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Assessing Systemic Risk: An Analysis of the German Banking Sector

  • This Master’s thesis examines the impact of heterogeneity on the assessment of systemic risk in the context of the German banking sector. Precisely, it is questioned whether currently employed, official systemic risk indicators are able to account for the German banking sector’s heterogeneity and to signal systemic risk reliably regardless of different bank types’ individual characteristics. For the assessment, a two-step procedure is employed. First, currently employed, official risk indicators are applied to bank-type-specific data for six different bank types from 1990 until 2018 and benchmarked against crises that occurred during the assessment period. Second, the implications of sectoral characteristics on systemic risk are assessed. The findings suggest that indicators are indeed able to account for the German banking sector’s heterogeneity, issuing different signals for various bank types. Moreover, the indicators allow for the identification of individual bank types’ behavior and their role in the accumulation of systemic risk. Yet, they are only partially able to signal crises correctly and behave more like thermometers than barometers of risk. Lastly, structural features of the German banking sector amplify the risk of individual institutions and thus their contribution to systemic risk at large.

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Metadaten
Author:Sophie-Dorothee Rotermund
Referee:Martina Metzger
Advisor:Gary Dymski
Document Type:Master's Thesis
Language:English
Date of first Publication:2019/12/20
Publishing Institution:Hochschulbibliothek HWR Berlin
Granting Institution:Hochschule für Wirtschaft und Recht Berlin
Date of final exam:2019/05/31
Release Date:2019/12/20
Page Number:100
Institutes:FB I - Wirtschaftswissenschaften / International Economics M.A.
Licence (German):License LogoUrheberrechtsschutz