Details about Christoph Memmel
Access statistics for papers by Christoph Memmel.
Last updated 2025-04-11. Update your information in the RePEc Author Service.
Short-id: pme230
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Working Papers
2024
- How good are banks' forecasts?
Discussion Papers, Deutsche Bundesbank 
See also Journal Article How good are banks’ forecasts?, International Review of Financial Analysis, Elsevier (2024) (2024)
- Technische Dokumentation zur Analyse der Änderung des Zinsergebnisses
Technical Papers, Deutsche Bundesbank
2023
- Abschätzung des Zinseinkommens der Banken in Deutschland
Technical Papers, Deutsche Bundesbank
- Banks' net interest margin and changes in the term structure
Discussion Papers, Deutsche Bundesbank
2021
- Banks' credit losses and lending dynamics
Discussion Papers, Deutsche Bundesbank
- German banks' behavior in the low interest rate environment
Discussion Papers, Deutsche Bundesbank View citations (1)
See also Journal Article German banks’ behavior in the low interest rate environment, Financial Markets and Portfolio Management, Springer (2022) (2022)
- Risiken im Unternehmenskreditgeschäft inländischer Banken
(Risks in domestic banks' corporate lending business)
Technical Papers, Deutsche Bundesbank View citations (3)
- Risks in domestic banks' corporate lending business
Technical Papers, Deutsche Bundesbank
- Why are interest rates on bank deposits so low?
Discussion Papers, Deutsche Bundesbank View citations (2)
2020
- Interest and credit risk management in German banks: Evidence from a quantitative survey
Discussion Papers, Deutsche Bundesbank
See also Journal Article Interest and credit risk management in German banks: Evidence from a quantitative survey, German Economic Review, De Gruyter (2021) View citations (5) (2021)
2019
- What drives the short-term fluctuations of banks' exposure to interest rate risk?
Discussion Papers, Deutsche Bundesbank
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) View citations (1) (2020)
2017
- Bank stress testing under different balance sheet assumptions
Discussion Papers, Deutsche Bundesbank View citations (6)
- Why do banks bear interest rate risk?
Discussion Papers, Deutsche Bundesbank
See also Journal Article Why Do Banks Bear Interest Rate Risk?, Schmalenbach Business Review, Springer (2018) View citations (5) (2018)
2016
- Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence
Discussion Papers, Deutsche Bundesbank 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, De Gruyter (2018) View citations (2) (2018)
2015
- 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 View citations (33)
Also in Discussion Papers, Deutsche Bundesbank (2015) View citations (19)
2014
- Quantifying the components of the banks' net interest margin
Discussion Papers, Deutsche Bundesbank
See also Journal Article Quantifying the components of the banks’ net interest margin, Financial Markets and Portfolio Management, Springer (2016) View citations (8) (2016)
2013
- Banks' concentration versus diversification in the loan portfolio: New evidence from Germany
Discussion Papers, Deutsche Bundesbank View citations (6)
2012
- Determinants of bank interest margins: Impact of maturity transformation
Discussion Papers, Deutsche Bundesbank View citations (16)
See also Journal Article Determinants of bank interest margins: Impact of maturity transformation, Journal of Banking & Finance, Elsevier (2015) View citations (54) (2015)
- The common drivers of default risk
Discussion Papers, Deutsche Bundesbank View citations (3)
See also Journal Article The common drivers of default risk, Journal of Financial Stability, Elsevier (2015) View citations (18) (2015)
2011
- Banks' management of the net interest margin: Evidence from Germany
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (6)
- Contagion at the interbank market with stochastic LGD
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (6)
- Contagion in the interbank market and its determinants
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (5)
See also Journal Article Contagion in the interbank market and its determinants, Journal of Financial Stability, Elsevier (2013) View citations (43) (2013)
2010
- Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank 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) View citations (29) (2012)
- 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 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) View citations (36) (2011)
- Dominating Estimators for Minimum-Variance Portfolios
Post-Print, HAL View citations (69)
See also Journal Article Dominating estimators for minimum-variance portfolios, Journal of Econometrics, Elsevier (2010) View citations (72) (2010)
- How correlated are changes in banks' net interest income and in their present value?
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
2009
- Dominating estimators for the global minimum variance portfolio
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (4)
Also in Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics (2008)
- The dependency of the banks' assets and liabilities: evidence from Germany
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank 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) View citations (12) (2012)
- 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
2008
- 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 View citations (12)
- RELATIONSHIP LENDING - EMPIRICAL EVIDENCE FOR GERMANY
Economic and Financial Reports, European Investment Bank, Economics Department View citations (8)
Also in Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank (2007) View citations (26)
- 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 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) View citations (21) (2008)
2007
- Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (26)
- How do banks adjust their capital ratios? Evidence from Germany
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (3)
2005
- On the estimation of the global minimum variance portfolio
CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (3)
- 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 View citations (1)
Journal Articles
2024
- How good are banks’ forecasts?
International Review of Financial Analysis, 2024, 95, (PC)
See also Working Paper How good are banks' forecasts?, Discussion Papers (2024) (2024)
2022
- German banks’ behavior in the low interest rate environment
Financial Markets and Portfolio Management, 2022, 36, (3), 267-296
See also Working Paper German banks' behavior in the low interest rate environment, Discussion Papers (2021) View citations (1) (2021)
2021
- Interest and credit risk management in German banks: Evidence from a quantitative survey
German Economic Review, 2021, 22, (1), 63-95 View citations (5)
See also Working Paper Interest and credit risk management in German banks: Evidence from a quantitative survey, Discussion Papers (2020) (2020)
2020
- What drives the short‐term fluctuations of banks' exposure to interest rate risk?
Review of Financial Economics, 2020, 38, (4), 674-686 View citations (1)
See also Working Paper What drives the short-term fluctuations of banks' exposure to interest rate risk?, Discussion Papers (2019) (2019)
2018
- Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence
German Economic Review, 2018, 19, (3), 330-350 View citations (2)
Also in German Economic Review, 2018, 19, (3), 330-350 (2018) View citations (4)
See also Working Paper Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence, Discussion Papers (2016) View citations (3) (2016)
- Why Do Banks Bear Interest Rate Risk?
Schmalenbach Business Review, 2018, 70, (3), 231-253 View citations (5)
See also Working Paper Why do banks bear interest rate risk?, Discussion Papers (2017) (2017)
2016
- Banks’ Specialization versus Diversification in the Loan Portfolio
Schmalenbach Business Review, 2016, 17, (1), 25-48 View citations (3)
- Quantifying the components of the banks’ net interest margin
Financial Markets and Portfolio Management, 2016, 30, (4), 371-396 View citations (8)
See also Working Paper Quantifying the components of the banks' net interest margin, Discussion Papers (2014) (2014)
2015
- Determinants of bank interest margins: Impact of maturity transformation
Journal of Banking & Finance, 2015, 54, (C), 1-19 View citations (54)
See also Working Paper Determinants of bank interest margins: Impact of maturity transformation, Discussion Papers (2012) View citations (16) (2012)
- The common drivers of default risk
Journal of Financial Stability, 2015, 16, (C), 232-247 View citations (18)
See also Working Paper The common drivers of default risk, Discussion Papers (2012) View citations (3) (2012)
2014
- Banks' interest rate risk: the net interest income perspective versus the market value perspective
Quantitative Finance, 2014, 14, (6), 1059-1068 View citations (9)
2013
- Bank management of the net interest margin: new measures
Financial Markets and Portfolio Management, 2013, 27, (3), 275-297 View citations (9)
- Contagion in the interbank market and its determinants
Journal of Financial Stability, 2013, 9, (1), 46-54 View citations (43)
See also Working Paper Contagion in the interbank market and its determinants, Discussion Paper Series 2: Banking and Financial Studies (2011) View citations (5) (2011)
2012
- Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany
Journal of Banking & Finance, 2012, 36, (8), 2403-2415 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) View citations (6) (2010)
- Contagion in the Interbank Market with Stochastic Loss Given Default
International Journal of Central Banking, 2012, 8, (3), 177-206 View citations (20)
- The Dependency of the Banks' Assets and Liabilities: Evidence from Germany
European Financial Management, 2012, 18, (4), 602-619 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) View citations (13) (2009)
2011
- 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 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) View citations (5) (2010)
2010
- Dominating estimators for minimum-variance portfolios
Journal of Econometrics, 2010, 159, (2), 289-302 View citations (72)
See also Working Paper Dominating Estimators for Minimum-Variance Portfolios, Post-Print (2010) View citations (69) (2010)
- How do banks adjust their capital ratios?
Journal of Financial Intermediation, 2010, 19, (4), 509-528 View citations (66)
2008
- 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
- 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 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) View citations (20) (2008)
2006
- Estimating the global Minimum Variance Portfolio
Schmalenbach Business Review (sbr), 2006, 58, (4), 332-348 View citations (65)
Undated
- Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach
Journal of Risk
Chapters
2007
- A New Methodology to Derive a Bank’s Maturity Structure Using Accounting-Based Time Series Information
Springer
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