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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. Memmel, Christoph & Roling, Christoph, 2021. "Risiken im Unternehmenskreditgeschäft inländischer Banken [Risks in domestic banks' corporate lending business]," Technical Papers 08/2021, Deutsche Bundesbank.

    Cited by:

    1. Schober, Dominik & Etzel, Tobias & Falter, Alexander & Frankovic, Ivan & Gross, Christian & Kablau, Anke & Lauscher, Pierre & Ohls, Jana & Strobel, Lena & Wilke, Hannes, 2021. "Sensitivitätsanalyse klimabezogener Transitionsrisiken des deutschen Finanzsektors [Sensitivity analysis of climate-related transition risks in the German financial sector]," Technical Papers 13/2021, Deutsche Bundesbank.
    2. Pelzer, Manuel & Barasinska, Nataliya & Buchholz, Manuel & Friedrich, Sören & Geiger, Sebastian & Hristov, Nikolay & Jamaldeen, Philip & Löffler, Axel & Madjarac, Marcel & Roth, Markus & Silbermann, L, 2021. "Deleveraging-Potenzial im deutschen Bankensystem und Auswirkungen auf die Finanzstabilität [Potential deleveraging in the German banking system and effects on financial stability]," Technical Papers 12/2021, Deutsche Bundesbank.

  2. Busch, Ramona & Memmel, Christoph, 2021. "Why are interest rates on bank deposits so low?," Discussion Papers 46/2021, Deutsche Bundesbank.

    Cited by:

    1. Memmel, Christoph, 2023. "Abschätzung des Zinseinkommens der Banken in Deutschland," Technical Papers 05/2023, Deutsche Bundesbank.

  3. Busch, Ramona & Littke, Helge & Memmel, Christoph & Niederauer, Simon, 2021. "German banks' behavior in the low interest rate environment," Discussion Papers 23/2021, Deutsche Bundesbank.

    Cited by:

    1. Davidson, Sharada Nia & Moccero, Diego Nicolas, 2024. "The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries," Working Paper Series 2912, European Central Bank.

  4. 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. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.
    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. Memmel, Christoph, 2023. "Abschätzung des Zinseinkommens der Banken in Deutschland," Technical Papers 05/2023, Deutsche Bundesbank.

  5. 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.

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

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.

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

    Cited by:

    1. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, 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. 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.

  8. 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. Oshima, Katsuhiro, 2020. "Search for yield and business cycles," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    3. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    4. Katsuhiro Oshima, 2017. "Search-for-Yield and Business Cycles," KIER Working Papers 962, Kyoto University, Institute of Economic Research.
    5. 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. 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.

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

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Buchholz, Manuel & Schmidt, Kirsten & Tonzer, Lena, 2020. "Do conventional monetary policy instruments matter in unconventional times?," Journal of Banking & Finance, Elsevier, vol. 118(C).
    8. Claudio Borio & Boris Hofmann, 2017. "Is monetary policy less effective when interest rates are persistently low?," BIS Working Papers 628, Bank for International Settlements.
    9. 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).
    10. Memmel Christoph & Seymen Atılım & Teichert Max, 2018. "Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence," German Economic Review, De Gruyter, vol. 19(3), pages 330-350, August.
    11. 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.
    12. 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.
    13. Borio, Claudio & Gambacorta, Leonardo, 2017. "Monetary policy and bank lending in a low interest rate environment: Diminishing effectiveness?," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 217-231.
    14. Giampaolo Bonomi & Ali Uppal, 2023. "Kites and Quails: Monetary Policy and Communication with Strategic Financial Markets," Papers 2305.08958, arXiv.org.
    15. 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.
    16. 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.
    17. 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).
    18. Juliane Gerstenberger & Gunther Schnabl, 2017. "The Impact of Japanese Monetary Policy Crisis Management on the Japanese Banking Sector," CESifo Working Paper Series 6440, CESifo.
    19. 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.
    20. 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.
    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. Anthony Birchwood & Michael Brei & Dorian Noel, 2016. "Bank interest margins and regulation in Central America and the Caribbean," Working Papers hal-04141575, HAL.
    24. 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.
    25. Busch, Ramona & Drescher, Christian & Memmel, Christoph, 2017. "Bank stress testing under different balance sheet assumptions," Discussion Papers 07/2017, Deutsche Bundesbank.
    26. Groslambert Bertrand & Raphaël Chiappini & Olivier Bruno, 2016. "Desperately seeking cash: Evidence from bank output measurement," Post-Print hal-01358830, HAL.
    27. 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.
    28. 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. Busch, Ramona & Memmel, Christoph, 2014. "Quantifying the components of the banks' net interest margin," Discussion Papers 15/2014, Deutsche Bundesbank.

    Cited by:

    1. Dombret, Andreas & Gündüz, Yalin & Rocholl, Jörg, 2017. "Will German banks earn their cost of capital?," Discussion Papers 01/2017, Deutsche Bundesbank.
    2. Memmel, Christoph, 2017. "Why do banks bear interest rate risk?," Discussion Papers 35/2017, Deutsche Bundesbank.
    3. Raymond F. D. D. Chaudron & Leo Haan & Marco Hoeberichts, 2023. "Banks’ Net Interest Income from Maturity Transformation and Other Interest Income: Communicating Vessels?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(1), pages 35-62, February.
    4. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.
    5. 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.
    6. Busch, Ramona & Drescher, Christian & Memmel, Christoph, 2017. "Bank stress testing under different balance sheet assumptions," Discussion Papers 07/2017, Deutsche Bundesbank.

  11. 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. 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.
    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. 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).
    5. 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).

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

    Cited by:

    1. Lukasz Prorokowski, 2020. "Macroprudential due-diligence framework for shadow banking entities," Bank i Kredyt, Narodowy Bank Polski, vol. 51(6), pages 587-612.
    2. 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.
    3. 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.
    4. 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.
    5. Schober, Dominik & Etzel, Tobias & Falter, Alexander & Frankovic, Ivan & Gross, Christian & Kablau, Anke & Lauscher, Pierre & Ohls, Jana & Strobel, Lena & Wilke, Hannes, 2021. "Sensitivitätsanalyse klimabezogener Transitionsrisiken des deutschen Finanzsektors [Sensitivity analysis of climate-related transition risks in the German financial sector]," Technical Papers 13/2021, Deutsche Bundesbank.
    6. 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.
    7. 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.
    8. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2012. "The common drivers of default risk," Discussion Papers 36/2012, Deutsche Bundesbank.
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    13. Raupach, Peter & Memmel, Christoph, 2021. "Banks' credit losses and lending dynamics," Discussion Papers 36/2021, Deutsche Bundesbank.
    14. 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.
    15. 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.
    16. 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.
    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. 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.
    19. 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.
    20. de Roure, Calebe & Pelizzon, Loriana & Tasca, Paolo, 2016. "How does P2P lending fit into the consumer credit market?," Discussion Papers 30/2016, Deutsche Bundesbank.

  13. 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. Dombret, Andreas & Gündüz, Yalin & Rocholl, Jörg, 2017. "Will German banks earn their cost of capital?," Discussion Papers 01/2017, Deutsche Bundesbank.
    2. 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.
    3. Beatriz Cuéllar Fernández & Yolanda Fuertes-Callén & Carlos Serrano-Cinca & Begoña Gutiérrez-Nieto, 2012. "Determinants of Margin in Microfinance Institutions," Working Papers CEB 12-030, ULB -- Universite Libre de Bruxelles.
    4. 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.
    5. Selcuk Gul, 2024. "Sovereign Risk and Local Currency Lending Rates: Evidence from Five OECD Countries," CBT Research Notes in Economics 2403, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. 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.
    7. 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.
    8. 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.
    9. Kapounek, Svatopluk & Kučerová, Zuzana & Fidrmuc, Jarko, 2017. "Lending conditions in EU: The role of credit demand and supply," Economic Modelling, Elsevier, vol. 67(C), pages 285-293.
    10. International Monetary Fund, 2014. "Republic of Azerbaijan: Selected Issues," IMF Staff Country Reports 2014/160, International Monetary Fund.
    11. 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.
    12. 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.
    13. Raymond F. D. D. Chaudron & Leo Haan & Marco Hoeberichts, 2023. "Banks’ Net Interest Income from Maturity Transformation and Other Interest Income: Communicating Vessels?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(1), pages 35-62, February.
    14. 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).
    15. Li Xian Liu & Milind Sathye, 2019. "Bank Interest Rate Margin, Portfolio Composition and Institutional Constraints," JRFM, MDPI, vol. 12(3), pages 1-21, July.
    16. 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.
    17. Xuan Wang, 2020. "A Macro-Financial Perspective to Analyse Maturity Mismatch and Default," Tinbergen Institute Discussion Papers 20-064/IV, Tinbergen Institute.
    18. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    19. 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.
    20. 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.
    21. 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.
    22. 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).
    23. 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.
    24. 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.
    25. Lavezzolo, Sebastián, 2020. "Political regimes and bank interest margins," Economic Systems, Elsevier, vol. 44(2).
    26. 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).
    27. 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.
    28. von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2015. "The interest rate pass-through in the euro area during the sovereign debt crisis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113035, Verein für Socialpolitik / German Economic Association.
    29. Doojav, Gan-Ochir, 2017. "Factors explaining high interest rates in Mongolia: A Markov Regime-Switching approach," MPRA Paper 103514, University Library of Munich, Germany.
    30. 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.
    31. 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).
    32. 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).
    33. 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.
    34. 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.
    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. 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.
    37. 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.
    38. 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.
    39. Anthony Birchwood & Michael Brei & Dorian Noel, 2016. "Bank interest margins and regulation in Central America and the Caribbean," Working Papers hal-04141575, HAL.
    40. 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.
    41. 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.
    42. 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.
    43. 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).
    44. 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.
    45. 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.
    46. 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.
    47. 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).
    48. 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.
    49. 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.
    50. 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.
    51. 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.
    52. 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).
    53. 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.

  14. 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. 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," BIS Working Papers 821, Bank for International Settlements.
    2. León, Carlos & Machado, Clara & Sarmiento, Miguel, 2018. "Identifying central bank liquidity super-spreaders in interbank funds networks," Journal of Financial Stability, Elsevier, vol. 35(C), pages 75-92.
    3. 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.
    4. Jose Fique, 2016. "A Microfounded Design of Interconnectedness-Based Macroprudential Policy," Staff Working Papers 16-6, Bank of Canada.
    5. Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2016. "Credit risk interconnectedness: What does the market really know?," Discussion Papers 09/2016, Deutsche Bundesbank.
    6. Iñaki Aldasoro & Domenico Delli Gatti & Ester Faia, 2015. "Bank Networks: Contagion, Systemic Risk and Prudential Policy," DISCE - Working Papers del Dipartimento di Economia e Finanza def028, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    7. 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.
    8. 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.
    9. Kartik Anand & Ben Craig & Goetz von Peter, 2014. "Filling in the Blanks: Network Structure and Interbank Contagion," BIS Working Papers 455, Bank for International Settlements.
    10. 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.
    11. 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).
    12. Simone Berardi & Gabriele Tedeschi, 2015. "From banks’ strategies to financial (in)stability," Working Papers 2015/11, Economics Department, Universitat Jaume I, Castellón (Spain).
    13. 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.
    14. Leventides, John & Loukaki, Kalliopi & Papavassiliou, Vassilios G., 2019. "Simulating financial contagion dynamics in random interbank networks," Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 500-525.
    15. Amanda, Citra, 2023. "Rural banking spatial competition and stability," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 492-504.
    16. Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020. "Interbank risk assessment: A simulation approach," Discussion Papers 23/2020, Deutsche Bundesbank.
    17. Aldasoro, Iñaki & Faia, Ester, 2016. "Systemic loops and liquidity regulation," Journal of Financial Stability, Elsevier, vol. 27(C), pages 1-16.
    18. 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).
    19. 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.
    20. 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.
    21. 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.
    22. Löffler, Gunter & Raupach, Peter, 2013. "Robustness and informativeness of systemic risk measures," Discussion Papers 04/2013, Deutsche Bundesbank.
    23. 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.
    24. Leonidas Sandoval Junior, 2014. "Dynamics in two networks based on stocks of the US stock market," Papers 1408.1728, arXiv.org, revised Aug 2014.
    25. 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.
    26. 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.
    27. 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.
    28. Samitas, Aristeidis & Polyzos, Stathis & Siriopoulos, Costas, 2018. "Brexit and financial stability: An agent-based simulation," Economic Modelling, Elsevier, vol. 69(C), pages 181-192.
    29. 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.
    30. 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.

  15. 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. 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.
    2. 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.
    3. 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.
    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. 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. 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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.

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

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2020. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper series 20-03, Rimini Centre for Economic Analysis.
    5. Olivier Ledoit & Michael Wolf, 2022. "Markowitz portfolios under transaction costs," ECON - Working Papers 420, Department of Economics - University of Zurich, revised Jan 2024.
    6. Bodnar, Olha & Bodnar, Taras & Parolya, Nestor, 2022. "Recent advances in shrinkage-based high-dimensional inference," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    7. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013. "On the equivalence of quadratic optimization problems commonly used in portfolio theory," European Journal of Operational Research, Elsevier, vol. 229(3), pages 637-644.
    8. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
    9. 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.
    10. 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.
    11. Vasyl Golosnoy & Nestor Parolya, 2016. "`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers," Papers 1611.01524, arXiv.org.
    12. 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.
    13. Taras Bodnar & Yarema Okhrin & Nestor Parolya, 2022. "Optimal Shrinkage-Based Portfolio Selection in High Dimensions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 140-156, December.
    14. 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.
    15. 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.
    16. Bodnar, Taras & Gupta, Arjun K. & Parolya, Nestor, 2014. "On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 215-228.
    17. Chen, J. & Li, D. & Linton, O., 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Cambridge Working Papers in Economics 1876, Faculty of Economics, University of Cambridge.
    18. Hao Liu & Winfried Pohlmeier, 2013. "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series 47_13, Rimini Centre for Economic Analysis.
    19. 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.
    20. 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.
    21. 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.
    22. 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.
    23. 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.
    24. Li, Hua & Bai, Zhi Dong & Wong, Wing Keung, 2015. "High dimensional Global Minimum Variance Portfolio," MPRA Paper 66284, University Library of Munich, Germany.
    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. 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.
    27. Golosnoy, Vasyl & Gribisch, Bastian, 2022. "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, vol. 138(C).
    28. 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.
    29. 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.
    30. 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.
    31. 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.
    32. 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.
    33. 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.
    34. G'abor Papp & Imre Kondor & Fabio Caccioli, 2021. "Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach," Papers 2103.04375, arXiv.org.
    35. 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.
    36. Bodnar, Taras & Parolya, Nestor & Thorsén, Erik, 2023. "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Finance Research Letters, Elsevier, vol. 54(C).
    37. 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.
    38. 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).
    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. 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.
    41. Vasyl Golosnoy & Benno Hildebrandt & Steffen Köhler, 2019. "Modeling and Forecasting Realized Portfolio Diversification Benefits," JRFM, MDPI, vol. 12(3), pages 1-16, July.
    42. 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.
    43. Gabriel Frahm, 2015. "A theoretical foundation of portfolio resampling," Theory and Decision, Springer, vol. 79(1), pages 107-132, July.
    44. 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.
    45. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
    46. 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.
    47. Kazak, Ekaterina & Pohlmeier, Winfried, 2019. "Testing out-of-sample portfolio performance," International Journal of Forecasting, Elsevier, vol. 35(2), pages 540-554.
    48. 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.
    49. 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.
    50. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
    51. 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.
    52. 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.
    53. 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.
    54. 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.
    55. Lassance, Nathan, 2021. "Maximizing the Out-of-Sample Sharpe Ratio," LIDAM Discussion Papers LFIN 2021013, Université catholique de Louvain, Louvain Finance (LFIN).
    56. 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.
    57. Gulliksson, Mårten & Mazur, Stepan, 2019. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Working Papers 2019:3, Örebro University, School of Business.
    58. 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.
    59. 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).

  18. 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. Dombret, Andreas & Gündüz, Yalin & Rocholl, Jörg, 2017. "Will German banks earn their cost of capital?," Discussion Papers 01/2017, Deutsche Bundesbank.
    2. 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.
    3. 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).
    4. 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.
    5. Memmel, Christoph, 2017. "Why do banks bear interest rate risk?," Discussion Papers 35/2017, Deutsche Bundesbank.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.
    11. 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.
    12. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    13. Memmel Christoph & Seymen Atılım & Teichert Max, 2018. "Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence," German Economic Review, De Gruyter, vol. 19(3), pages 330-350, August.
    14. 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.
    15. 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.
    16. Busch, Ramona & Memmel, Christoph, 2015. "Banks' net interest margin and the level of interest rates," Discussion Papers 16/2015, Deutsche Bundesbank.
    17. 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.
    18. 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.
    19. 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.
    20. 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.
    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. 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).
    23. 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.
    24. 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.
    25. Stéphane Albert & Hervé Alexandre, 2013. "Banks’ Earnings: an empirical evidence of the influence of economic and financial markets factors," Post-Print hal-01622842, HAL.
    26. 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.
    27. 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.

  19. 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. Dombret, Andreas & Gündüz, Yalin & Rocholl, Jörg, 2017. "Will German banks earn their cost of capital?," Discussion Papers 01/2017, Deutsche Bundesbank.
    2. Shala, Iliriana & Schumacher, Benno, 2022. "The impact of natural disasters on banks' impairment flow: Evidence from Germany," Discussion Papers 36/2022, Deutsche Bundesbank.
    3. 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.
    4. 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).
    5. Sopp, Heiko, 2018. "Interest rate pass-through to the rates of core deposits: A new perspective," Discussion Papers 25/2018, Deutsche Bundesbank.
    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. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. Köhler, Matthias, 2013. "Does non-interest income make banks more risky? Retail- versus investment-oriented banks," Discussion Papers 17/2013, Deutsche Bundesbank.
    13. 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.
    14. 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.
    15. Claudia M. Buch & Esteban Prieto, 2012. "Do Better Capitalized Banks Lend Less? Long-Run Panel Evidence from Germany," IAW Discussion Papers 84, Institut für Angewandte Wirtschaftsforschung (IAW).
    16. 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.
    17. 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).
    18. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2012. "The common drivers of default risk," Discussion Papers 36/2012, Deutsche Bundesbank.
    19. 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.
    20. 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.
    21. Bornemann, Sven & Pfingsten, Andreas & Kick, Thomas & Schertler, Andrea, 2014. "Earnings baths by bank CEOs during turnovers," Discussion Papers 05/2014, Deutsche Bundesbank.
    22. 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.
    23. 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.
    24. 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.
    25. 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.
    26. 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.
    27. 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).

  20. 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. 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.
    3. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
    4. 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.

  21. 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. 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.
    2. 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.
    3. 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.
    4. Kick, Thomas & Nehring, Inge & Schertler, Andrea, 2017. "Do all new brooms sweep clean? Evidence for outside bank appointments," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 135-151.
    5. 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.
    6. Bornemann, Sven & Pfingsten, Andreas & Kick, Thomas & Schertler, Andrea, 2014. "Earnings baths by bank CEOs during turnovers," Discussion Papers 05/2014, Deutsche Bundesbank.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    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. 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.
    15. 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.
    16. 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.
    17. 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).

  22. 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. Presbitero, Andrea F. & Zazzaro, Alberto, 2011. "Competition and relationship lending: Friends or foes?," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 387-413, July.
    2. Stein Ingrid, 2015. "The Price Impact of Lending Relationships," German Economic Review, De Gruyter, vol. 16(3), pages 367-389, August.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Nitsch, Volker, 2016. "Cutting the Credit Line: Evidence from Germany," VfS Annual Conference 2016 (Augsburg): Demographic Change 145753, Verein für Socialpolitik / German Economic Association.
    8. 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).
    9. 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.
    10. Kinda Hachem, 2010. "Relationship Lending and the Transmission of Monetary Policy," 2010 Meeting Papers 1096, Society for Economic Dynamics.
    11. Paola Valbonesi & Federico Biagi, 2016. "Incentivising Innovation and Adoption of ICT: ICT Innovation Voucher Programmes," JRC Research Reports JRC104057, Joint Research Centre.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.
    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. 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.
    19. 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.
    20. 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.
    21. 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.
    22. 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.
    23. 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.
    24. 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.

  23. 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. 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.
    4. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.

  24. 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. Dombret, Andreas & Gündüz, Yalin & Rocholl, Jörg, 2017. "Will German banks earn their cost of capital?," Discussion Papers 01/2017, Deutsche Bundesbank.
    2. 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.
    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. 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).
    5. 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.
    6. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.
    7. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    8. Memmel Christoph & Seymen Atılım & Teichert Max, 2018. "Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence," German Economic Review, De Gruyter, vol. 19(3), pages 330-350, August.
    9. Busch, Ramona & Memmel, Christoph, 2015. "Banks' net interest margin and the level of interest rates," Discussion Papers 16/2015, Deutsche Bundesbank.
    10. 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.
    11. 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.
    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. Busch, Ramona & Memmel, Christoph, 2021. "Why are interest rates on bank deposits so low?," Discussion Papers 46/2021, Deutsche Bundesbank.
    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.

  25. 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. Sawada, Michiru, 2013. "How does the stock market value bank diversification? Empirical evidence from Japanese banks," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 40-61.
    2. Benjamin M. Tabak & Dimas M. Fazio & Daniel O. Cajueiro, 2010. "The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk," Working Papers Series 215, Central Bank of Brazil, Research Department.
    3. Jahn, Nadya & Kick, Thomas, 2012. "Early warning indicators for the German banking system: A macroprudential analysis," Discussion Papers 27/2012, Deutsche Bundesbank.
    4. Céline Meslier-Crouzille & Ruth Tacneng & Amine Tarazi, 2014. "Is Bank Income Diversification Beneficial? Evidence from an Emerging Economy," Post-Print hal-01204870, HAL.
    5. 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.
    6. 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.
    7. 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.
    8. 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).
    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. 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).
    13. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2012. "The common drivers of default risk," Discussion Papers 36/2012, Deutsche Bundesbank.
    14. 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.
    15. 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).
    16. 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.
    17. 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.
    18. 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.
    19. Busch, Ramona & Kick, Thomas, 2009. "Income diversification in the German banking industry," Discussion Paper Series 2: Banking and Financial Studies 2009,09, Deutsche Bundesbank.
    20. 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.
    21. 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.

  26. 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. Mr. Scott Roger & Mr. Jan Vlcek, 2011. "Macroeconomic Costs of Higher Bank Capital and Liquidity Requirements," IMF Working Papers 2011/103, International Monetary Fund.
    2. 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.
    3. 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.

  27. 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.

  28. 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. 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.
    2. Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
    3. Ahmad W. Bitar & Nathan de Carvalho & Valentin Gatignol, 2023. "Covariance matrix estimation for robust portfolio allocation," Working Papers hal-04046454, HAL.

Articles

  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.
    See citations under working paper version above.
  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.
    See citations under working paper version above.
  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.
    See citations under working paper version above.
  4. 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.
  5. 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.
  6. 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. 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.
    2. 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.
    3. Dursun-de Neef, H. Özlem, 2023. "Bank specialization, mortgage lending and house prices," Journal of Banking & Finance, Elsevier, vol. 151(C).

  7. 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.
  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. 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.
  10. 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. Li Xian Liu & Milind Sathye, 2019. "Bank Interest Rate Margin, Portfolio Composition and Institutional Constraints," JRFM, MDPI, vol. 12(3), pages 1-21, July.
    3. 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.
    4. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    5. 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.
    6. Busch, Ramona & Memmel, Christoph, 2015. "Banks' net interest margin and the level of interest rates," Discussion Papers 16/2015, Deutsche Bundesbank.
    7. 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.
    8. Busch, Ramona & Memmel, Christoph, 2021. "Why are interest rates on bank deposits so low?," Discussion Papers 46/2021, Deutsche Bundesbank.

  11. 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.
  12. 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. Memmel Christoph & Seymen Atılım & Teichert Max, 2018. "Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence," German Economic Review, De Gruyter, vol. 19(3), pages 330-350, August.
    3. 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.
    4. Busch, Ramona & Drescher, Christian & Memmel, Christoph, 2017. "Bank stress testing under different balance sheet assumptions," Discussion Papers 07/2017, Deutsche Bundesbank.

  13. 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.
  14. 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.
  15. 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. 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.
    2. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
    3. 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.
    4. Peltonen, Tuomas A. & Vuillemey, Guillaume, 2013. "Disentangling the bond-CDS nexus: a stress test model of the CDS market," Working Paper Series 1599, European Central Bank.
    5. Ferrara, Gerardo & Langfield, Sam & Liu, Zijun & Ota, Tomohiro, 2016. "Systemic illiquidity in the interbank network," Bank of England working papers 586, Bank of England, revised 14 Aug 2017.
    6. 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.
    7. 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.
    8. Toivanen, Mervi, 2013. "Contagion in the interbank network: An epidemiological approach," Bank of Finland Research Discussion Papers 19/2013, Bank of Finland.
    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. 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.
    13. 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.
    14. 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.
    15. 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.

  16. 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.
  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. Martynova, Natalya & Vogel, Ursula, 2021. "Banks' complexity-risk nexus and the role of regulation," Discussion Papers 14/2021, Deutsche Bundesbank.
    4. 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.
    5. 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.
    6. Phung, Quang Thanh & Van Vu, Huong & Tran, Huy Phuoc, 2022. "Do non-performing loans impact bank efficiency?," Finance Research Letters, Elsevier, vol. 46(PB).
    7. 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.
    8. 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.
    9. Garel, Alexandre & Petit-Romec, Arthur & Vennet, Rudi Vander, 2022. "Institutional Shareholders and Bank Capital," Journal of Financial Intermediation, Elsevier, vol. 50(C).
    10. 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.
    11. Mr. Scott Roger & Mr. Jan Vlcek, 2011. "Macroeconomic Costs of Higher Bank Capital and Liquidity Requirements," IMF Working Papers 2011/103, International Monetary Fund.
    12. 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.
    13. Thakor, Anjan & Acharya, Viral & Mehran, Hamid, 2012. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent-seeking and risk-shifting," CEPR Discussion Papers 8822, C.E.P.R. Discussion Papers.
    14. 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.
    15. 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.
    16. 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.).
    17. De Jonghe, Olivier & Öztekin, Özde, 2015. "Bank capital management: International evidence," Journal of Financial Intermediation, Elsevier, vol. 24(2), pages 154-177.
    18. 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.
    19. 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.
    20. 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.
    21. 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.
    22. Yassine Bakkar & Olivier De Jonghe & Amine Tarazi, 2017. "Does banks' systemic importance affect their capital structure and balance sheet adjustment processes?," Working Papers hal-01636253, HAL.
    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. 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.
    25. Wahyoe Soedarmono & Philippe Rous & Amine Tarazi, 2011. "Bank Capital and Self-Interested Managers: Evidence from Indonesia," Working Papers hal-00918584, HAL.
    26. Wolff, Christian & Pennacch, George G., 2010. "Contingent Capital: The Case for COERCs," CEPR Discussion Papers 8028, C.E.P.R. Discussion Papers.
    27. 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).
    28. 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).
    29. 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).
    30. Giebel, Marek & Kraft, Kornelius, 2020. "R&D investment under financing constraints," ZEW Discussion Papers 20-018, ZEW - Leibniz Centre for European Economic Research.
    31. Jouida, Sameh & Hellara, Slaheddine, 2018. "Diversification and target leverage of financial institutions," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 11-35.
    32. Couaillier, Cyril, 2021. "What are banks’ actual capital targets?," Working Paper Series 2618, European Central Bank.
    33. 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.
    34. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1503-1511, December.
    35. 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.
    36. 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.
    37. 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.
    38. 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.
    39. 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.
    40. Christoph Bertsch & Mike Mariathasan, 2021. "Optimal bank leverage and recapitalization in crowded markets," BIS Working Papers 923, Bank for International Settlements.
    41. Raupach, Peter & Memmel, Christoph, 2021. "Banks' credit losses and lending dynamics," Discussion Papers 36/2021, Deutsche Bundesbank.
    42. 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.
    43. 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.
    44. 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.
    45. Behn, Markus & Daminato, Claudio & Salleo, Carmelo, 2019. "A dynamic model of bank behaviour under multiple regulatory constraints," Working Paper Series 2233, European Central Bank.
    46. 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.
    47. 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.
    48. 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.
    49. 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.
    50. Yassine Bakkar & Olivier De Jonghe & Amine Tarazi, 2017. "Does banks' systemic importance affect their capital structure adjustment process?," Working Papers hal-01546995, HAL.
    51. 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.
    52. 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.
    53. 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. 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.
  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. 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. 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.
    2. 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.
    3. 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.
    4. Bersch, Johannes & Degryse, Hans & Kick, Thomas & Stein, Ingrid, 2019. "The real effects of bank distress: Evidence from bank bailouts in Germany," Discussion Papers 38/2019, Deutsche Bundesbank.
    5. Marek, Philipp & Stein, Ingrid, 2022. "Basel III and SME bank finance in Germany," Discussion Papers 37/2022, Deutsche Bundesbank.
    6. 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.
    7. 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.

  21. 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.

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    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. 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.
    3. Fliege, Jörg & Werner, Ralf, 2014. "Robust multiobjective optimization & applications in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 422-433.
    4. 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.
    5. 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).
    6. 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.
    7. Chiu, Wan-Yi, 2022. "Stepwise expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 46(PA).
    8. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
    9. 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.
    10. 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.
    11. N'Golo Kone, 2021. "Regularized Maximum Diversification Investment Strategy," Working Paper 1450, Economics Department, Queen's University.
    12. David Ardia & S'ebastien Laurent & Rosnel Sessinou, 2024. "High-Dimensional Mean-Variance Spanning Tests," Papers 2403.17127, arXiv.org.
    13. 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.
    14. 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.
    15. Chavez-Bedoya, Luis & Rosales, Francisco, 2022. "Orthogonal portfolios to assess estimation risk," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 906-937.
    16. Frahm, Gabriel & Memmel, Christoph, 2010. "Dominating estimators for minimum-variance portfolios," Journal of Econometrics, Elsevier, vol. 159(2), pages 289-302, December.
    17. Gabriel Frahm, 2010. "Linear statistical inference for global and local minimum variance portfolios," Statistical Papers, Springer, vol. 51(4), pages 789-812, December.
    18. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
    19. Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Papers 1708.08622, arXiv.org.
    20. 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.
    21. Hao Liu & Winfried Pohlmeier, 2013. "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series 47_13, Rimini Centre for Economic Analysis.
    22. Chiu, Wan-Yi, 2022. "Another look at portfolio optimization with mental accounts," Applied Mathematics and Computation, Elsevier, vol. 419(C).
    23. 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.
    24. 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.
    25. Bertrand Candelon & Christophe Hurlin & Sessi Tokpavi, 2012. "Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios," Post-Print hal-01385835, HAL.
    26. 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.
    27. 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.
    28. 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.
    29. Busch, Ramona & Memmel, Christoph, 2015. "Banks' net interest margin and the level of interest rates," Discussion Papers 16/2015, Deutsche Bundesbank.
    30. 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.
    31. 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.
    32. 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).
    33. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem," Post-Print hal-04514343, HAL.
    34. 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.
    35. 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.
    36. N’Golo Koné, 2020. "Regularized Maximum Diversification Investment Strategy," Econometrics, MDPI, vol. 9(1), pages 1-23, December.
    37. 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.
    38. 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).
    39. G'abor Papp & Imre Kondor & Fabio Caccioli, 2021. "Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach," Papers 2103.04375, arXiv.org.
    40. Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
    41. 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.
    42. Busch, Ramona & Memmel, Christoph, 2021. "Why are interest rates on bank deposits so low?," Discussion Papers 46/2021, Deutsche Bundesbank.
    43. 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).
    44. 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.
    45. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
    46. 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.
    47. Kazak, Ekaterina & Pohlmeier, Winfried, 2019. "Testing out-of-sample portfolio performance," International Journal of Forecasting, Elsevier, vol. 35(2), pages 540-554.
    48. Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
    49. 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.
    50. 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.
    51. 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.
    52. Wan-Yi Chiu, 2020. "The global minimum variance hedge," Review of Derivatives Research, Springer, vol. 23(2), pages 121-144, July.
    53. 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.
    54. 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.
    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.
    56. 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.
    57. 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.
    58. Memmel, Christoph, 2023. "Abschätzung des Zinseinkommens der Banken in Deutschland," Technical Papers 05/2023, Deutsche Bundesbank.

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