Zobrazeno 1 - 10
of 47
pro vyhledávání: '"Christoph Memmel"'
Autor:
Ramona Busch, Christoph Memmel
Publikováno v:
Credit and Capital Markets – Kredit und Kapital: Volume 54, Issue 4. 54:641-668
Using granular data of German banks for the 2003 to 2018 period, we analyze the determinants of bank rates on retail deposits. We find that a bank’s rate on sight deposits is especially low if the bank operates in rural districts, if it is not expo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e1d08319e36bae7ea34cd85a4d79d67f
https://doi.org/10.3790/ccm.54.4.641
https://doi.org/10.3790/ccm.54.4.641
Publikováno v:
SSRN Electronic Journal.
Using data from a quantitative survey of German banks at three points in time (2015, 2017 and 2019), we analyze the impact of changes in the interest rate level on banks’ net interest income and the countermeasures they take. A decline in the inter
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::52c7d997aeac0ac7b726dc6feeabc899
https://doi.org/10.2139/ssrn.3903758
https://doi.org/10.2139/ssrn.3903758
Autor:
Peter Raupach, Christoph Memmel
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9722352d7b6176d38b0cc5b5011dbfdb
https://doi.org/10.2139/ssrn.3967816
https://doi.org/10.2139/ssrn.3967816
Publikováno v:
German Economic Review. 19:330-350
We investigate German banks’ exposure to interest rate risk. In finance, higher demand for a risky asset is typically associated with higher expected return. However, employing a utility function which implies both risk-averse and risk-seeking beha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::55e58736ddf472e47ada6c09fe755a17
https://doi.org/10.1111/geer.12131
https://doi.org/10.1111/geer.12131
Publikováno v:
SSRN Electronic Journal.
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management. We especially analyze the effect of a 200-bp increase in the interest level. We find that banks seem to reduce the volatility of t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d5dd2de959108c743328e552da5d9912
https://doi.org/10.2139/ssrn.3540397
https://doi.org/10.2139/ssrn.3540397
Autor:
Christoph Memmel
We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank‐level data of German banks for the period 2011Q4–2017Q2, we find evidence that banks actively manage their interest rate risk exposure
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4ccca7fe22a7b0838d360538ff59a723
https://hdl.handle.net/10419/230014
https://hdl.handle.net/10419/230014
Publikováno v:
Schmalenbach Business Review. 17:25-48
Do banks with a specialized credit portfolio have superior selection and monitoring abilities? Controlling for the composition of the banks’ loan portfolios, we show that specialized banks have lower loan loss rates. We also see that for more focus
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2e04d476bdacb4e5a0598c37a0c8f257
https://doi.org/10.1007/s41464-016-0006-7
https://doi.org/10.1007/s41464-016-0006-7
Autor:
Christoph Memmel
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0147dc85dc475d4a72ef50aff67d9db2
https://doi.org/10.2139/ssrn.3337430
https://doi.org/10.2139/ssrn.3337430
Publikováno v:
Operations Research Proceedings ISBN: 9783540699941
OR
OR
While over the past few years both banking supervisors and researchers have focussed their attention on banks’ credit risk, the spotlight is now being turned again on interest rate risk. One reason for this is its character as a kind of systemic ri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::66f0a11e7a859d19bbd463e2ed980e28
https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/44679
https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/44679
Publikováno v:
Journal of Banking & Finance. 54:1-19
This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and ret
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6520b7a168ab7ecf53ab00f5b649fae3
https://doi.org/10.1016/j.jbankfin.2014.12.001
https://doi.org/10.1016/j.jbankfin.2014.12.001