The Identification of Technology Regimes in Banking: Implications for the Market Power-Fragility Nexus
Michael Koetter, Tigran Poghosyan
Journal of Banking and Finance,
No. 8,
2009
Abstract
Neglecting the existence of different technologies in banking can contaminate efficiency, market power, and other performance measures. By simultaneously estimating (i) technology regimes conditional on exogenous factors, (ii) efficiency conditional on risk management, and (iii) Lerner indices of German banks, we identify three distinct technology regimes: Public & Retail, Small & Specialized, and Universal & Relationship. System estimation at the regional level reveals that greater bank market power increases bank profitability but also fosters corporate defaults. Corporate defaults, in turn, lead to higher probabilities of bank distress, which supports the market power-fragility hypothesis.
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Forecasting the CO2 certificate price risk
Henry Dannenberg, Wilfried Ehrenfeld
IWH Discussion Papers,
No. 5,
2008
Abstract
Modeling the price risk of CO2 certificates is one important aspect of integral corporate risk management related to emissions trading. The paper presents a risk model which may be the basis for evaluating the risk of emission certificate prices. We assume that the certificate price is determined by the expected marginal CO2 abatement costs prevailing at the current trade period and stochastically fluctuates around the respective level as returned from the mean reversion process. Due to uncertainties about future environmental states we suppose that within one trade period, erratic changes in the expected marginal abatement costs may occur leading to shifts in the price level. The aim of the work is to model the erratic changes of the expected reversion level and to estimate the parameters of the mean reversion process.
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Risk-factor competition law infringement
Henry Dannenberg, Nicole Steinat
Risk, Fraud & Compliance ZRFC,
No. 1,
2008
Abstract
During the last couple of years the European Commission increased the fines for competition law infringements. Regardless whether an infringement was only negligent or intended it can result in enormous financial risks for companies. The following article shows a distribution of the financial risk of cartel law infringements in Europe. The potential fine - which can amount to a multiple of annual sales in the relevant market - should sensitize managers to check their own undertaking whether they are involved in such violations.
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asset price inflation
Tobias Knedlik, A. Knorr
Systeme monetärer Steuerung - Analyse und Vergleich geldpolitischer Strategien - Schriften zu Ordnungsfragen der Wirtschaft, Band 86,
No. 86,
2007
Abstract
Most of the influential central banks managed to bring inflation down to a sustainable path in the last two decades. However, during the same time asset prices increased significantly. From the perspective of economic policy, this development might constitute a problem in the case that price increases are not due to changes in fundamentals but are of a speculative nature. During the current past the number of asset price bubbles increased. The aim of this contribution is to analyze policy options with regard to asset price inflation. We identify the relevant markets, discuss their specific price mechanisms, discuss transmission mechanisms, and the usefulness of monetary policy and alternative instruments to deal with asset price inflation. We show that, once asset price inflation is present, monetary policy can do little to stop processes of speculative bubbles. It is the more important that that alternatives are considered. These include the analysis of monetary conditions, a straight forward communication, better regulation, and a strengthening of institutions that allow for diversifying risks to handle the necessary structural changes with lowest possible economic costs.
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Unternehmensbewertung, Rating und Risikobewältigung
Ulrich Blum, Werner Gleißner
Wissenschaftliche Zeitschrift der Technischen Universität Dresden,
2006
Abstract
We inquire into the possibilities to improve the stability of the firms by better managing risk. We propose to directly link risk management to rating, i.e. the ability to meet future financial obligations. Principal elements of rating methodology are discussed against the background of risk management. Next to the rating mark the risk-related requirements for equity become the central measure for risk. Firms must balance the costs of improving their rating against the gains of an improved rating. Risk management is a major driver to improve shareholder value. Risk aggregation is the dominant method that uses information from risk management and synthesizes unique measure of value.
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Risikomanagements als Werttreiber: Volks- und betriebswirtschaftliche Perspektive
Ulrich Blum, Werner Gleißner
Wertorientiertes Management,
2006
Abstract
The article inquires how risk and its management directly influence ther wealth of nations and the performance of enterprises. The sources of wealth, especially trade and externalities, are rellated to risk as is its impact on the economic value of the firm. Fundamental methods to control risk as a method of increasing shareholder value are proposed.
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Management von Mitarbeiterrisiken in Unternehmen
Henry Dannenberg
Risikomanagement im Unternehmen Praxisratgeber für die Einführung und Umsetzung, Kapitel 12-7,
2006
Abstract
The paper shows how to quantify the risk of loosing employees. Firstly, reasons will be determined that explain the loss of an employee. Dependent on these reasons, it is shown how to quantify the probability of losing an employee and possible losses that follow an employee loss. Based on these components of risks, a simulation based model is developed which aggregates the risk of all employees of a company to the distribution of the employees risk for the whole company. Finally, a tool for an easy calculating of this risk is presented.
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Recent Developments and Risks in the Euro Area Banking Sector
Reint E. Gropp, Jukka M. Vesala
ECB Monthly Bulletin,
2002
Abstract
This article provides an overview of euro area banks’ exposure to risk and examines the effects of the cyclical downturn in 2001. It describes the extent to which euro area banks’ risk profile has changed as a result of recent structural developments, such as an increase in investment banking, mergers, securitisation and more sophisticated risk management techniques. The article stresses that the environment in which banks operated in 2001 was fairly complex due to the relatively weak economic performance of all major economies as well as the events of 11 September in the United States. It evaluates the effects of these adverse circumstances on banks’ stability and overall performance. The article provides bank balance sheet information as well as financial market prices, arguing that the latter may be useful when assessing the soundness of the banking sector in a forward-looking manner. It concludes with a review of the overall stability of euro area banks, pointing to robustness in the face of the adverse developments in 2001 and the somewhat improved forward-looking indicators of banks’ financial strength in early 2002.
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International economic development still impedes growth in Central and Eastern Europe
Axel Brüggemann
Wirtschaft im Wandel,
No. 3,
2002
Abstract
The world wide economic slow down has increasingly affected the transition economies. Lower demand in Western Europe for exports from Central and Eastern Europe has depressed industrial production and growth in the region. Strong domestic demand has managed to offset some of the negative external influences. In total the countries in Central and eastern Europe will grow with 3,1 % in 2002 and with 4,1% in 2003. The higher growth in 2003 results from the combination of a continuing strong domestic demand and amore favourabel external environment, as the world economy starts to recover in the second half of 2002. Inflation will continue to slow, while unemployment decreases only marginally. Higher growth will also lead to higher current account deficits.
The slowdown in 2001 has increased the risk potential for financial crises in Central and Eastern Europe. The forecast is build upon the assumption that no such crisis will occur, if a crisis does errupt the forecast will have to be revised downwards. The regular anlysis carried out by the IWH regarding the development of the risk potential, indicate particular high risks for Poland and to a somewhat lesser extent also for Hungary. As the unfavourable external economic conditions will persist for the coming months, a further increase in the risk potential can be expected.
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