Christoph Memmel

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

44

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9,608

SSRN CITATIONS
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Top 11,038

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35

CROSSREF CITATIONS

77

Scholarly Papers (44)

1.

On the Estimation of the Global Minimum Variance Portfolio

Number of pages: 20 Posted: 09 Apr 2003
Alexander Kempf and Christoph Memmel
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Deutsche Bundesbank
Downloads 2,826 (5,743)
Citation 2

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Global Minimum Variance Portfolio, Estimation Risk

2.

Estimating the Global Minimum Variance Portfolio

Schmalenbach Business Review, Vol. 58, October 2006
Number of pages: 18 Posted: 26 Oct 2006
Christoph Memmel and Alexander Kempf
Deutsche Bundesbank and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,483 (16,187)
Citation 7

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Estimation Risk, Global Minimum Variance Portfolio, Weight Estimation

3.

Estimating the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data

Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 17 Jun 2011
University of Passau, Deutsche Bundesbank, University of Augsburg and Barclays
Downloads 1,102 (25,169)
Citation 7

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Interest rate risk, accounting-based approach, banking supervision, model evaluation

Diversification and the Banks' Risk-Return-Characteristics - Evidence from Loan Portfolios of German Banks

EFA 2006 Zurich Meetings Paper
Number of pages: 31 Posted: 06 Jun 2006
University of Muenster - Finance Center, University of Münster - Finance Center Münster, Deutsche Bundesbank and University of Muenster - Faculty of Economics
Downloads 658 (50,673)
Citation 13

Abstract:

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bank lending, loan portfolio, portfolio theory, diversification, risk return

Diversification and the Banks' Risk-Return-Characteristics: Evidence from Loan Portfolios of German Banks

Number of pages: 44 Posted: 08 Jun 2016
University of Muenster - Faculty of Economics, University of Muenster - Finance Center, Deutsche Bundesbank and University of Münster - Finance Center Münster
Downloads 184 (208,693)
Citation 1

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bank lending, loan portfolio, portfolio theory, diversification, riskreturn analysis

5.

Non-Maturing Assets and Liabilities of Banks: Valuation and Risk Measurement

22nd Australasian Finance and Banking Conference 2009
Number of pages: 40 Posted: 24 Aug 2009
Oliver Entrop, Arne Krombach, Christoph Memmel and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt, Deutsche Bundesbank and University of Augsburg
Downloads 644 (52,808)

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Interest rate risk, term structure model, interest rate pass-through, banking supervision, German financial institutions

Banks' Net Interest Margin and the Level of Interest Rates

Number of pages: 26 Posted: 21 Jun 2016
Ramona Busch and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 561 (62,319)
Citation 1

Abstract:

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net interest margin, level of interest rates

Banks’ Net Interest Margin and the Level of Interest Rates

Credit and Capital Markets, Volume 50, Issue 3, pp. 363–392
Posted: 13 Sep 2017
Ramona Busch and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank

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Net interest margin, level of interest rates

7.

Relationship Banking and Financing Costs - Empirical Evidence for Germany

Number of pages: 27 Posted: 04 Mar 2007
Deutsche Bundesbank, Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 236 (165,758)
Citation 2

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Relationship banking, German banking system

8.

Banks' Management of the Net Interest Margin: Evidence from Germany

Number of pages: 48 Posted: 08 Jun 2016
Christoph Memmel and Andrea Schertler
Deutsche Bundesbank and University of Graz
Downloads 188 (204,773)

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net interest margin, banking, balance-sheet composition

What Drives the Short-Term Fluctuations of Banks' Exposure to Interest Rate Risk?

Number of pages: 26 Posted: 25 Feb 2019
Christoph Memmel
Deutsche Bundesbank
Downloads 146 (254,265)

Abstract:

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interest rate risk in the banking book, fixed-interest period of housing loans, interest swaps, regulation of interest rate risk

What Drives the Short‐Term Fluctuations of Banks' Exposure to Interest Rate Risk?

Review of Financial Economics, Vol. 38, No. 4, 2020
Posted: 01 Dec 2020
Christoph Memmel
Deutsche Bundesbank

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fixed-interest period of housing loans, interest rate risk in the banking book, interest rate swaps, regulation of interest rate risk

10.

Bank Stress Testing Under Different Balance Sheet Assumptions

Number of pages: 29 Posted: 24 Apr 2017
Ramona Busch, Christian Drescher and Christoph Memmel
Deutsche Bundesbank, University of Bayreuth and Deutsche Bundesbank
Downloads 140 (262,201)

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stress testing, low-interest-rate environment, net interest margin, static balance sheet, dynamic balance sheet, price effect, quantity effect

Quantifying the Components of the Banks' Net Interest Margin

Number of pages: 38 Posted: 21 Jun 2016
Ramona Busch and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 140 (263,027)

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net interest margin, credit risk, term transformation, liquidity and payment management

Quantifying the Components of the Banks' Net Interest Margin

Financial Markets and Portfolio Management, Vol. 30(4), 371-396
Posted: 18 Nov 2016
Ramona Busch and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank

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Net interest margin, Credit risk, Term transformation, Liquidity and payment management

12.

Stock Indices: Which Asset Will Be the Dominant One?

U of Cologne, Finance Discussion Paper No. 2003-02
Number of pages: 6 Posted: 14 Jul 2003
Christoph Memmel
Deutsche Bundesbank
Downloads 138 (265,233)

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Laspeyres Stock Indices

13.

Relationship Lending: Empirical Evidence for Germany

Number of pages: 56 Posted: 08 Jun 2016
Christoph Memmel, Christian Schmieder and Ingrid Stein
Deutsche Bundesbank, International Monetary Fund (IMF) and Deutsche Bundesbank
Downloads 119 (296,227)

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Relationship banking, German banking system, SME

14.

Banks' Concentration Versus Diversification in the Loan Portfolio: New Evidence from Germany

Number of pages: 42 Posted: 21 Jun 2016
Nadya Jahn, Christoph Memmel and Andreas Pfingsten
Institut für Kreditwesen, Deutsche Bundesbank and University of Münster - Finance Center Münster
Downloads 111 (311,134)
Citation 1

Abstract:

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loan portfolio, credit risk, loan losses, concentration

Banks' Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence

Number of pages: 23 Posted: 11 Jul 2016
Christoph Memmel, Atilim Seymen and Max Teichert
Deutsche Bundesbank, Deutsche Bundesbank and University of Würzburg
Downloads 92 (354,889)

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banks' risk taking, exposure to interest rate risk, low interest rate environment

Banks‘ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence

German Economic Review, Vol. 19(3), 330-350
Posted: 10 Jul 2018
Christoph Memmel, Atilim Seymen and Max Teichert
Deutsche Bundesbank, Deutsche Bundesbank and University of Würzburg

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banks’ risk taking, exposure to interest rate risk, low interest rate

16.

Marrying and Breaking Up: Firms and their Relationship Lenders

Number of pages: 47 Posted: 11 Mar 2010 Last Revised: 01 Apr 2010
Deutsche Bundesbank, Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 84 (372,423)

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Relationship Lending, Creditor Concentration, Switching, SME, German Banking System

17.
Downloads 83 (375,065)
Citation 1

Why Do Banks Bear Interest Rate Risk?

Number of pages: 25 Posted: 08 Jan 2018
Christoph Memmel
Deutsche Bundesbank
Downloads 83 (378,593)
Citation 1

Abstract:

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interest rate risk, banks' business model, hedging

Why Do Banks Bear Interest Rate Risk?

Schmalenbach Business Review, Vol. 70(3), 231-253, July 2018
Posted: 13 Aug 2018
Christoph Memmel
Deutsche Bundesbank

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Interest Rate Risk, Banks’ Business Model, Hedging

Downloads 81 (384,265)
Citation 1

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interest rate risk, term transformation, interest income

Banks' Exposure to Interest Rate Risk, Their Earnings from Term Transformation, and the Dynamics of the Term Structure

Journal of Banking and Finance, Vol 35, pp. 282-289, 2011
Posted: 10 Sep 2010 Last Revised: 03 Dec 2010
Christoph Memmel
Deutsche Bundesbank

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Interest rate risk, Term transformation, Interest income

19.

Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany

Number of pages: 48 Posted: 08 Jun 2016
University of Passau, Deutsche Bundesbank, University of Augsburg and Barclays
Downloads 76 (394,718)

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German financial institutions, interest rate risk, accounting-based approach, maturity transformation, banking supervision, model evaluation

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Number of pages: 56 Posted: 21 Jun 2016
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg
Downloads 75 (401,930)
Citation 2

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Interest rate risk, Interest margins, Maturity transformation

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Journal of Banking and Finance, Vol. 54, 2015, pp. 1-19
Posted: 07 Jul 2012 Last Revised: 06 Feb 2015
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg

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term transformation, interest rate risk, optimal loan, deposit intermediation fees

21.

Interest and Credit Risk Management in German Banks: Evidence From a Quantitative Survey

Deutsche Bundesbank Discussion Paper No. 02/2020
Number of pages: 32 Posted: 26 Feb 2020
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 62 (439,922)

Abstract:

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net interest margin, bond portfolio, interest rate risk, credit risk

22.

Dominating Estimators for the Global Minimum Variance Portfolio

Number of pages: 44 Posted: 08 Jun 2016
Gabriel Frahm and Christoph Memmel
Helmut Schmidt University and Deutsche Bundesbank
Downloads 62 (439,922)

Abstract:

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Covariance matrix estimation, global minimum variance portfolio, James-Stein estimation, naive diversification, shrinkage estimator

The Dependency of the Banks' Assets and Liabilities: Evidence from Germany

Number of pages: 52 Posted: 08 Jun 2016
Christoph Memmel and Andrea Schertler
Deutsche Bundesbank and University of Graz
Downloads 49 (498,286)

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Asset-liability dependency, maturity, correlation analysis

The Dependency of the Banks' Assets and Liabilities: Evidence from Germany

European Financial Management, Vol. 18, Issue 4, pp. 602-619, 2012
Number of pages: 18 Posted: 23 Aug 2012
Christoph Memmel and Andrea Schertler
Deutsche Bundesbank and University of Graz
Downloads 1 (838,431)
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asset‐liability dependency, correlation analysis

Downloads 45 (516,855)

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Interest Rate Risk, Stress Testing

Which Interest Rate Scenario is the Worst One for a Bank? Evidence from a Tracking Bank Approach for German Savings and Cooperative Banks

International Journal of Banking, Accounting and Finance, Vol. 1, No. 1, pp. 85-104, 2008
Posted: 21 Sep 2008
Christoph Memmel
Deutsche Bundesbank

Abstract:

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Interest Rate Risk, Stress Testing

Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books: A Multivariate Nonparametric Approach

Number of pages: 56 Posted: 08 Jun 2016
Sandra Gaisser, Christoph Memmel, Rafael Schmidt and Carsten Wehn
affiliation not provided to SSRN, Deutsche Bundesbank, affiliation not provided to SSRN and Deutsche Bundesbank
Downloads 35 (568,863)

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Multivariate dependence modelling, multivariate Spearman's rho, time-varying copula, asymptotic test theory, hierarchical testing, control chart theory

Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books: A Multivariate Nonparametric Approach

Journal of Risk, Vol. 14, No. 1, pp. 3-40
Posted: 04 Nov 2011
Sandra Gaisser, Christoph Memmel, Rafael Schmidt and Carsten Wehn
affiliation not provided to SSRN, Deutsche Bundesbank, affiliation not provided to SSRN and Deutsche Bundesbank

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Market risk, portfolio

26.
Downloads 33 (566,664)
Citation 4

The Common Drivers of Default Risk

Number of pages: 36 Posted: 21 Jun 2016
Christoph Memmel, Yalin Gündüz and Peter Raupach
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Research Department
Downloads 33 (580,512)

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credit risk, systematic risk, maturity, stress tests

The Common Drivers of Default Risk

Journal of Financial Stability, Vol. 16, 232-247
Posted: 02 May 2014 Last Revised: 26 Mar 2015
Christoph Memmel, Yalin Gündüz and Peter Raupach
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Research Department

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Credit risk, Systematic risk, Maturity, Stress tests

Are Banks Using Hidden Reserves to Beat Earnings Benchmarks? Evidence from Germany

Number of pages: 68 Posted: 08 Jun 2016
University of Muenster - Finance Center Muenster, Deutsche Bundesbank, Deutsche Bundesbank and University of Münster - Finance Center Münster
Downloads 32 (586,400)
Citation 2

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Earnings management, Income smoothing, Hidden reserves, Prospect theory, Financial institution

Are Banks Using Hidden Reserves to Beat Earnings Benchmarks? Evidence from Germany

Journal of Banking and Finance, Vol. 36, No. 8, 2012
Posted: 18 Jun 2012
University of Muenster - Finance Center Muenster, Deutsche Bundesbank, Deutsche Bundesbank and University of Münster - Finance Center Münster

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Earnings management, commercial banking

28.

How Correlated are Changes in Banks' Net Interest Income and in Their Present Value?

Number of pages: 44 Posted: 08 Jun 2016
Christoph Memmel
Deutsche Bundesbank
Downloads 24 (621,928)

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Interest rate risk, term transformation, interest income, change in present value

29.

How Do Banks Adjust Their Capital Ratios? Evidence from Germany

Number of pages: 36 Posted: 08 Jun 2016
Christoph Memmel and Peter Raupach
Deutsche Bundesbank and Deutsche Bundesbank - Research Department
Downloads 22 (635,820)
Citation 1

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Regulatory bank capital, target capital ratio, partial adjustment, Ornstein-Uhlenbeck process

30.

Contagion at the Interbank Market with Stochastic Lgd

Number of pages: 44 Posted: 08 Jun 2016
Christoph Memmel, Angelika Sachs and Ingrid Stein
Deutsche Bundesbank, Ludwig Maximilian University of Munich (LMU) - Faculty of Economics and Deutsche Bundesbank
Downloads 20 (649,981)

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interbank market, contagion, stochastic LGD

31.

German Banks' Behavior in the Low Interest Rate Environment

Number of pages: 1 Posted: 13 Aug 2021
Ramona Busch, Helge Littke, Christoph Memmel and Simon Niederauer
Deutsche Bundesbank, Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 19 (657,163)

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32.

Assessing Contagion Risks from the CDS Market

ESRB: Occasional Paper Series No. 2013/04
Number of pages: 46 Posted: 05 Nov 2020
Princeton University - Department of Economics, Banque de France, affiliation not provided to SSRN, Banque de France, European Securities and Markets Authority, Deutsche Bundesbank, European Systemic Risk Board, Deutsche Bundesbank, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 14 (694,176)
Citation 3

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CDS, contagion, systemic risk, derivatives

33.

The Supervisor's Portfolio: The Market Price Risk of German Banks from 2001 to 2003 - Analysis and Models for Risk Aggregation

Number of pages: 40 Posted: 08 Jun 2016
Christoph Memmel and Carsten Wehn
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 11 (717,723)

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Value at Risk, portfolio, cross-correlation, market risk regulation, risk forecast, model validation

Contagion in the Interbank Market and its Determinants

Number of pages: 44 Posted: 08 Jun 2016
Christoph Memmel and Angelika Sachs
Deutsche Bundesbank and Ludwig Maximilian University of Munich (LMU) - Faculty of Economics
Downloads 10 (754,100)
Citation 4

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Interbank market, contagion, time dimension

Contagion in the Interbank Market and its Determinants

Journal of Financial Stability, Vol. 9, No. 1, 2013
Posted: 16 Feb 2013
Christoph Memmel and Angelika Sachs
Deutsche Bundesbank and Ludwig Maximilian University of Munich (LMU) - Faculty of Economics

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Interbank market, Contagion, Time dimension

35.

Banks' Credit Losses and Lending Dynamics

Number of pages: 48 Posted: 22 Nov 2021
Peter Raupach and Christoph Memmel
Deutsche Bundesbank - Research Department and Deutsche Bundesbank
Downloads 2 (790,093)

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Credit losses, Bank lending

36.

Interest and Credit Risk Management in German Banks

German Economic Review, vol. 22, no. 1, 2021, pp. 63-95. https://doi.org/10.1515/ger-2019-0114
Posted: 22 Mar 2021
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank

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Net interest margin, bond portfolio, interest rate risk, credit risk

37.

Banks’ Specialization Versus Diversification in the Loan Portfolio New Evidence from Germany

Schmalenbach Business Review (2016) 17:25–48
Posted: 12 May 2016
Nadya Jahn, Christoph Memmel and Andreas Pfingsten
Institut für Kreditwesen, Deutsche Bundesbank and University of Münster - Finance Center Münster

Abstract:

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Loan portfolio, Credit risk, Loan losses, Specialization

38.

Bank Management of the Net Interest Margin: New Measures

Financial Markets and Portfolio Management, Volume 27, Issue 3 (2013), Pages 275-297
Posted: 10 Jul 2013 Last Revised: 02 Aug 2013
Christoph Memmel and Andrea Schertler
Deutsche Bundesbank and University of Graz

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Net interest margin, Banking, Balance-sheet composition

39.

Contagion in the Interbank Market with Stochastic Loss Given Default

International Journal of Central Banking, Vol. 8 No. 3, 177-206, 2012
Posted: 22 Sep 2012
Christoph Memmel, Angelika Sachs and Ingrid Stein
Deutsche Bundesbank, Ludwig Maximilian University of Munich (LMU) - Faculty of Economics and Deutsche Bundesbank

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Interbank contagion, stochastic LGD

40.

Banks’ Interest Rate Risk: The Net Interest Income Perspective Versus the Market Value Perspective

Quantitative Finance, Vol. 14 (6), 1059-1068
Posted: 06 Dec 2011 Last Revised: 30 May 2014
Christoph Memmel
Deutsche Bundesbank

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Asset liability modelling, Fixed income, Interest rates, Empirical finance

41.

Dominating Estimators for Minimum-Variance Portfolios

Journal of Econometrics, Vol. 159, pp. 289-302, 2010
Posted: 20 Oct 2010
Gabriel Frahm and Christoph Memmel
Helmut Schmidt University and Deutsche Bundesbank

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Covariance Matrix Estimation, Minimum-Variance Portfolio, Stein Estimation, Naive Diversification, Shrinkage Estimator

42.

How Do Banks Adjust Their Capital Ratios?

Journal of Financial Intermediation, Vol. 19, No. 4, pp. 509-528, 2010
Posted: 16 Aug 2010 Last Revised: 19 Aug 2010
Christoph Memmel and Peter Raupach
Deutsche Bundesbank and Deutsche Bundesbank - Research Department

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Regulatory bank capital, Target capital ratio, Partial adjustment

43.

Supervisor's Portfolio: The Market Price Risk of German Banks from 2001 to 2004: Analysis and Models for Risk Aggregation

Journal of Banking Regulation, Vol. 7, pp. 310-325, 2006
Posted: 27 Oct 2008
Carsten Wehn and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank

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Value at Risk, German banks, risk aggregation

44.

Performance Hypothesis Testing with the Sharpe Ratio

Posted: 06 Jun 2003
Christoph Memmel
Deutsche Bundesbank

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Sharpe Ratio, Performance Hypothesis Testing