especially when implementing structural equation models and controlling for a reverse causality\r\nbetween the banks’ tax burden and their incentive to securitize. Finally, various sensitivity analyses provide further\r\nimportant results and implications for tax policies, banking regulation and the ongoing process of revitalizing the\r\nEuropean securitization market."}],"publication":"The Quarterly Review of Economics and Finance","citation":{"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>","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} }","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>.","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>.","short":"A. Uhde, The Quarterly Review of Economics and Finance 79 (2021) 411–421.","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>","ieee":"A. Uhde, “Tax avoidance through securitization,” <i>The Quarterly Review of Economics and Finance</i>, vol. 79, pp. 411–421, 2021."},"doi":"10.1016/j.qref.2020.07.008","user_id":"81176","volume":79,"page":"411-421","language":[{"iso":"eng"}],"_id":"5163","date_updated":"2022-01-06T07:01:40Z","intvolume":"        79","year":"2021","title":"Tax avoidance through securitization","status":"public","author":[{"id":"36049","last_name":"Uhde","first_name":"André","orcid":"https://orcid.org/0000-0002-8058-8857","full_name":"Uhde, André"}],"jel":["G21","G28","H25","H71"]}]