KREDIT und KAPITAL - Issue 3/2007


Policy Issues

Schnabel, Isabel, und Hakenes, Hendrik
Regionale Banken in einer globalisierten Welt


Heid, Frank, Nestmann, Thorsten, Weder, Beatrice, and von Westernhagen, Natalja
German Bank Lending during Emerging Market Crises: A Bank Level Analysis

Mußhoff, Jörg, Jahns, Christopher, und Schiereck, Dirk
Wertschaffung durch feindliche M&A-Transaktionen in der europäischen Bankenindustrie? - Das Beispiel BNP und Paribas - (Teil I)

Rathgeber, Andreas
Optionsbewertung unter Lévy-Prozessen – Eine Analyse für den deutschen Aktienindex

Book Reviews

Hölscher, Jens (Hrsg.)
Germany’s Economic Performance. From Unification to Euroization (Leo Schuster)


Schnabel, Isabel, and Hakenes, Hendrik
„Regional Banks in a Globalized World”

In this paper, we analyze the potential role of regional banks in a globalized world. We argue that regional banks may have a competitive advantage due to greater customer loyalty and flat hierarchies. Higher costs due to small scale may be compensated by the outsourcing of activities, for example within a banking network. The example of Germany shows that regional banks can be profitable even in the presence of global competition. Hence, a crowding-out of regional banks is unlikely.


Heid, Frank, Nestmann, Thorsten, Weder, Beatrice, and von Westernhagen, Natalja
„German Bank Lending during Emerging Market Crises: A Bank Level Analysis“

This paper studies the reaction of bank lending in times of higher risk aversion. In particular, we analyse German bank lending during the Asian and Russian crises, using a bank level data set from the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of bank lending during financial crises in emerging markets. We find that German banks reacted to the Asian crisis mainly by reallocating their portfolios among emerging markets. In addition, lending of large commercial banks was less stable than the lending of public sector banks. By contrast, banks’ behaviour during the Russian crisis is mainly characterised by a general withdrawal from emerging markets. Differences between the banking groups were not as pronounced as during the Asian crisis. (JEL F30, F32, F34)


Mußhoff, Jörg, Jahns, Christopher, and Schiereck, Dirk
„Value Generation through M&A Transactions in the European Banking Industry? - The BNP and Paribas Example –“ (Part I)

Do M&A transactions in the European banking industry generate shareholder value? Against the background of the described contradiction apparently existing - on the one hand - between strong M&A activities, on the increase again in the banking industry of late, and the lack of value generation through M&A transactions as documented on the basis of research (especially for the respective buying banks) on the other, the academic literature has increasingly drawn attention to the need for proceeding in a more differentiated individualised manner by using case studies extending beyond previous research approaches and taking account of the special characteristics of anyone transaction. This article, using the case study approach, therefore focuses on the analysis of value generation and, respectively, value destruction as a result of the amalgamation of BNP and Paribas which represents one of the most important national consolidation steps in the European banking industry in recent years. The aim has been to complement in contentual terms the empirical evidence for European M&A transactions in the banking industry, extremely limited in scope so far, and to help eliminate thereby the aforementioned apparent contradiction. A parallel objective has been to analyse in methodical terms whether the case study approach is appropriate for evaluating the success of M&A transactions in the banking industry.

Against this background, the first part of this article demonstrates on the basis of a critical comparison of the case study approach with different previously applied approaches to measuring the success of M&A transactions in the banking industry that case studies are appropriate, as a matter of principle, for analysing this research issue and justify the existence of a need to complement on a case study basis the results thus far obtained for the success of M&A transactions in the banking industry. This is followed by an overview of the main topic of this article, i.e. the M&A transaction between BNP and Paribas. To this end, the two partners to the transaction have been described and an overview of the relevant aspects of the transaction been given. Here, the focus is on details regarding the competitive bidding process. Next are an overview of the background conditions of the transaction (including the transaction motives and BNP’s M&A strategy) as well as a presentation of the energetically pushed integration process. These explanations form the bases of the analysis of value generation and of the success factors of the transaction to be deduced that will be the subject of part II of this article.


Rathgeber, Andreas
„Valuation of Options under Lévy Processes. An Analysis for the German Stock Index“

Several empirical analyses have shown that the normal distribution curve is unsatisfactory for representing distributions of stock returns. Literature and the real world have shown that the stable non-normal distributions are more appropriate in most cases for approximating distribu­tions.

On the other hand, this distribution class is subject to the drawback that the exponential moments necessary for computing the classical option value are seldom finite. When extending the type of distribution and when considering an aggregate of several random variables inde­pendent of one another, including distribution functions, the outcome is a stochastic process, i.e. the Lévy process, for which a number of representatives can be found possessing finite expo­nential moments.

It is then possible to value options on the basis of these types of processes better able to repre­sent empirical data. But such option valuation can only in part be carried out by way of analogy with the classical Black/Scholes and Merton processes. It is true that valuation is based on arbitrage-free assumptions. But the market is incomplete in most cases so that there is no dupli­cation and no possibility to derive an unambiguously equivalent martingale measure.

With a view to generating an unambiguous probability measure, it is necessary to make addi­tional assumptions, e.g. to introduce a benefit function, to identify a risk-minimised strategy or to simply fix ex ante a measure conversion function. For this article it has been decided that the Esscher function shall be the measure conversion function.

The martingale measure made equivalent in this way then permits to derive call option prices. If this approach is applied to European DAX-based call options, there are visible deviations of price to be seen compared with the prices computed on the basis of Scholes and Merton. When ascertaining implied volatilities from the prices of the so computed European call options, the result is the characteristic smile effect known in connection with many studies.