KREDIT und KAPITAL - Issue 1/2003



Punt, Leendert W and van Rooij Maarten C.J.
The Profit- Structure Relationship and Mergers in the European Banking Industry

Nitsch, Harald
Diskretionäre Spielräume des Inflation-Targeting

Overbeck, Ludger and Stahl, Gerhard
Stochastic Essentials for the Risk Management of Credit Portfolios

Wöhle, Claudia B.
Modellanalytische Bilanzstrukturoptimierung unter Rendite-/ Risiko-Kriterien im Rahmen des dualen Steuerungsmodells


Mundschenk, Susanne
Konstanz Seminar on Monetary Theory and Monetary Policy 2002

Book Reviews

Junius, Karsten and Kater, Ulrich and Meier, Carsten-Patrick and Müller, Henrik
Handbuch Europäische Zentralbank. Beobachtung, Analyse, Prognose (Philip M. V. Hallensleben)


Punt, Leendert W. and van Rooij Maarten C.J.
"The Profit- Structure Relationship and Mergers in the European Banking Industry: An Empirical Assessment"

Empirical research provides evidence of a relationship between market structure and profitability in the European banking sector. This paper tests several market- power and efficient- structure theories, which might explain the profit- structure relationship. Theses tests reveal that X- efficiency is the crucial factor underlying the profit- structure relationship because it enables banks to improve both profitability and market share. Bank mergers in recent years appear to have been successful because, on average, X- efficiency and profitability have improves after the consolidation. Moreover, there are no indications of unfavourable price setting behaviour as a result of increased market power. (JEL G 14, G 21, G 34, L 11)


Nitsch, Harald
"Discretionary Scope of Inflation- targeting"

The choice of an inflation model as part of an inflation targeting strategy makes it necessary to weigh the quality of forecasts against the ability of external observers to understand them, as demonstrated by the example of four selected central banks. Mixed strategies may offer an interesting option for combining a simple long- run reference framework with information about short- run monetary policy behaviour. However, to minimise the problems concerning the discretionary choice between the short- run and the long- run model, it would be desirable to apply an integrated modelling of both time horizons.


Overbeck, Ludger and Stahl, Gerhard
"Stochastic Essentials for the Risk Management of Credit Portfolios"

Recent developments in portfolio and risk management are driven by the need of quantitative risk assessment. Mertons asset value approach is presented in a portfolio context. Loss distributions are derived and different definitions of economic capital are considered. In particular the loss distribution underlying the Basel II discussions is derived. A challenging task for risk management is the allocation of the risk capital to business units and single transactions. An analysis of two capital allocation methods is carried out. One based on expected shortfall contribution in credit portfolio modelling and the other based on contribution to the volatility which is the more traditional one. It turns out that the second one overestimates the risk of low rated counterparties with low concentration risk. The reason for this is that at the standard deviation many small losses are important, whereas at the quantile of the loss distribution large but rare losses are more important. This is captured by Expected Shortfall. Therefore Expected Shortfall contribution rewards diversification - name, industry and regional diversification. (JEL G 31, G 24, G 00)


Wöhle, Claudia B.
"Model- based Balance- Sheet Structure Analysis Optimised in Terms of Yield/ Risk Criteria within the Framework of the Dual Management Model"

The very concept of modern bank management is closely linked to an integrated risk/ return strategy approach considering the risk taking capacity of the bank related to selected risk scenarios. For putting this concept into practice the dual management approach is the applicable framework to coordinate individual decisions about customer contracts with the requirements of the bank as a whole. The article at hand is about a deterministic model optimizing the risk- related return for a bank as a whole in two steps. In the first step the profit of customer business is maximized using a linear programming model under consideration of risk- related restrictions. In the second step the structure of the balance sheet is optimized by adding whole sale business with the intention to optimise the risk- related return for the bank as a whole.