IDEAS home Printed from https://ideas.repec.org/f/c/pme230.html
   My authors  Follow this author

Christoph Memmel

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Dräger, Vanessa & Heckmann-Draisbach, Lotta & Memmel, Christoph, 2020. "Interest and credit risk management in German banks: Evidence from a quantitative survey," Discussion Papers 02/2020, Deutsche Bundesbank.

    Cited by:

    1. Claußen, Catharina & Platte, Daniel, 2023. "Evaluating the validity of regulatory interest rate risk measures – a simulation approach," Journal of Banking & Finance, Elsevier, vol. 154(C).
    2. Ramona Busch & Helge C. N. Littke & Christoph Memmel & Simon Niederauer, 2022. "German banks’ behavior in the low interest rate environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 267-296, September.
    3. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.

  2. Memmel, Christoph, 2019. "What drives the short-term fluctuations of banks' exposure to interest rate risk?," Discussion Papers 05/2019, Deutsche Bundesbank.

    Cited by:

    1. Ramona Busch & Helge C. N. Littke & Christoph Memmel & Simon Niederauer, 2022. "German banks’ behavior in the low interest rate environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 267-296, September.

  3. Busch, Ramona & Drescher, Christian & Memmel, Christoph, 2017. "Bank stress testing under different balance sheet assumptions," Discussion Papers 07/2017, Deutsche Bundesbank.

    Cited by:

    1. Dräger Vanessa & Heckmann-Draisbach Lotta & Memmel Christoph, 2021. "Interest and credit risk management in German banks: Evidence from a quantitative survey," German Economic Review, De Gruyter, vol. 22(1), pages 63-95, February.
    2. Bernd Engelmann & Ha Pham, 2020. "Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL," Risks, MDPI, vol. 8(3), pages 1-21, September.
    3. Ramona Busch & Helge C. N. Littke & Christoph Memmel & Simon Niederauer, 2022. "German banks’ behavior in the low interest rate environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 267-296, September.
    4. Andreas Dombret, 2017. "Putting the Profit Situation and Resilience of the German Banking Sector to the Test – Results of Low Interest Rate Survey 2017 by Supervisory Body," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 70(23), pages 19-24, December.
    5. Grzegorz Halaj & Sofia Priazhkina, 2021. "Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions," Staff Working Papers 21-35, Bank of Canada.

  4. Memmel, Christoph, 2017. "Why do banks bear interest rate risk?," Discussion Papers 35/2017, Deutsche Bundesbank.

    Cited by:

    1. Dräger Vanessa & Heckmann-Draisbach Lotta & Memmel Christoph, 2021. "Interest and credit risk management in German banks: Evidence from a quantitative survey," German Economic Review, De Gruyter, vol. 22(1), pages 63-95, February.
    2. Ramona Busch & Helge C. N. Littke & Christoph Memmel & Simon Niederauer, 2022. "German banks’ behavior in the low interest rate environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 267-296, September.
    3. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.

  5. Memmel, Christoph & Seymen, Atılım & Teichert, Max, 2016. "Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence," Discussion Papers 22/2016, Deutsche Bundesbank.

    Cited by:

    1. Claußen, Catharina & Platte, Daniel, 2023. "Evaluating the validity of regulatory interest rate risk measures – a simulation approach," Journal of Banking & Finance, Elsevier, vol. 154(C).
    2. Ramona Busch & Helge C. N. Littke & Christoph Memmel & Simon Niederauer, 2022. "German banks’ behavior in the low interest rate environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 267-296, September.
    3. Oshima, Katsuhiro, 2020. "Search for yield and business cycles," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    4. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    5. Katsuhiro Oshima, 2017. "Search-for-Yield and Business Cycles," KIER Working Papers 962, Kyoto University, Institute of Economic Research.
    6. Cerrone, Rosaria & Cocozza, Rosa & Curcio, Domenico & Gianfrancesco, Igor, 2017. "Does prudential regulation contribute to effective measurement and management of interest rate risk? Evidence from Italian banks," Journal of Financial Stability, Elsevier, vol. 30(C), pages 126-138.

  6. Busch, Ramona & Memmel, Christoph, 2015. "Banks' net interest margin and the level of interest rates," Discussion Papers 16/2015, Deutsche Bundesbank.

    Cited by:

    1. Kabundi, Alain & De Simone, Francisco Nadal, 2022. "Euro area banking and monetary policy shocks in the QE era," Journal of Financial Stability, Elsevier, vol. 63(C).
    2. Stefan Kerbl & Michael Sigmund, 2016. "From low to negative rates: an asymmetric dilemma," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 32, pages 120-137.
    3. Andreas Jobst & Ms. Huidan Huidan Lin, 2016. "Negative Interest Rate Policy (NIRP): Implications for Monetary Transmission and Bank Profitability in the Euro Area," IMF Working Papers 2016/172, International Monetary Fund.
    4. Buchholz, Manuel & Schmidt, Kirsten & Tonzer, Lena, 2017. "Do conventional monetary policy instruments matter in unconventional times?," IWH Discussion Papers 12/2017, Halle Institute for Economic Research (IWH).
    5. Juliane Gerstenberger & Gunther Schnabl, 2017. "The Impact of Japanese Monetary Policy Crisis Management on the Japanese Banking Sector," CESifo Working Paper Series 6440, CESifo.
    6. Stefan Kerbl & Boris Simunovic & Andreas Wolf, 2019. "Quantifying interest rate risk and the effect of model assumptions behind sight deposits," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 37, pages 73-85.
    7. Busch, Ramona & Drescher, Christian & Memmel, Christoph, 2017. "Bank stress testing under different balance sheet assumptions," Discussion Papers 07/2017, Deutsche Bundesbank.
    8. Groslambert Bertrand & Raphaël Chiappini & Olivier Bruno, 2016. "Desperately seeking cash: Evidence from bank output measurement," Post-Print hal-01358830, HAL.
    9. Bruno de Menna, 2021. "Monetary Policy, Credit Risk, and Profitability: The Influence of Relationship Lending on Cooperative Banks' Performance," Working Papers hal-03138738, HAL.
    10. Claessens, Stijn & Coleman, Nicholas & Donnelly, Michael, 2018. "“Low-For-Long” interest rates and banks’ interest margins and profitability: Cross-country evidence," Journal of Financial Intermediation, Elsevier, vol. 35(PA), pages 1-16.
    11. Paula Cruz-García & Juan Fernández de Guevara & Joaquín Maudos, 2019. "Determinants of bank’s interest margin in the aftermath of the crisis: the effect of interest rates and the yield curve slope," Empirical Economics, Springer, vol. 56(1), pages 341-365, January.
    12. Ms. Enrica Detragiache & Mr. Thierry Tressel & Ms. Rima A Turk, 2018. "Where Have All the Profits Gone? European Bank Profitability Over the Financial Cycle," IMF Working Papers 2018/099, International Monetary Fund.
    13. Claudio Borio & Boris Hofmann, 2017. "Is Monetary Policy Less Effective When Interest Rates Are Persistently Low?," RBA Annual Conference Volume (Discontinued), in: Jonathan Hambur & John Simon (ed.),Monetary Policy and Financial Stability in a World of Low Interest Rates, Reserve Bank of Australia.
    14. Anthony Birchwood & Michael Brei & Dorian Noel, 2016. "Bank interest margins and regulation in Central America and the Caribbean," Working Papers hal-04141575, HAL.
    15. Memmel, Christoph & Seymen, Atılım & Teichert, Max, 2016. "Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence," Discussion Papers 22/2016, Deutsche Bundesbank.
    16. Claudio Borio & Leonardo Gambacorta, 2017. "Monetary policy and bank lending in a low interest rate environment: diminishing effectiveness?," BIS Working Papers 612, Bank for International Settlements.
    17. Hennecke, Peter, 2017. "Zinstransmission in der Niedrigzinsphase: Eine empirische Untersuchung des Zinskanals in Deutschland," Thuenen-Series of Applied Economic Theory 150, University of Rostock, Institute of Economics.
    18. Anthony Birchwood & Michael Brei & Dorian Noel, 2016. "Interest margins and bank regulation in Central America and the Caribbean," EconomiX Working Papers 2016-33, University of Paris Nanterre, EconomiX.
    19. David M. Arseneau, 2020. "How Would U.S. Banks Fare in a Negative Interest Rate Environment?," International Journal of Central Banking, International Journal of Central Banking, vol. 16(5), pages 269-308, October.
    20. Giampaolo Bonomi & Ali Uppal, 2023. "Kites and Quails: Monetary Policy and Communication with Strategic Financial Markets," Papers 2305.08958, arXiv.org.
    21. Claessens, Stijn & Coleman, Nicholas & Donnelly, Michael, 2017. ""Low-For-Long†Interest Rates and Banks’ Interest Margins and Profitability: Cross-Country Evidence," CEPR Discussion Papers 11842, C.E.P.R. Discussion Papers.
    22. Jakob Lichtner, Marcus Riekeberg, Friedrich Thie?en, Thomas Maurer, 2018. "Evaluation of Banks' Interest Rate Risk: An Alternative Approach," Applied Economics and Finance, Redfame publishing, vol. 5(6), pages 111-125, November.
    23. Hennecke, Peter, 2017. "The interest rate pass-through in the low interest rate environment: Evidence from Germany," Thuenen-Series of Applied Economic Theory 151, University of Rostock, Institute of Economics.
    24. Bofinger, Peter & Schnabel, Isabel & Feld, Lars P. & Schmidt, Christoph M. & Wieland, Volker, 2015. "Zukunftsfähigkeit in den Mittelpunkt. Jahresgutachten 2015/16 [Focus on Future Viability. Annual Report 2015/16]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201516.
    25. Martien Lamers & Frederik Mergaerts & Elien Meuleman & Rudi Vander Vennet, 2016. "The trade-off between monetary policy and bank stability," Working Paper Research 308, National Bank of Belgium.
    26. Philip Molyneux & Alessio Reghezza & Ru Xie, 2018. "Bank Profits and Margins in a World of Negative Rates," Working Papers 18001, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    27. Cerrone, Rosaria & Cocozza, Rosa & Curcio, Domenico & Gianfrancesco, Igor, 2017. "Does prudential regulation contribute to effective measurement and management of interest rate risk? Evidence from Italian banks," Journal of Financial Stability, Elsevier, vol. 30(C), pages 126-138.
    28. Marcello Pagnini & Paola Rossi & Valerio Vacca & Michael Sigmund & Ulrich Gunter & Gerald Krenn, 2017. "How Do Macroeconomic and Bank-specific Variables Influence Profitability in the Austrian Banking Sector? Evidence from a Panel Vector Autoregression Analysis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(3), pages 555-586, November.

  7. Busch, Ramona & Memmel, Christoph, 2014. "Quantifying the components of the banks' net interest margin," Discussion Papers 15/2014, Deutsche Bundesbank.

    Cited by:

    1. Memmel, Christoph, 2017. "Why do banks bear interest rate risk?," Discussion Papers 35/2017, Deutsche Bundesbank.
    2. Dräger Vanessa & Heckmann-Draisbach Lotta & Memmel Christoph, 2021. "Interest and credit risk management in German banks: Evidence from a quantitative survey," German Economic Review, De Gruyter, vol. 22(1), pages 63-95, February.
    3. Andreas Dombret & Yalin Gündüz & Jörg Rocholl, 2019. "Will German Banks Earn Their Cost Of Capital?," Contemporary Economic Policy, Western Economic Association International, vol. 37(1), pages 156-169, January.
    4. Busch, Ramona & Drescher, Christian & Memmel, Christoph, 2017. "Bank stress testing under different balance sheet assumptions," Discussion Papers 07/2017, Deutsche Bundesbank.
    5. Raymond Chaudron & Leo de Haan & Marco Hoeberichts, 2020. "Banks net interest margins and interest rate risk: communicating vessels?," Working Papers 675, DNB.
    6. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.

  8. Jahn, Nadya & Memmel, Christoph & Pfingsten, Andreas, 2013. "Banks' concentration versus diversification in the loan portfolio: New evidence from Germany," Discussion Papers 53/2013, Deutsche Bundesbank.

    Cited by:

    1. Šeho, Mirzet & Shaiban, Mohammed Sharaf Mohsen & Ghafoor, Abdul, 2023. "Loan and financing diversification and bank stability in dual-banking systems," Finance Research Letters, Elsevier, vol. 51(C).
    2. Karakaya, Neslihan & Michalski, Tomasz K. & Örs, Evren, 2022. "Banking integration and growth: Role of banks' previous industry exposure," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    3. Jonathan Mwau Mulwa, 2018. "Sectoral credit diversification, bank performance and monitoring effectiveness; a cross-country analysis of east African banking industries," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(2), pages 1-2.
    4. Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2018. "Many a little makes a mickle: Stress testing small and medium-sized German banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 237-253.
    5. Müller, Isabella, 2020. "Trade shocks, credit reallocation and the role of specialisation: Evidence from syndicated lending," IWH Discussion Papers 15/2020, Halle Institute for Economic Research (IWH).

  9. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2012. "The common drivers of default risk," Discussion Papers 36/2012, Deutsche Bundesbank.

    Cited by:

    1. Jahn, Nadya & Memmel, Christoph & Pfingsten, Andreas, 2013. "Banks' concentration versus diversification in the loan portfolio: New evidence from Germany," Discussion Papers 53/2013, Deutsche Bundesbank.
    2. Calebe de Roure & Loriana Pelizzon & Anjan Thakor, 2022. "P2P Lenders versus Banks: Cream Skimming or Bottom Fishing? [Loan officer incentives, internal rating models and default rates]," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 11(2), pages 213-262.
    3. Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
    4. Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2015. "Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks," Discussion Papers 23/2015, Deutsche Bundesbank.
    5. Argimón, Isabel & Dietsch, Michel & Estrada, Ángel, 2018. "Prudential filters, portfolio composition at fair value and capital ratios in European banks," Journal of Financial Stability, Elsevier, vol. 39(C), pages 187-208.
    6. Lukasz Prorokowski, 2020. "Macroprudential due-diligence framework for shadow banking entities," Bank i Kredyt, Narodowy Bank Polski, vol. 51(6), pages 587-612.
    7. Nadya Jahn & Christoph Memmel & Andreas Pfingsten, 2016. "Banks’ Specialization versus Diversification in the Loan Portfolio," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 17(1), pages 25-48, April.
    8. Yao, Xiao & Crook, Jonathan & Andreeva, Galina, 2017. "Is it obligor or instrument that explains recovery rate: Evidence from US corporate bond," Journal of Financial Stability, Elsevier, vol. 28(C), pages 1-15.
    9. Abroon Qazi & Mecit Can Emre Simsekler, 2022. "Prioritizing interdependent drivers of financial, economic, and political risks using a data-driven probabilistic approach," Risk Management, Palgrave Macmillan, vol. 24(2), pages 164-185, June.
    10. Michael Pedersen, 2016. "Pass-Through, Expectations, and Risks. What Affects Chilean Banks’ Interest Rates?," Working Papers Central Bank of Chile 780, Central Bank of Chile.
    11. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2015. "The common drivers of default risk," Journal of Financial Stability, Elsevier, vol. 16(C), pages 232-247.
    12. Davide Salvatore Mare & Dieter Gramlich, 2021. "Risk exposures of European cooperative banks: a comparative analysis," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 1-23, January.
    13. Dong, Manh Cuong & Tian, Shaonan & Chen, Cathy W.S., 2018. "Predicting failure risk using financial ratios: Quantile hazard model approach," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 204-220.
    14. Ly, Kim Cuong & Liu, Frank Hong & Opong, Kwaku, 2018. "Can parents protect their children? Risk comparison analysis between affiliates of multi- and single-bank holding companies," Journal of Financial Stability, Elsevier, vol. 37(C), pages 1-10.
    15. Schmaltz, Christian & Heidorn, Thomas & Torchiani, Ingo, 2018. "Distance to compliance portfolios: An integrated shortfall measure for basel III," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 87-101.
    16. Kick, Thomas & Pausch, Thilo & Ruprecht, Benedikt, 2015. "The winner's curse: Evidence on the danger of aggressive credit growth in banking," Discussion Papers 32/2015, Deutsche Bundesbank.
    17. Pfalz Reimar, 2019. "Two Approaches to Examine the Impact of Different Credit Default Indicators on Real Estate Loans," Baltic Journal of Real Estate Economics and Construction Management, Sciendo, vol. 7(1), pages 190-215, January.
    18. de Roure, Calebe & Pelizzon, Loriana & Tasca, Paolo, 2016. "How does P2P lending fit into the consumer credit market?," Discussion Papers 30/2016, Deutsche Bundesbank.
    19. Raupach, Peter & Memmel, Christoph, 2021. "Banks' credit losses and lending dynamics," Discussion Papers 36/2021, Deutsche Bundesbank.

  10. Entrop, Oliver & Memmel, Christoph & Ruprecht, Benedikt & Wilkens, Marco, 2012. "Determinants of bank interest margins: Impact of maturity transformation," Discussion Papers 17/2012, Deutsche Bundesbank.

    Cited by:

    1. Marcin Borsuk, 2019. "Forecasting the Net Interest Margin and Loan Loss Provision Ratio of Banks in Various Economic Scenarios: Evidence from Poland," Russian Journal of Money and Finance, Bank of Russia, vol. 78(1), pages 89-106, March.
    2. Nimrod Segev & Sigal Ribon & Michael Kahn & Jakob De Haan, 2021. "Low Interest Rates and Banks' Interest Margins: Does Deposit Market Concentration Matter?," Bank of Israel Working Papers 2021.16, Bank of Israel.
    3. Javier Eliecer Pirateque-Niño & Daniela Rodríguez-Novoa & José Hernán Piñeros-Gordo, 2022. "Does monetary policy affect the net interest margin of credit institutions? Evidence from Colombia," Borradores de Economia 1197, Banco de la Republica de Colombia.
    4. Azad, A.S.M. Sohel & Azmat, Saad & Hayat, Aziz, 2023. "What determines the profitability of Islamic banks: Lending or fee?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 882-896.
    5. Durrani, Agha & Metzler, Julian & Michail, Nektarios & Werner, Johannes Gabriel, 2022. "Bank lending rates and the remuneration for risk: evidence from portfolio and loan level data," Working Paper Series 2753, European Central Bank.
    6. Pires Tiberto, Bruno & Oliveira de Moraes, Claudio & Pio Corrêa, Paloma, 2020. "Does transparency of central banks communication affect credit market? Empirical evidence for advanced and emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    7. Were, Maureen & Wambua, Joseph, 2013. "Assessing the determinants of interest rate spread of commercial banks in Kenya: An empirical investigation," KBA Centre for Research on Financial Markets and Policy Working Paper Series 4, Kenya Bankers Association (KBA).
    8. von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2016. "The interest rate pass-through in the euro area during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 386-402.
    9. Ruprecht, Benedikt & Entrop, Oliver & Kick, Thomas & Wilkens, Marco, 2013. "Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79733, Verein für Socialpolitik / German Economic Association.
    10. Stefan Kerbl & Boris Simunovic & Andreas Wolf, 2019. "Quantifying interest rate risk and the effect of model assumptions behind sight deposits," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 37, pages 73-85.
    11. Andreas Dombret & Yalin Gündüz & Jörg Rocholl, 2019. "Will German Banks Earn Their Cost Of Capital?," Contemporary Economic Policy, Western Economic Association International, vol. 37(1), pages 156-169, January.
    12. Shahidul Islam & Shin-Ichi Nishiyama, 2015. "The determinants of bank profitability: dynamic panel evidence from South Asian countries," DSSR Discussion Papers 44, Graduate School of Economics and Management, Tohoku University.
    13. Petr Hanzlík & Petr Teplý, 2022. "Key factors of the net interest margin of European and US banks in a low interest rate environment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2795-2818, July.
    14. Nguyen, Thach V.H. & Nguyen, Thai Vu Hong, 2022. "How do banks price liquidity? The role of market power," Global Finance Journal, Elsevier, vol. 53(C).
    15. Holton, Sarah & Kelly, Jane & Lydon, Reamonn & Monks, Allen & O'Donnell, Nuala, 2013. "The Impact of the Financial Crisis on Banks' Net Interest Margins," Economic Letters 01/EL/13, Central Bank of Ireland.
    16. Paula Cruz-García & Juan Fernández de Guevara & Joaquín Maudos, 2019. "Determinants of bank’s interest margin in the aftermath of the crisis: the effect of interest rates and the yield curve slope," Empirical Economics, Springer, vol. 56(1), pages 341-365, January.
    17. Molyneux, Philip & Reghezza, Alessio & Xie, Ru, 2019. "Bank margins and profits in a world of negative rates," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    18. Beatriz Cu鬬ar-Fernᮤez & Yolanda Fuertes-Call鮠 & Carlos Serrano-Cinca & Bego uti鲲ez-Nieto, 2016. "Determinants of margin in microfinance institutions," Applied Economics, Taylor & Francis Journals, vol. 48(4), pages 300-311, January.
    19. Xuan Wang, 2020. "A Macro-Financial Perspective to Analyse Maturity Mismatch and Default," Tinbergen Institute Discussion Papers 20-064/IV, Tinbergen Institute.
    20. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    21. Svatopluk Kapounek, 2017. "Lending Conditions in EU: The Role of Credit Demand and Supply," Working Papers 362, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    22. Lee, Siew Peng & Masih, Mansur, 2017. "Determinants of banks’ margins: case of islamic and conventional banks: evidence from Malaysia based on GMM approach," MPRA Paper 112110, University Library of Munich, Germany.
    23. Pierluigi Bologna, 2017. "Banks’ maturity transformation: risk, reward, and policy," Temi di discussione (Economic working papers) 1159, Bank of Italy, Economic Research and International Relations Area.
    24. Lavezzolo, Sebastián, 2020. "Political regimes and bank interest margins," Economic Systems, Elsevier, vol. 44(2).
    25. Raymond Chaudron & Leo de Haan & Marco Hoeberichts, 2020. "Banks net interest margins and interest rate risk: communicating vessels?," Working Papers 675, DNB.
    26. Konstantins Benkovskis & Olegs Tkacevs & Karlis Vilerts, 2021. "Interest Rate Spreads in the Baltics and the Rest of the Euro Area: Understanding the Factors behind the Differences," Discussion Papers 2021/02, Latvijas Banka.
    27. Anthony Birchwood & Michael Brei & Dorian Noel, 2016. "Bank interest margins and regulation in Central America and the Caribbean," Working Papers hal-04141575, HAL.
    28. Noor Ulain Rizvi & Smita Kashiramka & Shveta Singh, 2018. "Basel I to Basel III: Impact of Credit Risk and Interest Rate Risk of Banks in India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 83-111, April.
    29. Nurhafiza Abdul Kader Malim & M.K. Normalini, 2018. "Factors Influencing the Margins of Islamic Banks," Global Business Review, International Management Institute, vol. 19(4), pages 1026-1036, August.
    30. Sanderson Abel & Khobai Hlalefang & Pierre Le Roux & Learnmore Mutandwa, 2018. "Review of the Banking Sector Profit Persistence," International Journal of Economics and Financial Issues, Econjournals, vol. 8(1), pages 54-63.
    31. Anthony Birchwood & Michael Brei & Dorian Noel, 2016. "Interest margins and bank regulation in Central America and the Caribbean," EconomiX Working Papers 2016-33, University of Paris Nanterre, EconomiX.
    32. Pak, Olga, 2020. "Bank profitability in the Eurasian Economic Union: Do funding liquidity and systemic importance matter?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    33. Li Xian Liu & Milind Sathye, 2019. "Bank Interest Rate Margin, Portfolio Composition and Institutional Constraints," JRFM, MDPI, vol. 12(3), pages 1-21, July.
    34. Ramona Busch & Christoph Memmel, 2016. "Quantifying the components of the banks’ net interest margin," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 371-396, November.
    35. Azmat, Saad & Azad, A.S.M. Sohel & Ghaffar, Hamza & Hayat, Aziz & Chazi, Abdelaziz, 2020. "Conventional vs Islamic banking and macroeconomic risk: Impact on asset price bubbles," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    36. Ramayandi, Arief & Rawat, Umang & Tang, Hsiao Chink, 2014. "Can Low Interest Rates be Harmful: An Assessment of the Bank Risk-Taking Channel in Asia," Working Papers on Regional Economic Integration 123, Asian Development Bank.
    37. Raja Almarzoqi & Sami Ben Naceur, 2015. "Determinants of Bank Interest Margins in the Caucasus and Central Asia," IMF Working Papers 2015/087, International Monetary Fund.
    38. Marco Pedrotti, 2014. "A Model for the Interest Margin of a Risk-Neutral Bank. The Role of the Bank Orientation," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 3(1), pages 167-180, June.
    39. Saad Azmat & A. S. M. Sohel Azad & M. Ishaq Bhatti & Hamza Ghaffar, 2020. "Islamic Banking, Costly Religiosity, And Competition," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(2), pages 263-303, May.
    40. Azmi, Wajahat & Hassan, M. Kabir & Houston, Reza & Karim, Mohammad Sydul, 2021. "ESG activities and banking performance: International evidence from emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    41. J. Christina Wang, 2017. "Banks' search for yield in the low interest rate environment: a tale of regulatory adaptation," Working Papers 17-3, Federal Reserve Bank of Boston.
    42. International Monetary Fund, 2014. "Republic of Azerbaijan: Selected Issues," IMF Staff Country Reports 2014/160, International Monetary Fund.
    43. Ulrich Gunter & Gerald Krenn & Michael Sigmund, 2013. "Macroeconomic, Market and Bank-Specific Determinants of the Net Interest Margin in Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 87-101.
    44. Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2018. "Many a little makes a mickle: Stress testing small and medium-sized German banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 237-253.
    45. Doojav, Gan-Ochir, 2017. "Factors explaining high interest rates in Mongolia: A Markov Regime-Switching approach," MPRA Paper 103514, University Library of Munich, Germany.
    46. Hodula, Martin, 2023. "Interest rates as a finance battleground? The rise of Fintech and big tech credit providers and bank interest margin," Finance Research Letters, Elsevier, vol. 53(C).
    47. Philip Molyneux & Alessio Reghezza & Ru Xie, 2018. "Bank Profits and Margins in a World of Negative Rates," Working Papers 18001, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    48. Jaakko Sääskilahti, 2018. "Retail Bank Interest Margins in Low Interest Rate Environments," Journal of Financial Services Research, Springer;Western Finance Association, vol. 53(1), pages 37-68, February.
    49. Gabriele Angori & David Aristei & Manuela Gallo, 2019. "Determinants of Banks’ Net Interest Margin: Evidence from the Euro Area during the Crisis and Post-Crisis Period," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
    50. Cañón, Carlos & Cortés, Edgar & Guerrero, Rodolfo, 2022. "Bank competition and the price of credit: Evidence using Mexican loan-level data," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 56-74.
    51. Nguyen, James & Parsons, Richard & Argyle, Bronson, 2021. "An examination of diversification on bank profitability and insolvency risk in 28 financially liberalized markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    52. Marcello Pagnini & Paola Rossi & Valerio Vacca & Michael Sigmund & Ulrich Gunter & Gerald Krenn, 2017. "How Do Macroeconomic and Bank-specific Variables Influence Profitability in the Austrian Banking Sector? Evidence from a Panel Vector Autoregression Analysis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(3), pages 555-586, November.

  11. Memmel, Christoph & Sachs, Angelika, 2011. "Contagion in the interbank market and its determinants," Discussion Paper Series 2: Banking and Financial Studies 2011,17, Deutsche Bundesbank.

    Cited by:

    1. Machado, C. & Sarmiento Paipilla, N.M. & León, C., 2015. "Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks," Discussion Paper 2015-052, Tilburg University, Center for Economic Research.
    2. Inaki Aldasoro & Domenico Delli Gatti & Ester Faia, 2015. "Bank Networks: Contagion, Systemic Risk and Prudential Policy," CESifo Working Paper Series 5182, CESifo.
    3. Michal Brzoza-Brzezina, 2014. "Financial Frictions and Macroprudential Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 249-261, June.
    4. Löffler, Gunter & Raupach, Peter, 2013. "Robustness and informativeness of systemic risk measures," Discussion Papers 04/2013, Deutsche Bundesbank.
    5. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
    6. Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian, 2015. "The credit quality channel: Modeling contagion in the interbank market," Discussion Papers 38/2015, Deutsche Bundesbank.
    7. Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2016. "Credit risk interconnectedness: What does the market really know?," Discussion Papers 09/2016, Deutsche Bundesbank.
    8. Xiaowo Wu & Jiangwei Tu & Boru Liu & Xi Zhou & Yanxiong Wu, 2022. "Credit Risk Evaluation of Forest Farmers under Internet Crowdfunding Mode: The Case of China’s Collective Forest Regions," Sustainability, MDPI, vol. 14(10), pages 1-17, May.
    9. Pawe{l} Smaga & Mateusz Wili'nski & Piotr Ochnicki & Piotr Arendarski & Tomasz Gubiec, 2016. "Can banks default overnight? Modeling endogenous contagion on O/N interbank market," Papers 1603.05142, arXiv.org.
    10. Anand, Kartik & Craig, Ben & von Peter, Goetz, 2014. "Filling in the blanks: Network structure and interbank contagion," Discussion Papers 02/2014, Deutsche Bundesbank.
    11. Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020. "Interbank risk assessment: A simulation approach," Discussion Papers 23/2020, Deutsche Bundesbank.
    12. John Leventides & Kalliopi Loukaki & Vassilios Papavassiliou, 2018. "Simulating financial contagion dynamics in random interbank networks," Working Paper series 18-34, Rimini Centre for Economic Analysis.
    13. Leonidas Sandoval Junior, 2014. "Dynamics in two networks based on stocks of the US stock market," Papers 1408.1728, arXiv.org, revised Aug 2014.
    14. Montagna, Mattia & Lux, Thomas, 2014. "Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information," FinMaP-Working Papers 8, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    15. Pedro Pires Ribeiro & José Dias Curto, 2017. "Volatility spillover effects in interbank money markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 105-136, February.
    16. Berardi, Simone & Tedeschi, Gabriele, 2017. "From banks' strategies to financial (in)stability," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 255-272.
    17. Jose Fique, 2016. "A Microfounded Design of Interconnectedness-Based Macroprudential Policy," Staff Working Papers 16-6, Bank of Canada.
    18. Jose Fique, 2015. "A Microfounded Design of Interconnectedness-Based Macroprudential Regulation," CAEPR Working Papers 2015-008, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    19. Faia, Ester & Aldasoro, Inaki, 2015. "Systemic Loops and Liquidity Regulation," CEPR Discussion Papers 10918, C.E.P.R. Discussion Papers.
    20. Samitas, Aristeidis & Polyzos, Stathis & Siriopoulos, Costas, 2018. "Brexit and financial stability: An agent-based simulation," Economic Modelling, Elsevier, vol. 69(C), pages 181-192.
    21. Pavla Klepková Vodová & Daniel Stavárek, 2015. "Factors Affecting Sensitivity of Czech and Slovak Commercial Banks to Bank Run," Working Papers 0020, Silesian University, School of Business Administration.
    22. Massimiliano Affinito, 2019. "What do almost 20 years of micro data and two crises say about the relationship between central bank and interbank market liquidity? Evidence from Italy," Temi di discussione (Economic working papers) 1238, Bank of Italy, Economic Research and International Relations Area.
    23. Marco Bardoscia & Fabio Caccioli & Juan Ignacio Perotti & Gianna Vivaldo & Guido Caldarelli, 2016. "Distress Propagation in Complex Networks: The Case of Non-Linear DebtRank," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-12, October.
    24. Hryckiewicz, Aneta & Kozlowski, Lukasz, 2018. "The consequences of liquidity imbalance: When net lenders leave interbank markets," Journal of Financial Stability, Elsevier, vol. 36(C), pages 82-97.
    25. Montagna, Mattia & Lux, Thomas, 2014. "Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information," Kiel Working Papers 1937, Kiel Institute for the World Economy (IfW Kiel).
    26. Amanda, Citra, 2023. "Rural banking spatial competition and stability," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 492-504.
    27. Montagna, Mattia & Lux, Thomas, 2013. "Hubs and resilience: Towards more realistic models of the interbank markets," Kiel Working Papers 1826, Kiel Institute for the World Economy (IfW Kiel).
    28. Jiajia, Liu & Kun, Guo & Fangcheng, Tang & Yahan, Wang & Shouyang, Wang, 2023. "The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 105-119.
    29. Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.
    30. Samitas, Aristeidis & Polyzos, Stathis, 2016. "Freeing Greece from capital controls: Were the restrictions enforced in time?," Research in International Business and Finance, Elsevier, vol. 37(C), pages 196-213.

  12. Memmel, Christoph & Sachs, Angelika & Stein, Ingrid, 2011. "Contagion at the interbank market with stochastic LGD," Discussion Paper Series 2: Banking and Financial Studies 2011,06, Deutsche Bundesbank.

    Cited by:

    1. Mr. Nicolas Arregui & Mr. Mohamed Norat & Antonio Pancorbo & Ms. Jodi G Scarlata & Eija Holttinen & Fabiana Melo & Jay Surti & Christopher Wilson & Rodolfo Wehrhahn & Mamoru Yanase, 2013. "Addressing Interconnectedness: Concepts and Prudential Tools," IMF Working Papers 2013/199, International Monetary Fund.
    2. Memmel, Christoph & Sachs, Angelika, 2011. "Contagion in the interbank market and its determinants," Discussion Paper Series 2: Banking and Financial Studies 2011,17, Deutsche Bundesbank.
    3. Bosma, Jakob & Koetter, Michael & Wedow, Michael, 2012. "Credit risk connectivity in the financial industry and stabilization effects of government bailouts," Discussion Papers 16/2012, Deutsche Bundesbank.
    4. Janette Larney & Gerrit Lodewicus Grobler & James Samuel Allison, 2022. "Introducing Two Parsimonious Standard Power Mixture Models for Bimodal Proportional Data with Application to Loss Given Default," Mathematics, MDPI, vol. 10(23), pages 1-19, November.
    5. Shouwei Li & Jianmin He, 2016. "Loss distribution of systemic defaults in different interbank networks," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 27(10), pages 1-9, October.
    6. Alesia Kalbaska, 2013. "From Sovereigns to Banks: Evidence on Cross-border Contagion (2006-2011)," Department of Economics University of Siena 680, Department of Economics, University of Siena.

  13. Memmel, Christoph & Schertler, Andrea, 2011. "Banks' management of the net interest margin: Evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2011,13, Deutsche Bundesbank.

    Cited by:

    1. Ruprecht, Benedikt & Entrop, Oliver & Kick, Thomas & Wilkens, Marco, 2013. "Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79733, Verein für Socialpolitik / German Economic Association.
    2. Holton, Sarah & Kelly, Jane & Lydon, Reamonn & Monks, Allen & O'Donnell, Nuala, 2013. "The Impact of the Financial Crisis on Banks' Net Interest Margins," Economic Letters 01/EL/13, Central Bank of Ireland.
    3. Ioan TRENCA & Mihail-Ioan COCIUBA, 2014. "How does assets-liabilities management affects the profitability of banks?," The Journal of Accounting and Management, Danubius University of Galati, issue 3, pages 47-50, December.
    4. Tsai, Jeng-Yan, 2013. "Bank interest margin management based on a path-dependent Cobb–Douglas utility framework," Economic Modelling, Elsevier, vol. 35(C), pages 751-762.
    5. Ulrich Gunter & Gerald Krenn & Michael Sigmund, 2013. "Macroeconomic, Market and Bank-Specific Determinants of the Net Interest Margin in Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 87-101.

  14. Gabriel Frahm & Christoph Memmel, 2010. "Dominating Estimators for Minimum-Variance Portfolios," Post-Print hal-00741629, HAL.

    Cited by:

    1. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
    2. Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.
    3. Vasyl Golosnoy & Nestor Parolya, 2016. "`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers," Papers 1611.01524, arXiv.org.
    4. Taras Bodnar & Nestor Parolya & Erik Thors'en, 2022. "Two is better than one: Regularized shrinkage of large minimum variance portfolio," Papers 2202.06666, arXiv.org.
    5. Caccioli, Fabio & Kondor, Imre & Papp, Gábor, 2015. "Portfolio optimization under expected shortfall: contour maps of estimation error," LSE Research Online Documents on Economics 119463, London School of Economics and Political Science, LSE Library.
    6. Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper Series of the Department of Economics, University of Konstanz 2018-07, Department of Economics, University of Konstanz.
    7. Hao Liu & Winfried Pohlmeier, 2013. "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series 47_13, Rimini Centre for Economic Analysis.
    8. Taras Bodnar & Yarema Okhrin & Nestor Parolya, 2016. "Optimal shrinkage-based portfolio selection in high dimensions," Papers 1611.01958, arXiv.org, revised Nov 2021.
    9. Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en, 2019. "Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions," Papers 1908.04243, arXiv.org, revised Apr 2023.
    10. Avagyan, Vahe & Alonso Fernández, Andrés Modesto & Nogales, Francisco J., 2015. "D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties," DES - Working Papers. Statistics and Econometrics. WS 21775, Universidad Carlos III de Madrid. Departamento de Estadística.
    11. Olivier Ledoit & Michael Wolf, 2018. "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers 305, Department of Economics - University of Zurich.
    12. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory," Papers 1207.1029, arXiv.org, revised Apr 2013.
    13. Jia Chen & Degui Li & Oliver Linton, 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Discussion Papers 18/14, Department of Economics, University of York.
    14. Zhou, Qing & Faff, Robert & Alpert, Karen, 2014. "Bias correction in the estimation of dynamic panel models in corporate finance," Journal of Corporate Finance, Elsevier, vol. 25(C), pages 494-513.
    15. Konstantin Glombek, 2014. "Statistical Inference for High-Dimensional Global Minimum Variance Portfolios," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 845-865, December.
    16. Weidong Tian & Qing Zhou, 2017. "Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 289-324, June.
    17. Thomas Holgersson & Peter Karlsson & Andreas Stephan, 2020. "A risk perspective of estimating portfolio weights of the global minimum-variance portfolio," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 59-80, March.
    18. Mårten Gulliksson & Stepan Mazur, 2020. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 773-794, December.
    19. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
    20. Papp, Gábor & Kondor, Imre & Caccioli, Fabio, 2021. "Optimizing expected shortfall under an ℓ1 constraint—an analytic approach," LSE Research Online Documents on Economics 111051, London School of Economics and Political Science, LSE Library.
    21. Taras Bodnar & Nestor Parolya & Erik Thors'en, 2021. "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Papers 2111.12532, arXiv.org.
    22. Taras Bodnar & Arjun K. Gupta & Valdemar Vitlinskyi & Taras Zabolotskyy, 2019. "Statistical Inference for the Beta Coefficient," Risks, MDPI, vol. 7(2), pages 1-14, May.
    23. Olivier Ledoit & Michael Wolf, 2022. "Markowitz portfolios under transaction costs," ECON - Working Papers 420, Department of Economics - University of Zurich, revised Jan 2024.
    24. Taras Bodnar & Nestor Parolya & Erik Thorsen, 2021. "Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio," Papers 2106.02131, arXiv.org, revised Nov 2021.
    25. Taras Bodnar & Solomiia Dmytriv & Yarema Okhrin & Nestor Parolya & Wolfgang Schmid, 2020. "Statistical inference for the EU portfolio in high dimensions," Papers 2005.04761, arXiv.org.
    26. Golosnoy, Vasyl & Gribisch, Bastian, 2022. "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, vol. 138(C).
    27. Avagyan, Vahe & Alonso Fernández, Andrés Modesto & Nogales, Francisco J., 2014. "Improving the graphical lasso estimation for the precision matrix through roots ot the sample convariance matrix," DES - Working Papers. Statistics and Econometrics. WS ws141208, Universidad Carlos III de Madrid. Departamento de Estadística.
    28. Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric, 2022. "On the optimal combination of naive and mean-variance portfolio strategies," LIDAM Discussion Papers LFIN 2022006, Université catholique de Louvain, Louvain Finance (LFIN).
    29. Yen, Yu-Min & Yen, Tso-Jung, 2014. "Solving norm constrained portfolio optimization via coordinate-wise descent algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 737-759.
    30. Chen, Xin & Yang, Dan & Xu, Yan & Xia, Yin & Wang, Dong & Shen, Haipeng, 2023. "Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data," Journal of Econometrics, Elsevier, vol. 232(2), pages 544-564.
    31. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    32. Olivier Ledoit & Michael Wolf, 2014. "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers 137, Department of Economics - University of Zurich, revised Feb 2017.
    33. Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid, 2017. "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting," Papers 1710.09587, arXiv.org, revised Jul 2019.
    34. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
    35. Bodnar, Taras & Mazur, Stepan & Nguyen, Hoang, 2022. "Estimation of optimal portfolio compositions for small sampleand singular covariance matrix," Working Papers 2022:15, Örebro University, School of Business.
    36. Li, Hua & Bai, Zhi Dong & Wong, Wing Keung, 2015. "High dimensional Global Minimum Variance Portfolio," MPRA Paper 66284, University Library of Munich, Germany.
    37. Gabriel Frahm, 2020. "Statistical properties of estimators for the log-optimal portfolio," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(1), pages 1-32, August.
    38. Gillen, Benjamin J., 2014. "An empirical Bayesian approach to stein-optimal covariance matrix estimation," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 402-420.
    39. Francisco Rubio & Xavier Mestre & Daniel P. Palomar, 2011. "Performance analysis and optimal selection of large mean-variance portfolios under estimation risk," Papers 1110.3460, arXiv.org.
    40. Vasyl Golosnoy & Benno Hildebrandt & Steffen Köhler, 2019. "Modeling and Forecasting Realized Portfolio Diversification Benefits," JRFM, MDPI, vol. 12(3), pages 1-16, July.
    41. Gabriel Frahm, 2015. "A theoretical foundation of portfolio resampling," Theory and Decision, Springer, vol. 79(1), pages 107-132, July.
    42. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
    43. Taras Bodnar & Arjun K. Gupta & Nestor Parolya, 2013. "On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix," Papers 1308.2608, arXiv.org, revised Jun 2014.
    44. Alfelt, Gustav & Bodnar, Taras & Javed, Farrukh & Tyrcha, Joanna, 2020. "Singular conditional autoregressive Wishart model for realized covariance matrices," Working Papers 2021:1, Örebro University, School of Business.
    45. Gulliksson, Mårten & Mazur, Stepan, 2019. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Working Papers 2019:3, Örebro University, School of Business.
    46. Liu, Weiyi & Liu, Yangyi & Luo, Ronghua & Ding, Yue, 2021. "Ability parity model for optimal fund allocation: Evidence from China's mutual fund markets," Emerging Markets Review, Elsevier, vol. 48(C).
    47. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
    48. Bodnar, Olha & Bodnar, Taras & Parolya, Nestor, 2022. "Recent advances in shrinkage-based high-dimensional inference," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    49. Avagyan, Vahe, 2016. "D-Trace precision matrix estimator with eigenvalue control," DES - Working Papers. Statistics and Econometrics. WS 23410, Universidad Carlos III de Madrid. Departamento de Estadística.
    50. Varga-Haszonits, Istvan & Caccioli, Fabio & Kondor, Imre, 2016. "Replica approach to mean-variance portfolio optimization," LSE Research Online Documents on Economics 68955, London School of Economics and Political Science, LSE Library.
    51. Axel Pruser & Imre Kondor & Andreas Engel, 2021. "Aspects of a phase transition in high-dimensional random geometry," Papers 2105.04395, arXiv.org, revised Jun 2021.
    52. G'abor Papp & Imre Kondor & Fabio Caccioli, 2021. "Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach," Papers 2103.04375, arXiv.org.
    53. Mian Huang & Shangbing Yu & Weixin Yao, 2022. "Regularized Factor Portfolio for Cross-sectional Multifactor Models," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 427-449, August.
    54. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org, revised Nov 2014.
    55. Frahm, Gabriel, 2010. "An analytical investigation of estimators for expected asset returns from the perspective of optimal asset allocation," Discussion Papers in Econometrics and Statistics 1/10, University of Cologne, Institute of Econometrics and Statistics.
    56. Kazak, Ekaterina & Pohlmeier, Winfried, 2019. "Testing out-of-sample portfolio performance," International Journal of Forecasting, Elsevier, vol. 35(2), pages 540-554.
    57. Vahe Avagyan & Andrés M. Alonso & Francisco J. Nogales, 2018. "D-trace estimation of a precision matrix using adaptive Lasso penalties," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 12(2), pages 425-447, June.
    58. Lassance, Nathan, 2021. "Maximizing the Out-of-Sample Sharpe Ratio," LIDAM Discussion Papers LFIN 2021013, Université catholique de Louvain, Louvain Finance (LFIN).
    59. Imre Kondor & G'abor Papp & Fabio Caccioli, 2016. "Analytic solution to variance optimization with no short-selling," Papers 1612.07067, arXiv.org, revised Jan 2017.

  15. Memmel, Christoph, 2010. "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 2010,07, Deutsche Bundesbank.

    Cited by:

    1. Molyneux, Philip & Pancotto, Livia & Reghezza, Alessio & Rodriguez d'Acri, Costanza, 2022. "Interest rate risk and monetary policy normalisation in the euro area," Journal of International Money and Finance, Elsevier, vol. 124(C).
    2. Memmel, Christoph, 2017. "Why do banks bear interest rate risk?," Discussion Papers 35/2017, Deutsche Bundesbank.
    3. Christoph Memmel, 2020. "What drives the short‐term fluctuations of banks' exposure to interest rate risk?," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 674-686, October.
    4. Busch, Ramona & Memmel, Christoph, 2015. "Banks Net Interest Margin and the Level of Interest Rates," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113187, Verein für Socialpolitik / German Economic Association.
    5. Ruprecht, Benedikt & Entrop, Oliver & Kick, Thomas & Wilkens, Marco, 2013. "Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79733, Verein für Socialpolitik / German Economic Association.
    6. Andreas Dombret & Yalin Gündüz & Jörg Rocholl, 2019. "Will German Banks Earn Their Cost Of Capital?," Contemporary Economic Policy, Western Economic Association International, vol. 37(1), pages 156-169, January.
    7. Stéphane Albert & Hervé Alexandre, 2013. "Banks’ Earnings: an empirical evidence of the influence of economic and financial markets factors," Post-Print hal-01622842, HAL.
    8. Claessens, Stijn & Coleman, Nicholas & Donnelly, Michael, 2018. "“Low-For-Long” interest rates and banks’ interest margins and profitability: Cross-country evidence," Journal of Financial Intermediation, Elsevier, vol. 35(PA), pages 1-16.
    9. Mun, Kyung-Chun, 2016. "Hedging bank market risk with futures and forwards," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 112-125.
    10. M. Caridad SEVILLANO & Francisco JAREÑO, 2017. "The Impact of Relevant International Factors on the Returns of IBEX 35 Companies, 2000-2016," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 17(1), pages 37-56.
    11. Baldan, Cinzia & Zen, Francesco & Rebonato, Tobia, 2012. "Liquidity risk and interest rate risk on banks: are they related?," MPRA Paper 41323, University Library of Munich, Germany.
    12. English, William B. & Van den Heuvel, Skander J. & Zakrajsek, Egon, 2014. "Interest Rate Risk and Bank Equity Valuations," Working Papers 14-05, University of Pennsylvania, Wharton School, Weiss Center.
    13. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    14. Christoph Memmel & Andrea Schertler, 2013. "Bank management of the net interest margin: new measures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 275-297, September.
    15. Memmel, Christoph & Seymen, Atılım & Teichert, Max, 2016. "Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence," Discussion Papers 22/2016, Deutsche Bundesbank.
    16. King, Michael R., 2013. "The Basel III Net Stable Funding Ratio and bank net interest margins," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4144-4156.
    17. Lucia Esposito & Andrea Nobili & Tiziano Ropele, 2013. "The management of interest rate risk during the crisis: evidence from Italian banks," Temi di discussione (Economic working papers) 933, Bank of Italy, Economic Research and International Relations Area.
    18. Memmel, Christoph & Schertler, Andrea, 2011. "Banks' management of the net interest margin: Evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2011,13, Deutsche Bundesbank.
    19. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.
    20. Ramona Busch & Christoph Memmel, 2016. "Quantifying the components of the banks’ net interest margin," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 371-396, November.
    21. Chaudron, Raymond F.D.D., 2018. "Bank's interest rate risk and profitability in a prolonged environment of low interest rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 94-104.
    22. Claessens, Stijn & Coleman, Nicholas & Donnelly, Michael, 2017. ""Low-For-Long†Interest Rates and Banks’ Interest Margins and Profitability: Cross-Country Evidence," CEPR Discussion Papers 11842, C.E.P.R. Discussion Papers.
    23. Salvatore Perdichizzi, 2017. "The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns," DISCE - Working Papers del Dipartimento di Economia e Finanza def059, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    24. Entrop, Oliver & Memmel, Christoph & Ruprecht, Benedikt & Wilkens, Marco, 2015. "Determinants of bank interest margins: Impact of maturity transformation," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 1-19.
    25. Ioana-Diana PÃUN & Ramona GOGONCEA, 2013. "Interest Rate Risk Management and the Use of Derivative Securities," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 16(2), pages 242-254, December.
    26. Köhler, Matthias, 2018. "An analysis of non-traditional activities at German savings banks: Does the type of fee and commission income matter?," Discussion Papers 01/2018, Deutsche Bundesbank.
    27. Thomas Kick & Esteban Prieto, 2015. "Bank Risk and Competition: Evidence from Regional Banking Markets," Review of Finance, European Finance Association, vol. 19(3), pages 1185-1222.

  16. Bornemann, Sven & Kick, Thomas & Memmel, Christoph & Pfingsten, Andreas, 2010. "Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2010,13, Deutsche Bundesbank.

    Cited by:

    1. Hanwen Chen & Siyi Liu & Xin Liu & Jiani Wang, 2022. "Opportunistic timing of management earnings forecasts during the COVID‐19 crisis in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1495-1533, April.
    2. Dräger Vanessa & Heckmann-Draisbach Lotta & Memmel Christoph, 2021. "Interest and credit risk management in German banks: Evidence from a quantitative survey," German Economic Review, De Gruyter, vol. 22(1), pages 63-95, February.
    3. Lamia Chourou, 2020. "Does Religiosity Matter to Value Relevance? Evidence from U.S. Banking Firms," Journal of Business Ethics, Springer, vol. 162(3), pages 675-697, March.
    4. Giuseppe Di Martino & Grazia Dicuonzo & Graziana Galeone & Vittorio Dell’Atti, 2017. "Does the New European Banking Regulation discourage Earnings Management?," International Business Research, Canadian Center of Science and Education, vol. 10(10), pages 45-56, October.
    5. Andreas Dombret & Yalin Gündüz & Jörg Rocholl, 2019. "Will German Banks Earn Their Cost Of Capital?," Contemporary Economic Policy, Western Economic Association International, vol. 37(1), pages 156-169, January.
    6. Onali, Enrico & Ginesti, Gianluca, 2015. "New Accounting Rules for Loan Loss Provisions in Europe: Much Ado about Nothing?," MPRA Paper 64266, University Library of Munich, Germany, revised 10 May 2015.
    7. Bornemann, Sven & Kick, Thomas & Pfingsten, Andreas & Schertler, Andrea, 2015. "Earnings baths by CEOs during turnovers: empirical evidence from German savings banks," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 188-201.
    8. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2015. "The common drivers of default risk," Journal of Financial Stability, Elsevier, vol. 16(C), pages 232-247.
    9. Claudia M. Buch & Esteban Prieto, 2012. "Do Better Capitalized Banks Lend Less? Long-Run Panel Evidence from Germany," CESifo Working Paper Series 3836, CESifo.
    10. Mohammad M. Alhadab & Bassam Al-Own, 2017. "Earnings Management and Banks Performance: Evidence from Europe," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(4), pages 134-145, October.
    11. Köhler, Matthias, 2014. "Does non-interest income make banks more risky? Retail- versus investment-oriented banks," Review of Financial Economics, Elsevier, vol. 23(4), pages 182-193.
    12. Doan, Anh-Tuan & Lin, Kun-Li & Doong, Shuh-Chyi, 2020. "State-controlled banks and income smoothing. Do politics matter?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    13. Nippel, Peter, 2015. "Eine finanzwirtschaftliche Analyse der Risikovorsorge für erwartete Verluste im Kreditgeschäft," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 659, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    14. Bornemann, Sven & Pfingsten, Andreas & Kick, Thomas & Schertler, Andrea, 2014. "Earnings baths by bank CEOs during turnovers," Discussion Papers 05/2014, Deutsche Bundesbank.
    15. Köhler, Matthias, 2012. "Which banks are more risky? The impact of loan growth and business model on bank risk-taking," Discussion Papers 33/2012, Deutsche Bundesbank.
    16. Sven Bornemann & Susanne Homölle & Carsten Hubensack & Thomas Kick & Andreas Pfingsten, 2014. "Visible Reserves in Banks – Determinants of Initial Creation, Usage and Contribution to Bank Stability," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(5-6), pages 507-544, June.
    17. Boachie, Christopher & Mensah, Emmanuel, 2022. "The effect of earnings management on firm performance: The moderating role of corporate governance quality," International Review of Financial Analysis, Elsevier, vol. 83(C).
    18. Shala, Iliriana & Schumacher, Benno, 2022. "The impact of natural disasters on banks' impairment flow: Evidence from Germany," Discussion Papers 36/2022, Deutsche Bundesbank.
    19. Rami Salem & Ernest Ezeani & Xi Song, 2023. "The relationship between religiosity and voluntary disclosure quality: a cross-country evidence from the banking sector," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 983-1023, April.
    20. Skała, Dorota, 2020. "Shareholder shocks and loan loss provisions in Central European banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 69(C).
    21. Sopp, Heiko, 2018. "Interest rate pass-through to the rates of core deposits: A new perspective," Discussion Papers 25/2018, Deutsche Bundesbank.
    22. Domikowsky, Christian & Bornemann, Sven & Duellmann, Klaus & Pfingsten, Andreas, 2014. "Loan loss provisioning and procyclicality: Evidence from an expected loss model," Discussion Papers 39/2014, Deutsche Bundesbank.
    23. Liping Xu & Shuxia Zhang & Ning Liu & Li Chen, 2018. "Corporate Hypocrisy: Role of Non-Profit Corporate Foundations in Earnings Management of For-Profit Founder Firms," Sustainability, MDPI, vol. 10(11), pages 1-24, November.
    24. Kaposty, Florian & Pfingsten, Andreas & Domikowsky, Christian, 2017. "Market Discipline, Deposit Insurance, and Competitive Advantages: Evidence from the Financial Crisis," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168146, Verein für Socialpolitik / German Economic Association.
    25. Sharif Mohammad Aqabna & Mehmet Aga & Huthayfa Nabeel Jabari, 2023. "Firm Performance, Corporate Social Responsibility and the Impact of Earnings Management during COVID-19: Evidence from MENA Region," Sustainability, MDPI, vol. 15(2), pages 1-20, January.
    26. Henselmann, Klaus & Ditter, Dominik & Lupp, Philipp, 2016. "The Effects of the Financial Crisis on Cooperative Banks in Europe – A Critical Comparison –," Working Papers in Accounting Valuation Auditing 2016-1, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Accounting and Auditing.
    27. Köhler, Matthias, 2013. "Does non-interest income make banks more risky? Retail- versus investment-oriented banks," Discussion Papers 17/2013, Deutsche Bundesbank.

  17. Frahm, Gabriel & Memmel, Christoph, 2009. "Dominating estimators for the global minimum variance portfolio," Discussion Paper Series 2: Banking and Financial Studies 2009,01, Deutsche Bundesbank.

    Cited by:

    1. Gabriel Frahm & Tobias Wickern & Christof Wiechers, 2012. "Multiple tests for the performance of different investment strategies," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 343-383, July.
    2. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
    3. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
    4. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2013. "Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1105-1134, November.

  18. Memmel, Christoph & Schertler, Andrea, 2009. "The dependency of the banks' assets and liabilities: evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2009,14, Deutsche Bundesbank.

    Cited by:

    1. Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre (Ed.), 2010. "Jahresbericht 2009," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 650, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    2. Kick, Thomas & Nehring, Inge & Schertler, Andrea, 2017. "Do all new brooms sweep clean? Evidence for outside bank appointments," Discussion Papers 27/2017, Deutsche Bundesbank.
    3. Holl, Dorothee & Schertler, Andrea, 2009. "Why do savings banks transform sight deposits into illiquid assets less intensively than the regulation allows?," Discussion Paper Series 2: Banking and Financial Studies 2009,05, Deutsche Bundesbank.
    4. Bornemann, Sven & Kick, Thomas & Pfingsten, Andreas & Schertler, Andrea, 2015. "Earnings baths by CEOs during turnovers: empirical evidence from German savings banks," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 188-201.
    5. Detzer, Daniel, 2019. "Financialization made in Germany: A review," IPE Working Papers 122/2019, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
    6. Christoph Memmel & Andrea Schertler, 2013. "Bank management of the net interest margin: new measures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 275-297, September.
    7. D'Orazio, Paola & Hertel, Tobias & Kasbrink, Fynn, 2022. "No need to worry? Estimating the exposure of the German banking sector to climate-related transition risks," Ruhr Economic Papers 946, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    8. Iain Hardie & David Howarth, 2009. "Die Krise but not La Crise? The Financial Crisis and the Transformation of German and French Banking Systems," Journal of Common Market Studies, Wiley Blackwell, vol. 47(5), pages 1017-1039, November.
    9. PETRIA Nicolae & ZAPODEANU Daniela & COCIUBA Mihail-Ioan, 2014. "The Impact Of Financial Crisis On The Banking Sector From The Alm Perspectives," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 66(3), pages 119-126.
    10. Memmel, Christoph & Schertler, Andrea, 2011. "Banks' management of the net interest margin: Evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2011,13, Deutsche Bundesbank.
    11. Bornemann, Sven & Pfingsten, Andreas & Kick, Thomas & Schertler, Andrea, 2014. "Earnings baths by bank CEOs during turnovers," Discussion Papers 05/2014, Deutsche Bundesbank.
    12. Ioan Trenca & Daniela Bozga & Daniela Zapodeanu & Mihail Ioan Cociuba, 2017. "Considerations On The Strategy Of Commercial Banks In The Context Of The Financial System Development For The Period 2005-2013," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 248-258, December.
    13. Bessler, Wolfgang & Kurmann, Philipp, 2014. "Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis," Journal of Financial Stability, Elsevier, vol. 13(C), pages 151-166.
    14. Cociuba Mihail Ioan, 2015. "Did The Economic Crises Influence The Structure Of Assets-Liabilities In Banks?," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 407-415, December.
    15. Cociuba Mihail Ioan & Trenca Ioan & Zapodeanu Daniela, 2014. "Assets And Liabilities Dependence: Evidence From An European Sample Of Banks," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 279-286, December.
    16. Muhammad Surajo Sanusi & Farooq Ahmad, 2019. "Measuring Predictability of Oil and Gas Stock Returns and Performance of Moving Average Trading Rules," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 3(1), pages 47-70.
    17. Jalal El Fadil & Helyoth Hessou, 2024. "Performance and Assets and Liabilities Management in the U.S. Credit Union," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 14(1), pages 1-6.

  19. Memmel, Christoph & Schmieder, Christian & Stein, Ingrid, 2008. "Relationship Lending - Empirical Evidence For Germany," Economic and Financial Reports 2008/1, European Investment Bank, Economics Department.

    Cited by:

    1. Stein Ingrid, 2015. "The Price Impact of Lending Relationships," German Economic Review, De Gruyter, vol. 16(3), pages 367-389, August.
    2. Goldbach, Stefan & Nitsch, Volker, 2015. "Cutting the credit line: Evidence from Germany," Discussion Papers 25/2015, Deutsche Bundesbank.
    3. Etumudon Ndidi Asien, 2016. "Determinants of Number of Bankers by Listed Nigerian Firms," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(2), pages 1-13, April.
    4. Saibal Ghosh, 2019. "Lending Relationships, Borrowing Costs and Crisis: Evidence from Indian Micro Data," Global Business Review, International Management Institute, vol. 20(4), pages 1026-1050, August.
    5. Radu Cristian Mușetescu, 2012. "The Involvement Of Bankers In The Corporate Governance Of Non-Financial Firms," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 121-125, November.
    6. Holl, Dorothee & Schertler, Andrea, 2009. "Why do savings banks transform sight deposits into illiquid assets less intensively than the regulation allows?," Discussion Paper Series 2: Banking and Financial Studies 2009,05, Deutsche Bundesbank.
    7. Andrea F. Presbitero & Alberto Zazzaro, 2010. "Competition and Relationship Lending: Friends or Foes?," CESifo Working Paper Series 3103, CESifo.
    8. Storm, Servaas & Naastepad, C.W.M., 2015. "Crisis and recovery in the German economy: The real lessons," Structural Change and Economic Dynamics, Elsevier, vol. 32(C), pages 11-24.
    9. Lucie Reznakova & Svatopluk Kapounek, 2014. "Is There a Credit Crunch in the Czech Republic?," MENDELU Working Papers in Business and Economics 2014-50, Mendel University in Brno, Faculty of Business and Economics.
    10. Kouretas, Georgios P. & Pawłowska, Małgorzata, 2020. "Does change in the market structure have any impact on different types of bank loans in the EU?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    11. Weder di Mauro, Beatrice & Haselmann, Rainer & Marsch, Katharina, 2009. "Real Effects of Bank Governance: Bank Ownership and Corporate Innovation," CEPR Discussion Papers 7488, C.E.P.R. Discussion Papers.
    12. Kinda Hachem, 2010. "Relationship Lending and the Transmission of Monetary Policy," 2010 Meeting Papers 1096, Society for Economic Dynamics.
    13. Gajewski, Krzysztof & Pawłowska, Małgorzata & Rogowski, Wojciech, 2012. "Relacje firm z bankami w Polsce w świetle danych ze sprawozdawczości bankowej [Bank-firm relationships in Poland in the light of data from bank reporting]," MPRA Paper 42544, University Library of Munich, Germany, revised 29 Oct 2012.
    14. Nitsch, Volker & Goldbach, Stefan, 2014. "Bank Credit and Trade: Evidence from Germany," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100534, Verein für Socialpolitik / German Economic Association.
    15. Djedidi-Kooli, Salima, 2009. "L’accès au financement des PME en France : quel rôle joué par la structure du système bancaire ?," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8354 edited by Etner, François.
    16. Paola Valbonesi & Federico Biagi, 2016. "Incentivising Innovation and Adoption of ICT: ICT Innovation Voucher Programmes," JRC Research Reports JRC104057, Joint Research Centre.
    17. Marcin Grzelak, 2019. "The Hold-up Problem and Banking Relationships: Evidence from the Polish SME Sector," Prague Economic Papers, Prague University of Economics and Business, vol. 2019(6), pages 670-687.
    18. Servaas Storm & C.W.M. Naastepad, 2015. "Crisis and Recovery in the German Economy: The Real Lessons," Working Papers Series 10, Institute for New Economic Thinking.
    19. Broz, Tanja & Ridzak, Tomislav, 2017. "Lending activity and credit supply in Croatia during the crisis," Journal of Policy Modeling, Elsevier, vol. 39(6), pages 1102-1116.
    20. Artur Tarassow, 2015. "Financial Investment Constraints. A Panel Threshold Application to German Firm Level Data," Macroeconomics and Finance Series 201405, University of Hamburg, Department of Socioeconomics.
    21. James Barth & Dongyun Lin & Keven Yost, 2011. "Small and Medium Enterprise Financing in Transition Economies," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 39(1), pages 19-38, March.
    22. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.
    23. Tlili, Rim, 2012. "Comment justifier la multibancarité au sein des PME ?," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10919 edited by Etner, François.
    24. Ogura, Yoshiaki, 2012. "Lending competition and credit availability for new firms: Empirical study with the price cost margin in regional loan markets," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1822-1838.

  20. Wilkens, Marco & Memmel, Christoph & Entrop, Oliver & Zeisler, Alexander, 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 2008,01, Deutsche Bundesbank.

    Cited by:

    1. Memmel, Christoph, 2011. "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 282-289, February.
    2. Christoph Memmel, 2008. "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, vol. 1(1), pages 85-104.
    3. Memmel, Christoph & Schertler, Andrea, 2009. "The dependency of the banks' assets and liabilities: evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2009,14, Deutsche Bundesbank.
    4. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    5. Lucia Esposito & Andrea Nobili & Tiziano Ropele, 2013. "The management of interest rate risk during the crisis: evidence from Italian banks," Temi di discussione (Economic working papers) 933, Bank of Italy, Economic Research and International Relations Area.
    6. Oliver Entrop & Marco Wilkens & Alexander Zeisler, 2009. "Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter," European Financial Management, European Financial Management Association, vol. 15(5), pages 1001-1018, November.
    7. Chaudron, Raymond F.D.D., 2018. "Bank's interest rate risk and profitability in a prolonged environment of low interest rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 94-104.
    8. Foos, Daniel & Lütkebohmert, Eva & Markovych, Mariia & Pliszka, Kamil, 2017. "Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve," Discussion Papers 24/2017, Deutsche Bundesbank.
    9. Christoph Memmel, 2014. "Banks' interest rate risk: the net interest income perspective versus the market value perspective," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 1059-1068, June.
    10. Cerrone, Rosaria & Cocozza, Rosa & Curcio, Domenico & Gianfrancesco, Igor, 2017. "Does prudential regulation contribute to effective measurement and management of interest rate risk? Evidence from Italian banks," Journal of Financial Stability, Elsevier, vol. 30(C), pages 126-138.

  21. Memmel, Christoph, 2008. "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 2008,07, Deutsche Bundesbank.

    Cited by:

    1. Memmel, Christoph, 2011. "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 282-289, February.
    2. Claußen, Catharina & Platte, Daniel, 2023. "Evaluating the validity of regulatory interest rate risk measures – a simulation approach," Journal of Banking & Finance, Elsevier, vol. 154(C).
    3. Busch, Ramona & Memmel, Christoph, 2015. "Banks Net Interest Margin and the Level of Interest Rates," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113187, Verein für Socialpolitik / German Economic Association.
    4. Ruprecht, Benedikt & Entrop, Oliver & Kick, Thomas & Wilkens, Marco, 2013. "Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79733, Verein für Socialpolitik / German Economic Association.
    5. Andreas Dombret & Yalin Gündüz & Jörg Rocholl, 2019. "Will German Banks Earn Their Cost Of Capital?," Contemporary Economic Policy, Western Economic Association International, vol. 37(1), pages 156-169, January.
    6. Holton, Sarah & Kelly, Jane & Lydon, Reamonn & Monks, Allen & O'Donnell, Nuala, 2013. "The Impact of the Financial Crisis on Banks' Net Interest Margins," Economic Letters 01/EL/13, Central Bank of Ireland.
    7. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    8. Christoph Memmel & Andrea Schertler, 2013. "Bank management of the net interest margin: new measures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 275-297, September.
    9. Memmel, Christoph & Seymen, Atılım & Teichert, Max, 2016. "Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence," Discussion Papers 22/2016, Deutsche Bundesbank.
    10. Memmel, Christoph & Schertler, Andrea, 2011. "Banks' management of the net interest margin: Evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2011,13, Deutsche Bundesbank.
    11. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.
    12. Chaudron, Raymond F.D.D., 2018. "Bank's interest rate risk and profitability in a prolonged environment of low interest rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 94-104.
    13. Jakob Lichtner, Marcus Riekeberg, Friedrich Thie?en, Thomas Maurer, 2018. "Evaluation of Banks' Interest Rate Risk: An Alternative Approach," Applied Economics and Finance, Redfame publishing, vol. 5(6), pages 111-125, November.
    14. Entrop, Oliver & Memmel, Christoph & Ruprecht, Benedikt & Wilkens, Marco, 2015. "Determinants of bank interest margins: Impact of maturity transformation," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 1-19.
    15. Busch, Ramona & Memmel, Christoph, 2021. "Why are interest rates on bank deposits so low?," Discussion Papers 46/2021, Deutsche Bundesbank.

  22. Behr, Andreas & Kamp, Andreas & Memmel, Christoph & Pfingsten, Andreas, 2007. "Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks," Discussion Paper Series 2: Banking and Financial Studies 2007,05, Deutsche Bundesbank.

    Cited by:

    1. Jahn, Nadya & Memmel, Christoph & Pfingsten, Andreas, 2013. "Banks' concentration versus diversification in the loan portfolio: New evidence from Germany," Discussion Papers 53/2013, Deutsche Bundesbank.
    2. Šeho, Mirzet & Shaiban, Mohammed Sharaf Mohsen & Ghafoor, Abdul, 2023. "Loan and financing diversification and bank stability in dual-banking systems," Finance Research Letters, Elsevier, vol. 51(C).
    3. Minzhi Wu & Emili Tortosa-Ausina, 2020. "Bank Diversification and Focus in Disruptive Times: China, 2007–2018," Working Papers 2020/21, Economics Department, Universitat Jaume I, Castellón (Spain).
    4. Meslier, Céline & Tacneng, Ruth & Tarazi, Amine, 2014. "Is bank income diversification beneficial? Evidence from an emerging economy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 97-126.
    5. Tabak, Benjamin M. & Fazio, Dimas M. & Cajueiro, Daniel O., 2011. "The effects of loan portfolio concentration on Brazilian banks' return and risk," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3065-3076, November.
    6. Sawada, Michiru, 2011. "How does the stock market value bank diversification? Empirical evidence from Japanese banks," MPRA Paper 45852, University Library of Munich, Germany, revised Nov 2012.
    7. Busch, Ramona & Kick, Thomas, 2009. "Income diversification in the German banking industry," Discussion Paper Series 2: Banking and Financial Studies 2009,09, Deutsche Bundesbank.
    8. Jahn, Nadya & Kick, Thomas, 2012. "Early warning indicators for the German banking system: A macroprudential analysis," Discussion Papers 27/2012, Deutsche Bundesbank.
    9. A. Burietz & L. Ureche-Rangau, 2020. "Better the devil you know: Home and sectoral biases in bank lending," International Economics, CEPII research center, issue 164, pages 69-85.
    10. Nadya Jahn & Christoph Memmel & Andreas Pfingsten, 2016. "Banks’ Specialization versus Diversification in the Loan Portfolio," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 17(1), pages 25-48, April.
    11. Odunayo Magret Olarewaju & Stephen Oseko Migiro & Mabutho Sibanda, 2017. "Operational Diversification and Financial Performance of Sub-Saharan Africa Commercial Banks: Static and Dynamic Approach," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(5), pages 84-106, OCTOBER.
    12. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2015. "The common drivers of default risk," Journal of Financial Stability, Elsevier, vol. 16(C), pages 232-247.
    13. Teixeira, João C.A. & Matos, Tiago F.A. & da Costa, Gui L.P. & Fortuna, Mário J.A., 2020. "Investor protection, regulation and bank risk-taking behavior," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    14. Jonathan Mwau Mulwa, 2018. "Sectoral credit diversification, bank performance and monitoring effectiveness; a cross-country analysis of east African banking industries," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(2), pages 1-2.
    15. Demeh Daradkah & Montaser Al-Sayyah, 2020. "The Effect of Financing and Non-Financing Income on Islamic Banks’ Risk: Evidence from Gulf Cooperation Council Countries," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 180-192.
    16. Gann, Philipp & Kretzschmar, Anne & Rudolph, Bernd, 2010. "Determinanten der Eigenkapitalrendite von Sparkassen," Discussion Papers in Business Administration 11786, University of Munich, Munich School of Management.
    17. Francis, Bill B. & Hasan, Iftekhar & Küllü, A. Melih & Zhou, Mingming, 2018. "Should banks diversify or focus? Know thyself: The role of abilities," Economic Systems, Elsevier, vol. 42(1), pages 106-118.
    18. Andrew C. Worthington, 2009. "Household Asset Portfolio Diversification: Evidence from the Household, Income and Labour Dynamics in Australia (HILDA) Survey," Discussion Papers in Finance finance:200908, Griffith University, Department of Accounting, Finance and Economics.
    19. Seungho Baek & Kwan Yong Lee & Jeong Wan Lee & Sunil Mohanty, 2018. "Diversification in Korean Banking Business: Is Non-interest Income a Financial Saviour?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3_suppl), pages 299-326, December.
    20. Rossi, Stefania P.S. & Schwaiger, Markus S. & Winkler, Gerhard, 2009. "How loan portfolio diversification affects risk, efficiency and capitalization: A managerial behavior model for Austrian banks," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2218-2226, December.
    21. Goddard, John & McKillop, Donal & Wilson, John O.S., 2008. "The diversification and financial performance of US credit unions," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1836-1849, September.

  23. Memmel, Christoph & Raupach, Peter, 2007. "How do banks adjust their capital ratios? Evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2007,06, Deutsche Bundesbank.

    Cited by:

    1. Piotr Dybka & Bartosz Olesiński & Piotr Pękała & Andrzej Torój, 2017. "To SVAR or to SVEC? On the transmission of capital buffer shocks to the real economy," Bank i Kredyt, Narodowy Bank Polski, vol. 48(2), pages 119-148.
    2. Pejman Ebrahimi & Maria Fekete-Farkas & Parisa Bouzari & Róbert Magda, 2021. "Financial Performance of Iranian Banks from 2013 to 2019: A Panel Data Approach," JRFM, MDPI, vol. 14(6), pages 1-15, June.
    3. Mr. Scott Roger & Mr. Jan Vlcek, 2011. "Macroeconomic Costs of Higher Bank Capital and Liquidity Requirements," IMF Working Papers 2011/103, International Monetary Fund.

  24. Memmel, Christoph & Wehn, Carsten, 2005. "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 2005,02, Deutsche Bundesbank.

    Cited by:

    1. Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Papers physics/0505142, arXiv.org, revised Jul 2006.

  25. Kempf, Alexander & Memmel, Christoph, 2005. "On the estimation of the global minimum variance portfolio," CFR Working Papers 05-02, University of Cologne, Centre for Financial Research (CFR).

    Cited by:

    1. Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
    2. Ahmad W. Bitar & Nathan de Carvalho & Valentin Gatignol, 2023. "Covariance matrix estimation for robust portfolio allocation," Working Papers hal-04046454, HAL.
    3. Syed Zakir Abbas ZAIDI*, 2017. "Determinants Of Stocks For Optimal Portfolio," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 27(1), pages 1-27.

Articles

  1. Dräger Vanessa & Heckmann-Draisbach Lotta & Memmel Christoph, 2021. "Interest and credit risk management in German banks: Evidence from a quantitative survey," German Economic Review, De Gruyter, vol. 22(1), pages 63-95, February.
    See citations under working paper version above.
  2. Christoph Memmel, 2020. "What drives the short‐term fluctuations of banks' exposure to interest rate risk?," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 674-686, October.
    See citations under working paper version above.
  3. Christoph Memmel & Atılım Seymen & Max Teichert, 2018. "Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence," German Economic Review, Verein für Socialpolitik, vol. 19(3), pages 330-350, August.
    See citations under working paper version above.
  4. Christoph Memmel, 2018. "Why Do Banks Bear Interest Rate Risk?," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 70(3), pages 231-253, July.
    See citations under working paper version above.
  5. Nadya Jahn & Christoph Memmel & Andreas Pfingsten, 2016. "Banks’ Specialization versus Diversification in the Loan Portfolio," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 17(1), pages 25-48, April.

    Cited by:

    1. Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens, 2019. "Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation," Swiss Finance Institute Research Paper Series 19-45, Swiss Finance Institute.
    2. Dursun-de Neef, H. Özlem, 2023. "Bank specialization, mortgage lending and house prices," Journal of Banking & Finance, Elsevier, vol. 151(C).
    3. Thorsten Beck & Olivier De Jonghe & Klaas Mulier, 2022. "Bank Sectoral Concentration and Risk: Evidence from a Worldwide Sample of Banks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(6), pages 1705-1739, September.

  6. Ramona Busch & Christoph Memmel, 2016. "Quantifying the components of the banks’ net interest margin," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 371-396, November.
    See citations under working paper version above.
  7. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2015. "The common drivers of default risk," Journal of Financial Stability, Elsevier, vol. 16(C), pages 232-247.
    See citations under working paper version above.
  8. Entrop, Oliver & Memmel, Christoph & Ruprecht, Benedikt & Wilkens, Marco, 2015. "Determinants of bank interest margins: Impact of maturity transformation," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 1-19.
    See citations under working paper version above.
  9. Christoph Memmel, 2014. "Banks' interest rate risk: the net interest income perspective versus the market value perspective," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 1059-1068, June.

    Cited by:

    1. Claußen, Catharina & Platte, Daniel, 2023. "Evaluating the validity of regulatory interest rate risk measures – a simulation approach," Journal of Banking & Finance, Elsevier, vol. 154(C).
    2. Dräger Vanessa & Heckmann-Draisbach Lotta & Memmel Christoph, 2021. "Interest and credit risk management in German banks: Evidence from a quantitative survey," German Economic Review, De Gruyter, vol. 22(1), pages 63-95, February.
    3. Busch, Ramona & Memmel, Christoph, 2015. "Banks Net Interest Margin and the Level of Interest Rates," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113187, Verein für Socialpolitik / German Economic Association.
    4. Ramona Busch & Helge C. N. Littke & Christoph Memmel & Simon Niederauer, 2022. "German banks’ behavior in the low interest rate environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 267-296, September.
    5. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    6. Li Xian Liu & Milind Sathye, 2019. "Bank Interest Rate Margin, Portfolio Composition and Institutional Constraints," JRFM, MDPI, vol. 12(3), pages 1-21, July.
    7. Serhat Yuksel & Sinemis Zengin, 2016. "Identifying the Determinants of Interest Rate Risk of the Banks," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 5(6), pages 12-28, October.
    8. Busch, Ramona & Memmel, Christoph, 2021. "Why are interest rates on bank deposits so low?," Discussion Papers 46/2021, Deutsche Bundesbank.

  10. Memmel, Christoph & Sachs, Angelika, 2013. "Contagion in the interbank market and its determinants," Journal of Financial Stability, Elsevier, vol. 9(1), pages 46-54.
    See citations under working paper version above.
  11. Christoph Memmel & Andrea Schertler, 2013. "Bank management of the net interest margin: new measures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 275-297, September.

    Cited by:

    1. Memmel, Christoph, 2017. "Why do banks bear interest rate risk?," Discussion Papers 35/2017, Deutsche Bundesbank.
    2. Busch, Ramona & Drescher, Christian & Memmel, Christoph, 2017. "Bank stress testing under different balance sheet assumptions," Discussion Papers 07/2017, Deutsche Bundesbank.
    3. Memmel, Christoph & Seymen, Atılım & Teichert, Max, 2016. "Banks' interest rate risk and search for yield: A theoretical rationale and some empirical evidence," Discussion Papers 22/2016, Deutsche Bundesbank.
    4. Ramona Busch & Christoph Memmel, 2016. "Quantifying the components of the banks’ net interest margin," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 371-396, November.

  12. Christoph Memmel & Andrea Schertler, 2012. "The Dependency of the Banks' Assets and Liabilities: Evidence from Germany," European Financial Management, European Financial Management Association, vol. 18(4), pages 602-619, September.
    See citations under working paper version above.
  13. Bornemann, Sven & Kick, Thomas & Memmel, Christoph & Pfingsten, Andreas, 2012. "Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2403-2415.
    See citations under working paper version above.
  14. Christoph Memmel & Angelika Sachs & Ingrid Stein, 2012. "Contagion in the Interbank Market with Stochastic Loss Given Default," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 177-206, September.

    Cited by:

    1. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
    2. Toivanen, Mervi, 2013. "Contagion in the interbank network: An epidemiological approach," Bank of Finland Research Discussion Papers 19/2013, Bank of Finland.
    3. Gerardo Ferrara & Sam Langfield & Zijun Liu & Tomohiro Ota, 2019. "Systemic illiquidity in the interbank network," Quantitative Finance, Taylor & Francis Journals, vol. 19(11), pages 1779-1795, November.
    4. Alesia Kalbaska & Cesario Mateus, 2019. "From sovereigns to banks: evidence on cross-border contagion," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(1), pages 86-103, March.
    5. Markus Brunnermeier & Laurent Clerc & Yanis El Omari & Silvia Gabrieli & Steffen Kern & Christoph Memmel & Tuomas Peltonen & Natalia Podlich & Martin Scheicher & Guillaume Vuillemey, 2013. "Assessing contagion risks from the CDS market," ESRB Occasional Paper Series 04, European Systemic Risk Board.
    6. Memmel, Christoph & Sachs, Angelika, 2011. "Contagion in the interbank market and its determinants," Discussion Paper Series 2: Banking and Financial Studies 2011,17, Deutsche Bundesbank.
    7. Ameha Tefera Tessema & Jan Walters Kruger, 2017. "An Improvement on An Interest Rate Commission Agent Banking System Model (AIRCABS Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 685-705.
    8. Grundke, Peter & Kühn, André, 2020. "The impact of the Basel III liquidity ratios on banks: Evidence from a simulation study," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 167-190.
    9. Sun, Lixin, 2018. "Financial Networks and Systemic Risk in China’s Banking System," MPRA Paper 90658, University Library of Munich, Germany, revised 18 May 2018.
    10. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca & Sam Langfield & Sebastiano Laviola & Franka Liedorp & Antonio Sánchez & Santiago Tavolaro & Guillaume Vuillemey, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
    11. Carsten Chong & Claudia Kluppelberg, 2017. "Contagion in financial systems: A Bayesian network approach," Papers 1702.04287, arXiv.org, revised Jul 2017.
    12. Bátiz-Zuk Enrique & Lara Sánchez José Luis, 2021. "Revisiting the link between systemic risk and competition based on network theory and interbank exposures," Working Papers 2021-26, Banco de México.
    13. Vuillemey, Guillaume & Peltonen, Tuomas A., 2015. "Disentangling the bond–CDS nexus: A stress test model of the CDS market," Economic Modelling, Elsevier, vol. 49(C), pages 32-45.
    14. Batiz-Zuk, Enrique & López-Gallo, Fabrizio & Martínez-Jaramillo, Serafín & Solórzano-Margain, Juan Pablo, 2016. "Calibrating limits for large interbank exposures from a system-wide perspective," Journal of Financial Stability, Elsevier, vol. 27(C), pages 198-216.
    15. Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.

  15. Memmel, Christoph, 2011. "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 282-289, February.
    See citations under working paper version above.
  16. Frahm, Gabriel & Memmel, Christoph, 2010. "Dominating estimators for minimum-variance portfolios," Journal of Econometrics, Elsevier, vol. 159(2), pages 289-302, December.
    See citations under working paper version above.
  17. Memmel, Christoph & Raupach, Peter, 2010. "How do banks adjust their capital ratios?," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 509-528, October.

    Cited by:

    1. Kok, Christoffer & Schepens, Glenn, 2013. "Bank reactions after capital shortfalls," Working Paper Series 1611, European Central Bank.
    2. Swamy, Vighneswara, 2014. "Modelling the Impact of New Capital Regulations on Bank Profitability," MPRA Paper 58323, University Library of Munich, Germany.
    3. Garel, Alexandre & Petit-Romec, Arthur & Vennet, Rudi Vander, 2022. "Institutional Shareholders and Bank Capital," Journal of Financial Intermediation, Elsevier, vol. 50(C).
    4. Kok, Christoffer & Gross, Marco & Żochowski, Dawid, 2016. "The impact of bank capital on economic activity - evidence from a mixed-cross-section GVAR model," Working Paper Series 1888, European Central Bank.
    5. Lepetit, Laetitia & Saghi-Zedek, Nadia & Tarazi, Amine, 2015. "Excess control rights, bank capital structure adjustments, and lending," Journal of Financial Economics, Elsevier, vol. 115(3), pages 574-591.
    6. Košak, Marko & Li, Shaofang & Lončarski, Igor & Marinč, Matej, 2015. "Quality of bank capital and bank lending behavior during the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 168-183.
    7. Moreira, Fernando, 2022. "Are we living in an illusion? A fresh look at the importance of bank capital in the quest for stability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    8. Jouida, Sameh & Hellara, Slaheddine, 2018. "Diversification and target leverage of financial institutions," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 11-35.
    9. von Furstenberg, George M., 2011. "Contingent capital to strengthen the private safety net for financial institutions: Cocos to the rescue?," Discussion Paper Series 2: Banking and Financial Studies 2011,01, Deutsche Bundesbank.
    10. Hung, Chi-Hsiou D. & Jiang, Yuxiang & Liu, Frank Hong & Tu, Hong, 2018. "Competition or manipulation? An empirical evidence of determinants of the earnings persistence of the U.S. banks," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 442-454.
    11. Shahchera , Mahshid, 2013. "The Determinants of Banks' Capital Structure: The case of Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 8(1), pages 141-167, January.
    12. Bakkar, Yassine & De Jonghe, Olivier & Tarazi, Amine, 2023. "Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?," Journal of Banking & Finance, Elsevier, vol. 151(C).
    13. Quang Thi Thieu Nguyen & Christopher Gan & Zhaohua Li, 2020. "Capital regulation and bank balance sheet adjustments: a simultaneous approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1563-1599, June.
    14. Bunkanwanicha, Pramuan & Gupta, Jyoti & Wiwattanakantang, Yupana, 2016. "Pyramidal group structure and bank risk in Thailand," Journal of Comparative Economics, Elsevier, vol. 44(2), pages 272-288.
    15. Piotr Dybka & Bartosz Olesiński & Piotr Pękała & Andrzej Torój, 2017. "To SVAR or to SVEC? On the transmission of capital buffer shocks to the real economy," Bank i Kredyt, Narodowy Bank Polski, vol. 48(2), pages 119-148.
    16. Raffaella Calabrese & Johan A. Elkink & Paolo Giudici, 2014. "Measuring Bank Contagion in Europe Using Binary Spatial Regression Models," DEM Working Papers Series 096, University of Pavia, Department of Economics and Management.
    17. Laetitia Lepetit & Amine Tarazi & Nadia Zedek, 2012. "Ultimate Ownership Structure and Bank Regulatory Capital Adjustment: Evidence from European Commercial Banks," Working Papers hal-00918579, HAL.
    18. Phung, Quang Thanh & Van Vu, Huong & Tran, Huy Phuoc, 2022. "Do non-performing loans impact bank efficiency?," Finance Research Letters, Elsevier, vol. 46(PB).
    19. Cao, Yifei & Whyte, Kemar, 2022. "Corporate Tax Shields and Capital Structure: Levelling the Playing Field in Debt vs Equity Finance," National Institute of Economic and Social Research (NIESR) Discussion Papers 542, National Institute of Economic and Social Research.
    20. Carmela D’Avino, 2015. "Pro-Cyclical Banking Leverage in France: On its Existence and Management," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 5(5), pages 1-11.
    21. Bert Loudis & Ben Ranish, 2019. "CECL and the Credit Cycle," Finance and Economics Discussion Series 2019-061, Board of Governors of the Federal Reserve System (U.S.).
    22. Jiang, Chunxia & Liu, Hong & Molyneux, Philip, 2019. "Do different forms of government ownership matter for bank capital behavior? Evidence from China," Journal of Financial Stability, Elsevier, vol. 40(C), pages 38-49.
    23. Fiordelisi, Franco & Marques-Ibanez, David & Molyneux, Phil, 2011. "Efficiency and risk in European banking," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1315-1326, May.
    24. Wahyoe Soedarmono & Philippe Rous & Amine Tarazi, 2011. "Bank Capital and Self-Interested Managers: Evidence from Indonesia," Working Papers hal-00918584, HAL.
    25. Wojewodzki, Michal & Boateng, Agyenim & Brahma, Sanjukta, 2020. "Credit rating, banks' capital structure and speed of adjustment: A cross-country analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 69(C).
    26. Gilani, Usman & Keasey, Kevin & Vallascas, Francesco, 2021. "Board financial expertise and the capital decisions of US banks," Journal of Corporate Finance, Elsevier, vol. 71(C).
    27. Viral V. Acharya & Hamid Mehran & Anjan V. Thakor, 2010. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting," Working Papers (Old Series) 1024, Federal Reserve Bank of Cleveland.
    28. Pennacchi, George & Vermaelen, Theo & Wolff, Christian C. P., 2014. "Contingent Capital: The Case of COERCs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 541-574, June.
    29. Laetitia Lepetit & Amine Tarazi & Nadia Zedek, 2012. "Bank Regulatory Capital Adjustment and Ultimate Ownership Structure: Evidence from European Commercial Banks," Working Papers hal-00918577, HAL.
    30. Ly, Kim Cuong & Chen, Zhizhen & Wang, Senyu & Jiang, Yuxiang, 2017. "The Basel III net stable funding ratio adjustment speed and systemic risk," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 169-182.
    31. Martynova, Natalya & Vogel, Ursula, 2021. "Banks' complexity-risk nexus and the role of regulation," Discussion Papers 14/2021, Deutsche Bundesbank.
    32. A. Baglioni & E. Beccalli & A. Boitani & A. Monticini, 2013. "Is the leverage of European banks procyclical?," Empirical Economics, Springer, vol. 45(3), pages 1251-1266, December.
    33. Mamatzakis, Emmanuel & Zhang, Xiaoxiang & Wang, Chaoke, 2016. "Invisible hand discipline from informed trading: Does market discipline from trading affect bank capital structure?," MPRA Paper 76215, University Library of Munich, Germany.
    34. Shaofang Li, 2021. "Quality of Bank Capital, Competition, and Risk-Taking: Some International Evidence," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(12), pages 3455-3488, September.
    35. Olalere Oluwaseyi Ebenezer & Md. Aminul Islam & Wan Sallha Yusoff & Farid Ahammad Sobhani, 2019. "Exploring Liquidity Risk and Interest-Rate Risk: Implications for Profitability and Firm Value in Nigerian Banks," Journal of Reviews on Global Economics, Lifescience Global, vol. 8, pages 315-326.
    36. Maurin, Laurent & Toivanen, Mervi, 2012. "Risk, capital buffer and bank lending: a granular approach to the adjustment of euro area banks," Working Paper Series 1499, European Central Bank.
    37. Couaillier, Cyril, 2021. "What are banks’ actual capital targets?," Working Paper Series 2618, European Central Bank.
    38. De Jonghe, O.G. & Öztekin, Ö., 2015. "Bank capital management : International evidence," Other publications TiSEM 678d7410-481b-496f-98d5-d, Tilburg University, School of Economics and Management.
    39. de Ramon, Sebastian & Francis, William & Milonas, Kristoffer, 2017. "An overview of the UK banking sector since the Basel Accord: insights from a new regulatory database," Bank of England working papers 652, Bank of England.
    40. Christoph Bertsch & Mike Mariathasan, 2021. "Optimal bank leverage and recapitalization in crowded markets," BIS Working Papers 923, Bank for International Settlements.
    41. Kosuke Aoki & Ko Munakata & Nao Sudo, 2019. "Prolonged Low Interest Rates and Banking Stability," IMES Discussion Paper Series 19-E-21, Institute for Monetary and Economic Studies, Bank of Japan.
    42. Behn, Markus & Daminato, Claudio & Salleo, Carmelo, 2019. "A dynamic model of bank behaviour under multiple regulatory constraints," Working Paper Series 2233, European Central Bank.
    43. Yassine Bakkar & Olivier de Jonghe & Amine Tarazi, 2017. "Does banks' systemic importance affect their capital structure adjustment process?," Working Papers hal-01546995, HAL.
    44. Jiang Cheng & Mary A. Weiss, 2011. "The Regulatory Effect of Risk-Based Capital in Property-Liability Insurance," NFI Working Papers 2011-WP-20, Indiana State University, Scott College of Business, Networks Financial Institute.
    45. Mr. Scott Roger & Mr. Jan Vlcek, 2011. "Macroeconomic Costs of Higher Bank Capital and Liquidity Requirements," IMF Working Papers 2011/103, International Monetary Fund.
    46. Sara Longo & Antonio Parbonetti & Amedeo Pugliese, 2022. "Investors’ expectations around quantitative easing: does liquidity injection affect European banks equally?," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 26(3), pages 957-996, September.
    47. Giebel, Marek & Kraft, Kornelius, 2020. "R&D investment under financing constraints," ZEW Discussion Papers 20-018, ZEW - Leibniz Centre for European Economic Research.
    48. Hans Degryse & Sanja Jakovljević & Steven Ongena, 2015. "A Review of Empirical Research on the Design and Impact of Regulation in the Banking Sector," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 423-443, December.
    49. Saona, Paolo, 2016. "Intra- and extra-bank determinants of Latin American Banks' profitability," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 197-214.
    50. Raupach, Peter & Memmel, Christoph, 2021. "Banks' credit losses and lending dynamics," Discussion Papers 36/2021, Deutsche Bundesbank.
    51. Yann Braouezec & Keyvan Kiani, 2021. "Target capital ratio and optimal channel(s) of adjustment: A simple model with empirical applications to European banks," Post-Print halshs-03341768, HAL.
    52. Emanuel Barnea & Moshe Kim, 2014. "Dynamics of Banks' Capital Accumulation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 779-816, June.
    53. Chia-Chien Chang & Min-Teh Yu, 2018. "Bank Contingent Capital: Valuation and the Role of Market Discipline," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 49-80, August.

  18. Christoph Memmel & Ingrid Stein, 2008. "European Data Watch: The Deutsche Bundesbank’s prudential database (BAKIS)," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 128(2), pages 321-328.

    Cited by:

    1. Bornemann, Sven & Kick, Thomas & Pfingsten, Andreas & Schertler, Andrea, 2015. "Earnings baths by CEOs during turnovers: empirical evidence from German savings banks," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 188-201.
    2. Bersch, Johannes & Degryse, Hans & Kick, Thomas & Stein, Ingrid, 2019. "The real effects of bank distress: Evidence from bank bailouts in Germany," ZEW Discussion Papers 19-041, ZEW - Leibniz Centre for European Economic Research.
    3. Memmel, Christoph & Schertler, Andrea, 2011. "Banks' management of the net interest margin: Evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2011,13, Deutsche Bundesbank.
    4. Christoph Memmel & Angelika Sachs & Ingrid Stein, 2012. "Contagion in the Interbank Market with Stochastic Loss Given Default," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 177-206, September.
    5. Sven Bornemann & Susanne Homölle & Carsten Hubensack & Thomas Kick & Andreas Pfingsten, 2014. "Visible Reserves in Banks – Determinants of Initial Creation, Usage and Contribution to Bank Stability," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(5-6), pages 507-544, June.
    6. Domikowsky, Christian & Bornemann, Sven & Duellmann, Klaus & Pfingsten, Andreas, 2014. "Loan loss provisioning and procyclicality: Evidence from an expected loss model," Discussion Papers 39/2014, Deutsche Bundesbank.
    7. Marek, Philipp & Stein, Ingrid, 2022. "Basel III and SME bank finance in Germany," Discussion Papers 37/2022, Deutsche Bundesbank.

  19. Christoph Memmel, 2008. "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, vol. 1(1), pages 85-104.
    See citations under working paper version above.
  20. Alexander Kempf & Christoph Memmel, 2006. "Estimating the global Minimum Variance Portfolio," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 58(4), pages 332-348, October.

    Cited by:

    1. Gabriel Frahm & Tobias Wickern & Christof Wiechers, 2012. "Multiple tests for the performance of different investment strategies," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 343-383, July.
    2. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
    3. Caccioli, Fabio & Kondor, Imre & Papp, Gábor, 2015. "Portfolio optimization under expected shortfall: contour maps of estimation error," LSE Research Online Documents on Economics 119463, London School of Economics and Political Science, LSE Library.
    4. Hao Liu & Winfried Pohlmeier, 2013. "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series 47_13, Rimini Centre for Economic Analysis.
    5. Chiu, Wan-Yi, 2022. "Another look at portfolio optimization with mental accounts," Applied Mathematics and Computation, Elsevier, vol. 419(C).
    6. Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en, 2019. "Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions," Papers 1908.04243, arXiv.org, revised Apr 2023.
    7. Bertrand Candelon & Christophe Hurlin & Sessi Tokpavi, 2012. "Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios," Post-Print hal-01385835, HAL.
    8. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2009. "Statistical inference of the efficient frontier for dependent asset returns," Statistical Papers, Springer, vol. 50(3), pages 593-604, June.
    9. Busch, Ramona & Memmel, Christoph, 2015. "Banks Net Interest Margin and the Level of Interest Rates," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113187, Verein für Socialpolitik / German Economic Association.
    10. Frahm, Gabriel & Memmel, Christoph, 2008. "Dominating estimators for the global minimum variance portfolio," Discussion Papers in Econometrics and Statistics 2/08, University of Cologne, Institute of Econometrics and Statistics.
    11. Chavez-Bedoya, Luis & Rosales, Francisco, 2021. "Reduction of estimation risk in optimal portfolio choice using redundant constraints," International Review of Financial Analysis, Elsevier, vol. 78(C).
    12. Thomas Holgersson & Peter Karlsson & Andreas Stephan, 2020. "A risk perspective of estimating portfolio weights of the global minimum-variance portfolio," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 59-80, March.
    13. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
    14. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," Post-Print hal-01243408, HAL.
    15. Papp, Gábor & Kondor, Imre & Caccioli, Fabio, 2021. "Optimizing expected shortfall under an ℓ1 constraint—an analytic approach," LSE Research Online Documents on Economics 111051, London School of Economics and Political Science, LSE Library.
    16. Luo, Jiawen & Chen, Langnan, 2020. "Realized volatility forecast with the Bayesian random compressed multivariate HAR model," International Journal of Forecasting, Elsevier, vol. 36(3), pages 781-799.
    17. Chiu, Wan-Yi & Jiang, Ching-Hai, 2016. "On the weight sign of the global minimum variance portfolio," Finance Research Letters, Elsevier, vol. 19(C), pages 241-246.
    18. Chavez-Bedoya, Luis & Rosales, Francisco, 2022. "Orthogonal portfolios to assess estimation risk," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 906-937.
    19. Gabriel Frahm, 2010. "Linear statistical inference for global and local minimum variance portfolios," Statistical Papers, Springer, vol. 51(4), pages 789-812, December.
    20. Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
    21. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris Nanterre, EconomiX.
    22. Anja Vinzelberg & Benjamin R. Auer, 2022. "Unprofitability of food market investments," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(7), pages 2887-2910, October.
    23. Jiawen Luo & Langnan Chen, 2019. "Multivariate realized volatility forecasts of agricultural commodity futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1565-1586, December.
    24. Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid, 2017. "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting," Papers 1710.09587, arXiv.org, revised Jul 2019.
    25. Caldeira, João F. & Santos, André A.P. & Torrent, Hudson S., 2023. "Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics," Economic Modelling, Elsevier, vol. 122(C).
    26. Chiu, Wan-Yi, 2022. "Stepwise expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 46(PA).
    27. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
    28. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    29. Raymond Kan & Xiaolu Wang & Guofu Zhou, 2022. "Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case," Management Science, INFORMS, vol. 68(3), pages 2047-2068, March.
    30. Alexander Bade & Gabriel Frahm & Uwe Jaekel, 2009. "A general approach to Bayesian portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(2), pages 337-356, October.
    31. Zhou, Zhongbao & Gao, Meng & Xiao, Helu & Wang, Rui & Liu, Wenbin, 2021. "Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources," Omega, Elsevier, vol. 104(C).
    32. N’Golo Koné, 2020. "Regularized Maximum Diversification Investment Strategy," Econometrics, MDPI, vol. 9(1), pages 1-23, December.
    33. Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
    34. Gabriel Frahm & Christoph Memmel, 2010. "Dominating Estimators for Minimum-Variance Portfolios," Post-Print hal-00741629, HAL.
    35. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
    36. Massimo Guidolin & Manuela Pedio, 2019. "How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs," BAFFI CAREFIN Working Papers 19117, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    37. Frahm, Gabriel, 2007. "Linear statistical inference for global and local minimum variance portfolios," Discussion Papers in Econometrics and Statistics 1/07, University of Cologne, Institute of Econometrics and Statistics.
    38. Jiawen Luo & Qun Zhang, 2024. "Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 151-217, February.
    39. Frahm, Gabriel & Wiechers, Christof, 2011. "On the diversification of portfolios of risky assets," Discussion Papers in Econometrics and Statistics 2/11, University of Cologne, Institute of Econometrics and Statistics.
    40. Bade, Alexander & Frahm, Gabriel & Jaekel, Uwe, 2008. "A general approach to Bayesian portfolio optimization," Discussion Papers in Econometrics and Statistics 1/08, University of Cologne, Institute of Econometrics and Statistics.
    41. Fliege, Jörg & Werner, Ralf, 2014. "Robust multiobjective optimization & applications in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 422-433.
    42. N'Golo Kone, 2021. "Regularized Maximum Diversification Investment Strategy," Working Paper 1450, Economics Department, Queen's University.
    43. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
    44. Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
    45. Jiawen Luo & Oguzhan Cepni & Riza Demirer & Rangan Gupta, 2022. "Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies," Working Papers 202258, University of Pretoria, Department of Economics.
    46. Varga-Haszonits, Istvan & Caccioli, Fabio & Kondor, Imre, 2016. "Replica approach to mean-variance portfolio optimization," LSE Research Online Documents on Economics 68955, London School of Economics and Political Science, LSE Library.
    47. Axel Pruser & Imre Kondor & Andreas Engel, 2021. "Aspects of a phase transition in high-dimensional random geometry," Papers 2105.04395, arXiv.org, revised Jun 2021.
    48. G'abor Papp & Imre Kondor & Fabio Caccioli, 2021. "Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach," Papers 2103.04375, arXiv.org.
    49. Lan, Wei & Wang, Hansheng & Tsai, Chih-Ling, 2012. "A Bayesian information criterion for portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 88-99, January.
    50. Busch, Ramona & Memmel, Christoph, 2021. "Why are interest rates on bank deposits so low?," Discussion Papers 46/2021, Deutsche Bundesbank.
    51. Baruník, Jozef & Čech, František, 2021. "Measurement of common risks in tails: A panel quantile regression model for financial returns," Journal of Financial Markets, Elsevier, vol. 52(C).
    52. Frahm, Gabriel, 2010. "An analytical investigation of estimators for expected asset returns from the perspective of optimal asset allocation," Discussion Papers in Econometrics and Statistics 1/10, University of Cologne, Institute of Econometrics and Statistics.
    53. Kazak, Ekaterina & Pohlmeier, Winfried, 2019. "Testing out-of-sample portfolio performance," International Journal of Forecasting, Elsevier, vol. 35(2), pages 540-554.
    54. Wan-Yi Chiu, 2020. "The global minimum variance hedge," Review of Derivatives Research, Springer, vol. 23(2), pages 121-144, July.
    55. Imre Kondor & G'abor Papp & Fabio Caccioli, 2016. "Analytic solution to variance optimization with no short-selling," Papers 1612.07067, arXiv.org, revised Jan 2017.

Chapters

    Sorry, no citations of chapters recorded.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.