1. Discussion and Working Paper // 2017

    Forecasting the distributions of hourly electricity spot prices - Accounting for serial correlation patterns and non-normality of price distributions

    We present a stochastic modelling approach to describe the dynamics of hourly electricity prices. The suggested methodology is a stepwise combination of several mathematical operations to adequately characterize…

  2. Discussion and Working Paper // 2017

    'Brexit' and the Contraction of Syndicated Lending

    Using the syndicated loan market as a laboratory, we analyze the effect of the Brexit referendum on corporate loan origination. Issuances in the UK syndicated loan market dropped by 25% after the Brexit…

  3. Discussion and Working Paper // 2017

    Why Do Corporate Depositors Risk Everything for Nothing? The Importance of Deposit Relationships, Interest Rates and Bank Risk

    We analyze more than 75,000 auctions in which banks bid for firm deposits. In each of these auctions, only the firm observes the banks and their bids and decides where to deposit its funds. Our results show that…

  4. Discussion and Working Paper // 2017

    The Zero Risk Fallacy - Banks' Sovereign Exposure and Sovereign Risk Spillovers

    European banks are exposed to a substantial amount of risky sovereign debt. The “missing bank capital” resulting from the zero risk weight exemption for European banks for European sovereign debt amplifies the…

  5. Discussion and Working Paper // 2017

    Diversification or Specialization? An Analysis of Distance and Collaboration in Loan Syndication Networks

    In this paper, we study the organizational form of loan syndicates, how banks choose their syndicate partners and how this affects syndicate structure, loan pricing, and borrower performance. We develop a set of…