Christoph Memmel

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

39

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CITATIONS
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34

Scholarly Papers (39)

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 2,634 (4,454)
Citation 2

Abstract:

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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 1,343 (13,610)
Citation 14

Abstract:

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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 1,070 (19,261)
Citation 9

Abstract:

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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 629 (40,050)
Citation 11

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

Bundesbank Series 2 Discussion Paper No. 2007,05
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 80 (304,089)
Citation 2

Abstract:

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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 584 (44,883)

Abstract:

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

6.

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 International Monetary Fund
Downloads 225 (134,064)
Citation 2

Abstract:

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Relationship banking, German banking system

7.

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 133 (212,715)

Abstract:

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Laspeyres Stock Indices

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 128 (220,038)
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

9.

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 International Monetary Fund
Downloads 82 (296,875)

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

10.

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 81 (299,056)
Citation 2

Abstract:

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Relationship banking, German banking system, SME

11.

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 68 (330,273)

Abstract:

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

12.

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 Leuphana University of Lueneburg
Downloads 62 (346,424)

Abstract:

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net interest margin, banking, balance-sheet composition

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Bundesbank Discussion Paper No. 17/2012
Number of pages: 56 Posted: 21 Jun 2016
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg
Downloads 58 (363,226)
Citation 6

Abstract:

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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

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 57 (366,447)

Abstract:

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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

Abstract:

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

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 55 (372,984)

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

16.

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 54 (370,495)
Citation 1

Abstract:

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

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
University of Passau, Deutsche Bundesbank, University of Augsburg and Barclays
Downloads 54 (370,495)

Abstract:

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

18.

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 51 (380,017)

Abstract:

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loan portfolio, credit risk, loan losses, concentration

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 47 (400,633)
Citation 16

Abstract:

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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

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 36 (444,946)
Citation 3

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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

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 30 (473,382)

Abstract:

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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

Abstract:

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Market risk, portfolio

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 27 (489,595)

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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

23.
Downloads 25 (486,855)
Citation 2

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 25 (501,426)
Citation 5

Abstract:

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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

Abstract:

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Credit risk, Systematic risk, Maturity, Stress tests

24.

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 19 (520,788)

Abstract:

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

25.

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 18 (526,610)

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

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
University of Muenster - Finance Center Muenster, Deutsche Bundesbank, Deutsche Bundesbank and University of Münster - Finance Center Münster
Downloads 17 (551,911)
Citation 11

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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

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 Leuphana University of Lueneburg
Downloads 16 (558,214)

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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 Leuphana University of Lueneburg
Downloads 0
Citation 5
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asset‐liability dependency, correlation analysis

28.

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 - Faculty of Economics and Deutsche Bundesbank
Downloads 14 (549,912)
Citation 4

Abstract:

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interbank market, contagion, stochastic LGD

29.

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 13 (555,841)
Citation 35

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

30.

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 7 (592,904)

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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

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 - Faculty of Economics
Downloads 6 (633,146)
Citation 13

Abstract:

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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 - Faculty of Economics

Abstract:

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Interbank market, Contagion, Time dimension

32.

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

33.

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 Leuphana University of Lueneburg

Abstract:

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Net interest margin, Banking, Balance-sheet composition

34.

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 - Faculty of Economics and Deutsche Bundesbank

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Interbank contagion, stochastic LGD

35.

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

36.

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

37.

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

38.

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

39.

Performance Hypothesis Testing with the Sharpe Ratio

Finance Letters, Vol. 1, No. 1, 2003
Posted: 06 Jun 2003
Christoph Memmel
Deutsche Bundesbank

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Sharpe Ratio, Performance Hypothesis Testing