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Details about Christoph Memmel

Workplace:Deutsche Bundesbank (German Federal Bank), (more information at EDIRC)

Access statistics for papers by Christoph Memmel.

Last updated 2023-10-09. Update your information in the RePEc Author Service.

Short-id: pme230


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Working Papers

2024

  1. How good are banks' forecasts?
    Discussion Papers, Deutsche Bundesbank Downloads
    See also Journal Article How good are banks’ forecasts?, International Review of Financial Analysis, Elsevier (2024) Downloads (2024)

2023

  1. Abschätzung des Zinseinkommens der Banken in Deutschland
    Technical Papers, Deutsche Bundesbank Downloads
  2. Banks' net interest margin and changes in the term structure
    Discussion Papers, Deutsche Bundesbank Downloads

2021

  1. Banks' credit losses and lending dynamics
    Discussion Papers, Deutsche Bundesbank Downloads
  2. German banks' behavior in the low interest rate environment
    Discussion Papers, Deutsche Bundesbank Downloads View citations (1)
    See also Journal Article German banks’ behavior in the low interest rate environment, Financial Markets and Portfolio Management, Springer (2022) Downloads (2022)
  3. Risiken im Unternehmenskreditgeschäft inländischer Banken
    (Risks in domestic banks' corporate lending business)
    Technical Papers, Deutsche Bundesbank Downloads View citations (3)
  4. Risks in domestic banks' corporate lending business
    Technical Papers, Deutsche Bundesbank Downloads
  5. Why are interest rates on bank deposits so low?
    Discussion Papers, Deutsche Bundesbank Downloads View citations (2)

2020

  1. Interest and credit risk management in German banks: Evidence from a quantitative survey
    Discussion Papers, Deutsche Bundesbank Downloads
    See also Journal Article Interest and credit risk management in German banks: Evidence from a quantitative survey, German Economic Review, De Gruyter (2021) Downloads View citations (5) (2021)

2019

  1. What drives the short-term fluctuations of banks' exposure to interest rate risk?
    Discussion Papers, Deutsche Bundesbank Downloads
    See also Journal Article What drives the short‐term fluctuations of banks' exposure to interest rate risk?, Review of Financial Economics, John Wiley & Sons (2020) Downloads View citations (1) (2020)

2017

  1. Bank stress testing under different balance sheet assumptions
    Discussion Papers, Deutsche Bundesbank Downloads View citations (6)
  2. Why do banks bear interest rate risk?
    Discussion Papers, Deutsche Bundesbank Downloads
    See also Journal Article Why Do Banks Bear Interest Rate Risk?, Schmalenbach Business Review, Springer (2018) Downloads View citations (5) (2018)

2016

  1. Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence
    Discussion Papers, Deutsche Bundesbank Downloads View citations (3)
    See also Journal Article Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence, German Economic Review, Verein für Socialpolitik (2018) Downloads View citations (4) (2018)

2015

  1. Banks Net Interest Margin and the Level of Interest Rates
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads View citations (33)
    Also in Discussion Papers, Deutsche Bundesbank (2015) Downloads View citations (19)

2014

  1. Quantifying the components of the banks' net interest margin
    Discussion Papers, Deutsche Bundesbank Downloads
    See also Journal Article Quantifying the components of the banks’ net interest margin, Financial Markets and Portfolio Management, Springer (2016) Downloads View citations (8) (2016)

2013

  1. Banks' concentration versus diversification in the loan portfolio: New evidence from Germany
    Discussion Papers, Deutsche Bundesbank Downloads View citations (6)

2012

  1. Determinants of bank interest margins: Impact of maturity transformation
    Discussion Papers, Deutsche Bundesbank Downloads View citations (16)
    See also Journal Article Determinants of bank interest margins: Impact of maturity transformation, Journal of Banking & Finance, Elsevier (2015) Downloads View citations (54) (2015)
  2. The common drivers of default risk
    Discussion Papers, Deutsche Bundesbank Downloads View citations (3)
    See also Journal Article The common drivers of default risk, Journal of Financial Stability, Elsevier (2015) Downloads View citations (18) (2015)

2011

  1. Banks' management of the net interest margin: Evidence from Germany
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (6)
  2. Contagion at the interbank market with stochastic LGD
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (6)
  3. Contagion in the interbank market and its determinants
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (5)
    See also Journal Article Contagion in the interbank market and its determinants, Journal of Financial Stability, Elsevier (2013) Downloads View citations (43) (2013)

2010

  1. Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (6)
    See also Journal Article Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany, Journal of Banking & Finance, Elsevier (2012) Downloads View citations (29) (2012)
  2. Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (5)
    See also Journal Article Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure, Journal of Banking & Finance, Elsevier (2011) Downloads View citations (36) (2011)
  3. Dominating Estimators for Minimum-Variance Portfolios
    Post-Print, HAL Downloads View citations (69)
    See also Journal Article Dominating estimators for minimum-variance portfolios, Journal of Econometrics, Elsevier (2010) Downloads View citations (72) (2010)
  4. How correlated are changes in banks' net interest income and in their present value?
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads

2009

  1. Dominating estimators for the global minimum variance portfolio
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (4)
    Also in Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics (2008) Downloads
  2. The dependency of the banks' assets and liabilities: evidence from Germany
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (13)
    See also Journal Article The Dependency of the Banks' Assets and Liabilities: Evidence from Germany, European Financial Management, European Financial Management Association (2012) Downloads View citations (12) (2012)
  3. Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads

2008

  1. Analyzing the interest rate risk of banks using time series of accounting-based data: evidence from Germany
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (12)
  2. RELATIONSHIP LENDING - EMPIRICAL EVIDENCE FOR GERMANY
    Economic and Financial Reports, European Investment Bank, Economics Department Downloads View citations (8)
    Also in Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank (2007) Downloads View citations (26)
  3. Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (20)
    See also Journal Article 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, Inderscience Enterprises Ltd (2008) Downloads View citations (21) (2008)

2007

  1. Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (26)
  2. How do banks adjust their capital ratios? Evidence from Germany
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (3)

2005

  1. On the estimation of the global minimum variance portfolio
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads View citations (3)
  2. The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (1)

Journal Articles

2024

  1. How good are banks’ forecasts?
    International Review of Financial Analysis, 2024, 95, (PC) Downloads
    See also Working Paper How good are banks' forecasts?, Discussion Papers (2024) Downloads (2024)

2022

  1. German banks’ behavior in the low interest rate environment
    Financial Markets and Portfolio Management, 2022, 36, (3), 267-296 Downloads
    See also Working Paper German banks' behavior in the low interest rate environment, Discussion Papers (2021) Downloads View citations (1) (2021)

2021

  1. Interest and credit risk management in German banks: Evidence from a quantitative survey
    German Economic Review, 2021, 22, (1), 63-95 Downloads View citations (5)
    See also Working Paper Interest and credit risk management in German banks: Evidence from a quantitative survey, Discussion Papers (2020) Downloads (2020)

2020

  1. What drives the short‐term fluctuations of banks' exposure to interest rate risk?
    Review of Financial Economics, 2020, 38, (4), 674-686 Downloads View citations (1)
    See also Working Paper What drives the short-term fluctuations of banks' exposure to interest rate risk?, Discussion Papers (2019) Downloads (2019)

2018

  1. Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence
    German Economic Review, 2018, 19, (3), 330-350 Downloads View citations (4)
    Also in German Economic Review, 2018, 19, (3), 330-350 (2018) Downloads View citations (2)

    See also Working Paper Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence, Discussion Papers (2016) Downloads View citations (3) (2016)
  2. Why Do Banks Bear Interest Rate Risk?
    Schmalenbach Business Review, 2018, 70, (3), 231-253 Downloads View citations (5)
    See also Working Paper Why do banks bear interest rate risk?, Discussion Papers (2017) Downloads (2017)

2016

  1. Banks’ Specialization versus Diversification in the Loan Portfolio
    Schmalenbach Business Review, 2016, 17, (1), 25-48 Downloads View citations (3)
  2. Quantifying the components of the banks’ net interest margin
    Financial Markets and Portfolio Management, 2016, 30, (4), 371-396 Downloads View citations (8)
    See also Working Paper Quantifying the components of the banks' net interest margin, Discussion Papers (2014) Downloads (2014)

2015

  1. Determinants of bank interest margins: Impact of maturity transformation
    Journal of Banking & Finance, 2015, 54, (C), 1-19 Downloads View citations (54)
    See also Working Paper Determinants of bank interest margins: Impact of maturity transformation, Discussion Papers (2012) Downloads View citations (16) (2012)
  2. The common drivers of default risk
    Journal of Financial Stability, 2015, 16, (C), 232-247 Downloads View citations (18)
    See also Working Paper The common drivers of default risk, Discussion Papers (2012) Downloads View citations (3) (2012)

2014

  1. Banks' interest rate risk: the net interest income perspective versus the market value perspective
    Quantitative Finance, 2014, 14, (6), 1059-1068 Downloads View citations (9)

2013

  1. Bank management of the net interest margin: new measures
    Financial Markets and Portfolio Management, 2013, 27, (3), 275-297 Downloads View citations (9)
  2. Contagion in the interbank market and its determinants
    Journal of Financial Stability, 2013, 9, (1), 46-54 Downloads View citations (43)
    See also Working Paper Contagion in the interbank market and its determinants, Discussion Paper Series 2: Banking and Financial Studies (2011) Downloads View citations (5) (2011)

2012

  1. Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany
    Journal of Banking & Finance, 2012, 36, (8), 2403-2415 Downloads View citations (29)
    See also Working Paper Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany, Discussion Paper Series 2: Banking and Financial Studies (2010) Downloads View citations (6) (2010)
  2. Contagion in the Interbank Market with Stochastic Loss Given Default
    International Journal of Central Banking, 2012, 8, (3), 177-206 Downloads View citations (20)
  3. The Dependency of the Banks' Assets and Liabilities: Evidence from Germany
    European Financial Management, 2012, 18, (4), 602-619 Downloads View citations (12)
    See also Working Paper The dependency of the banks' assets and liabilities: evidence from Germany, Discussion Paper Series 2: Banking and Financial Studies (2009) Downloads View citations (13) (2009)

2011

  1. Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure
    Journal of Banking & Finance, 2011, 35, (2), 282-289 Downloads View citations (36)
    See also Working Paper Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure, Discussion Paper Series 2: Banking and Financial Studies (2010) Downloads View citations (5) (2010)

2010

  1. Dominating estimators for minimum-variance portfolios
    Journal of Econometrics, 2010, 159, (2), 289-302 Downloads View citations (72)
    See also Working Paper Dominating Estimators for Minimum-Variance Portfolios, Post-Print (2010) Downloads View citations (69) (2010)
  2. How do banks adjust their capital ratios?
    Journal of Financial Intermediation, 2010, 19, (4), 509-528 Downloads View citations (64)

2008

  1. European Data Watch: The Deutsche Bundesbank’s prudential database (BAKIS)
    Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, 2008, 128, (2), 321-328
  2. 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, 2008, 1, (1), 85-104 Downloads View citations (21)
    See also Working Paper Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks, Discussion Paper Series 2: Banking and Financial Studies (2008) Downloads View citations (20) (2008)

2006

  1. Estimating the global Minimum Variance Portfolio
    Schmalenbach Business Review (sbr), 2006, 58, (4), 332-348 Downloads View citations (64)

Chapters

2007

  1. A New Methodology to Derive a Bank’s Maturity Structure Using Accounting-Based Time Series Information
    Springer
 
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