Christoph Memmel

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

  • Deutsche Bundesbank

SCHOLARLY PAPERS

49

DOWNLOADS
Rank 7,035

SSRN RANKINGS

Top 7,035

in Total Papers Downloads

12,897

TOTAL CITATIONS
Rank 10,542

SSRN RANKINGS

Top 10,542

in Total Papers Citations

107

Scholarly Papers (49)

Actions:
Email selected abstracts
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 2,906 (9,459)
Citation 2

Abstract:

Loading...

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 1,797 (20,428)
Citation 7

Abstract:

Loading...

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
Oliver Entrop, Christoph Memmel, Marco Wilkens and Alexander Zeisler
University of Passau, Deutsche Bundesbank, University of Augsburg and affiliation not provided to SSRN
Downloads 1,170 (38,655)
Citation 7

Abstract:

Loading...

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

4.

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

Downloads 1,083 (43,320)
Citation 19

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
Andreas Kamp, Andreas Pfingsten, Christoph Memmel and Andreas Behr
University of Muenster - Finance Center, University of Münster - Finance Center Münster, Deutsche Bundesbank and University of Münster - Faculty of Economics
Downloads 729 (73,162)
Citation 13

Abstract:

Loading...

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

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

Bundesbank Series 2 Discussion Paper No. 2007,05
Number of pages: 44 Posted: 08 Jun 2016
Andreas Behr, Andreas Kamp, Christoph Memmel and Andreas Pfingsten
University of Münster - Faculty of Economics, University of Muenster - Finance Center, Deutsche Bundesbank and University of Münster - Finance Center Münster
Downloads 354 (176,508)
Citation 6

Abstract:

Loading...

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

5.

Banks' Net Interest Margin and the Level of Interest Rates

Downloads 936 (53,063)
Citation 1

Banks' Net Interest Margin and the Level of Interest Rates

Bundesbank Discussion Paper No. 16/2015
Number of pages: 26 Posted: 21 Jun 2016
Ramona Busch and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 936 (52,211)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

Net interest margin, level of interest rates

6.

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 807 (65,003)

Abstract:

Loading...

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

7.

Relationship Banking and Financing Costs - Empirical Evidence for Germany

Number of pages: 27 Posted: 04 Mar 2007
Christoph Memmel, Ingrid Stein and Christian Schmieder
Deutsche Bundesbank, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 338 (187,283)
Citation 2

Abstract:

Loading...

Relationship banking, German banking system

8.

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

Bundesbank Discussion Paper No. 53/2013
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 329 (193,431)
Citation 1

Abstract:

Loading...

loan portfolio, credit risk, loan losses, concentration

9.

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

Bundesbank Series 2 Discussion Paper No. 2011,13
Number of pages: 48 Posted: 08 Jun 2016
Christoph Memmel and Andrea Schertler
Deutsche Bundesbank and University of Graz
Downloads 297 (215,003)

Abstract:

Loading...

net interest margin, banking, balance-sheet composition

10.

Bank Stress Testing Under Different Balance Sheet Assumptions

Bundesbank Discussion Paper No. 07/2017
Number of pages: 29 Posted: 24 Apr 2017
Ramona Busch, Christian Drescher and Christoph Memmel
Deutsche Bundesbank, University of Bayreuth and Deutsche Bundesbank
Downloads 208 (306,188)
Citation 4

Abstract:

Loading...

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

11.

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
Vanessa Drager, Lotta Heckmann-Draisbach and Christoph Memmel
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 206 (308,998)
Citation 4

Abstract:

Loading...

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

12.

Quantifying the Components of the Banks' Net Interest Margin

Downloads 198 (320,605)

Quantifying the Components of the Banks' Net Interest Margin

Bundesbank Discussion Paper No. 15/2014
Number of pages: 38 Posted: 21 Jun 2016
Ramona Busch and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 198 (319,467)

Abstract:

Loading...

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

Abstract:

Loading...

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

13.

Relationship Lending: Empirical Evidence for Germany

Bundesbank Series 2 Discussion Paper No. 2007,14
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 195 (325,052)
Citation 11

Abstract:

Loading...

Relationship banking, German banking system, SME

14.

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

Downloads 188 (336,215)
Citation 3

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

Deutsche Bundesbank Discussion Paper No. 05/2019
Number of pages: 26 Posted: 25 Feb 2019
Christoph Memmel
Deutsche Bundesbank
Downloads 188 (335,310)
Citation 3

Abstract:

Loading...

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

Abstract:

Loading...

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

15.

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 157 (393,841)

Abstract:

Loading...

Laspeyres Stock Indices

16.

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Downloads 156 (396,007)
Citation 10

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Bundesbank Discussion Paper No. 17/2012
Number of pages: 56 Posted: 21 Jun 2016
Oliver Entrop, Christoph Memmel, Benedikt Ruprecht and Marco Wilkens
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg
Downloads 156 (395,988)
Citation 10

Abstract:

Loading...

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
Oliver Entrop, Christoph Memmel, Benedikt Ruprecht and Marco Wilkens
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg

Abstract:

Loading...

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

17.

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

Bundesbank Series 2 Discussion Paper No. 2008,01
Number of pages: 48 Posted: 08 Jun 2016
Oliver Entrop, Christoph Memmel, Marco Wilkens and Alexander Zeisler
University of Passau, Deutsche Bundesbank, University of Augsburg and affiliation not provided to SSRN
Downloads 144 (422,698)

Abstract:

Loading...

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

18.

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

Bundesbank Series 2 Discussion Paper No. 2009,14
Number of pages: 52 Posted: 08 Jun 2016
Christoph Memmel and Andrea Schertler
Deutsche Bundesbank and University of Graz
Downloads 127 (466,937)

Abstract:

Loading...

Asset-liability dependency, maturity, correlation analysis

19.

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

Downloads 127 (466,937)
Citation 1

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

Bundesbank Series 2 Discussion Paper No. 2010,07
Number of pages: 40 Posted: 08 Jun 2016
Christoph Memmel
Deutsche Bundesbank
Downloads 127 (468,734)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

Interest rate risk, Term transformation, Interest income

20.

Assessing Contagion Risks from the CDS Market

ESRB: Occasional Paper Series No. 2013/04
Number of pages: 46 Posted: 05 Nov 2020
Markus K. Brunnermeier, Laurent Clerc, Yanis El Omari, Silvia Gabrieli, Steffen Kern, Christoph Memmel, Tuomas Peltonen, Natalia Podlich, Martin Scheicher and Guillaume Vuillemey
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 125 (472,753)
Citation 8

Abstract:

Loading...

CDS, contagion, systemic risk, derivatives

21.

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

Downloads 122 (481,827)

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

Bundesbank Discussion Paper No. 22/2016
Number of pages: 23 Posted: 11 Jul 2016
Christoph Memmel, Atilim Seymen and Max Teichert
Deutsche Bundesbank, Deutsche Bundesbank and University of Würzburg
Downloads 122 (484,058)

Abstract:

Loading...

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

Abstract:

Loading...

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

22.

Dominating Estimators for the Global Minimum Variance Portfolio

Bundesbank Series 2 Discussion Paper No. 2009,01
Number of pages: 44 Posted: 08 Jun 2016
Gabriel Frahm and Christoph Memmel
Helmut Schmidt University and Deutsche Bundesbank
Downloads 122 (481,827)
Citation 2

Abstract:

Loading...

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

23.

Why Do Banks Bear Interest Rate Risk?

Downloads 121 (484,916)
Citation 3

Why Do Banks Bear Interest Rate Risk?

Bundesbank Discussion Paper No. 35/2017
Number of pages: 25 Posted: 08 Jan 2018
Christoph Memmel
Deutsche Bundesbank
Downloads 121 (487,238)
Citation 3

Abstract:

Loading...

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

Abstract:

Loading...

Interest Rate Risk, Banks’ Business Model, Hedging

24.

Marrying and Breaking Up: Firms and their Relationship Lenders

Number of pages: 47 Posted: 11 Mar 2010 Last Revised: 01 Apr 2010
Ingrid Stein, Christoph Memmel and Christian Schmieder
Deutsche Bundesbank, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 115 (503,970)

Abstract:

Loading...

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

25.

The Common Drivers of Default Risk

Downloads 113 (510,593)

The Common Drivers of Default Risk

Bundesbank Discussion Paper No. 36/2012
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 113 (513,898)

Abstract:

Loading...

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

Abstract:

Loading...

Credit risk, Systematic risk, Maturity, Stress tests

26.

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

Downloads 83 (626,590)

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

Bundesbank Series 2 Discussion Paper No. 2008,07
Number of pages: 40 Posted: 08 Jun 2016
Christoph Memmel
Deutsche Bundesbank
Downloads 83 (634,851)

Abstract:

Loading...

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:

Loading...

Interest Rate Risk, Stress Testing

27.

How Do Banks Adjust Their Capital Ratios? Evidence from Germany

Bundesbank Series 2 Discussion Paper No. 2007,06
Number of pages: 36 Posted: 08 Jun 2016
Christoph Memmel and Peter Raupach
Deutsche Bundesbank and Deutsche Bundesbank - Research Department
Downloads 82 (631,007)
Citation 1

Abstract:

Loading...

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

28.

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

Downloads 78 (649,147)
Citation 4

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

Bundesbank Series 2 Discussion Paper No. 2010,13
Number of pages: 68 Posted: 08 Jun 2016
Sven Bornemann, Thomas K. Kick, Christoph Memmel and Andreas Pfingsten
University of Münster - Finance Center Muenster, Deutsche Bundesbank, Deutsche Bundesbank and University of Münster - Finance Center Münster
Downloads 78 (658,558)
Citation 4

Abstract:

Loading...

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
Sven Bornemann, Thomas K. Kick, Christoph Memmel and Andreas Pfingsten
University of Münster - Finance Center Muenster, Deutsche Bundesbank, Deutsche Bundesbank and University of Münster - Finance Center Münster

Abstract:

Loading...

Earnings management, commercial banking

29.

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

Downloads 75 (663,292)
Citation 1

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

Bundesbank Series 2 Discussion Paper No. 2009,07
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 75 (673,444)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

Market risk, portfolio

30.

Banks' Net Interest Margin and Changes in the Term Structure

Deutsche Bundesbank Discussion Paper No. 11/2023
Number of pages: 31 Posted: 11 Aug 2023
Christoph Memmel and Lotta Heckmann-Draisbach
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 67 (704,393)

Abstract:

Loading...

Banks' net interest margin, Term Structure of Interest Rates

31.

How Good Are Banks‘ Forecasts?

Deutsche Bundesbank Discussion Paper No. 03/2024
Number of pages: 31 Posted: 01 Mar 2024
Lotta Heckmann-Draisbach and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 64 (721,056)

Abstract:

Loading...

Forecasts, Banks, Quantitative Survey (LIRES)

32.

Why are Interest Rates on Bank Deposits So Low?

Downloads 60 (744,418)
Citation 3

Why are Interest Rates on Bank Deposits So Low?

Deutsche Bundesbank Discussion Paper No. 46/2021
Number of pages: 28 Posted: 22 Dec 2021
Ramona Busch and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 60 (759,130)
Citation 3

Abstract:

Loading...

Pass through, bank deposits, replicating portfolio approach

Why Are Interest Rates on Bank Deposits so Low?

Credit and Capital Markets, Volume 54, Issue 4, pp. 641– 668
Posted: 10 Mar 2022
Ramona Busch and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank

Abstract:

Loading...

Pass through, bank deposits, replicating portfolio approach

33.

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

Bundesbank Series 2 Discussion Paper No. 2010,14
Number of pages: 44 Posted: 08 Jun 2016
Christoph Memmel
Deutsche Bundesbank
Downloads 56 (769,722)

Abstract:

Loading...

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

34.

Contagion at the Interbank Market with Stochastic Lgd

Bundesbank Series 2 Discussion Paper No. 2011,06
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 55 (776,213)
Citation 2

Abstract:

Loading...

interbank market, contagion, stochastic LGD

35.

German Banks' Behavior in the Low Interest Rate Environment

Deutsche Bundesbank Discussion Paper No. 23/2021
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 47 (833,510)
Citation 3

Abstract:

Loading...

36.

Contagion in the Interbank Market and its Determinants

Downloads 44 (857,424)
Citation 8

Contagion in the Interbank Market and its Determinants

Bundesbank Series 2 Discussion Paper No. 2011,17
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 44 (878,419)
Citation 8

Abstract:

Loading...

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

Abstract:

Loading...

Interbank market, Contagion, Time dimension

37.

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

Bundesbank Series 2 Discussion Paper No. 2005,02
Number of pages: 40 Posted: 08 Jun 2016
Christoph Memmel and Carsten Wehn
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 39 (900,346)

Abstract:

Loading...

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

38.

Banks' Credit Losses and Lending Dynamics

Deutsche Bundesbank Discussion Paper No. 36/2021
Number of pages: 48 Posted: 22 Nov 2021
Peter Raupach and Christoph Memmel
Deutsche Bundesbank - Research Department and Deutsche Bundesbank
Downloads 36 (928,125)

Abstract:

Loading...

Credit losses, Bank lending

39.

Banks’ Credit Losses and Lending Dynamics

Number of pages: 50 Posted: 11 Apr 2023
Peter Raupach and Christoph Memmel
Deutsche Bundesbank - Research Department and Deutsche Bundesbank
Downloads 24 (1,056,033)

Abstract:

Loading...

Credit losses, Bank lending

40.

How Good are Banks' Forecasts?

Posted: 19 Sep 2024
Lotta Heckmann-Draisbach and Christoph Memmel
Deutsche Bundesbank and Deutsche Bundesbank

Abstract:

Loading...

41.

German Banks’ Behavior in the Low Interest Rate Environment

Financ Mark Portf Manag 36, 267–296 (2022).
Posted: 24 Oct 2022
Ramona Busch, Helge Littke, Christoph Memmel and Simon Niederauer
Deutsche Bundesbank, Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank

Abstract:

Loading...

Banks’ net interest margin, Fee and commission income, Low interest rate environment, Risk-taking, Administrative costs

42.

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
Vanessa Drager, Lotta Heckmann-Draisbach and Christoph Memmel
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank

Abstract:

Loading...

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

43.

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:

Loading...

Loan portfolio, Credit risk, Loan losses, Specialization

44.

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

Abstract:

Loading...

Net interest margin, Banking, Balance-sheet composition

45.

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

Abstract:

Loading...

Interbank contagion, stochastic LGD

46.

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

Abstract:

Loading...

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

47.

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

Abstract:

Loading...

Regulatory bank capital, Target capital ratio, Partial adjustment

48.

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

Abstract:

Loading...

Value at Risk, German banks, risk aggregation

49.

Performance Hypothesis Testing with the Sharpe Ratio

Posted: 06 Jun 2003
Christoph Memmel
Deutsche Bundesbank

Abstract:

Loading...

Sharpe Ratio, Performance Hypothesis Testing