Universität zu Köln

Döring, Benjamin Georg (2016). Essays on Systemic Risk and Bank Profitability. PhD thesis, Universität zu Köln.

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Abstract

This thesis consists out of three essays on systemic risk, systemic importance, and bank profitability. The first essay (Döring et al., 2016, Systemic risk measures and their viability for banking supervision) contributes to the literature by proposing a criteria-based framework to assess the viability of systemic risk measures as a monitoring tool for banking supervision and investigates the bank characteristics that determine the banking system's overall level of systemic risk. We assess the monitoring qualities of the former systemic risk measures by focusing on their forecasting capabilities for a set of major aggregated bank-specific and macroeconomic state variables. The second essay (Döring et al., 2016a, Systemic importance, default risk, and profitability in the European banking system) examines the relation between banks' systemic importance and their default risk and return characteristics on a broad sample of listed European banks. To be more specific, we analyze whether systemically important banks exhibit default risk and return patterns that are distinctively different from those of non-systemically important banks. The third essay (Döring, 2016, Risk-adjusted bank performance and income diversification) contributes to the academic literature by analyzing the effects of income diversification on banks' profitability patterns for a broad sample of listed and unlisted euro area banks covering the period from 2007 to 2014. We measure bank profitability employing the ratio return on risk-weighted assets (RoRWA) and proxy a bank's income diversification by calculating the shares of non-interest income, fee income, trading income, and other non-interest income in total operating income.

Item Type:	Thesis (PhD thesis)
Creators:	Creators Email ORCID ORCID Put Code Döring, Benjamin Georg benjamin.georg.doering@gmail.com UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-71420
Date:	10 October 2016
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Faculty of Management, Economics and Social Sciences > Business Administration > Finance > Professorship for Business Administration and Bank Management
Subjects:	General statistics Management and auxiliary services
Uncontrolled Keywords:	Keywords Language systemic risk, systemic importance, banking system, real sectors, regulation, macro-financial linkages, bankruptcy, risk and return characteristics, RoRWA, income diversification English
Date of oral exam:	11 January 2017
Referee:	Name Academic Title Hartmann-Wendels, Thomas Univ.-Prof. Dr. Schradin, Heinrich Univ.-Prof. Dr. Hess, Dieter Univ.-Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/7142