Mitarbeiter

Dr. Christoph Memmel

• Deutsche Bundesbank
• Central Office, Banking and Financial Supervision Department
• Wilhelm Epstein Str. 14
• 60431 Frankfurt am Main
•  
• +49 69 9566-8531
• Christoph Memmel

Research Interests

• Market price risk of banks
• state-owned banks
• financial stability.

Refereed Articles

• Frahm, G. and C. Memmel (2010), Dominating Estimators for minimum-variance portfolio, Journal of Econometrics, Vol. 159(2), 289-302.
• Gaisser, S., C. Memmel, R. Schmidt and C. S. Wehn (2011), Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach, Journal of Risk, Vol. 14(1), 3-40.
• Kempf, A. and C. Memmel (2003), Parameterschätzungen in der Portfoliotheorie: Ein analytischer und simulationsgestützter Vergleich, Die Betriebswirtschaft, Vol. 63, 516-531.
• Kempf, A. and C. Memmel (2006), Estimating the global minimum variance portfolio, Schmalenbach Business Review, Vol. 58, 332-348.
• Memmel, C. (2003), Performance Hypothesis Testing with the Sharpe Ratio, Finance Letters, Vol. 1, 21-23.
• Memmel, C. (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, Vol. 1, 85-104.
• Memmel, C. (2011), Banks’ exposure to interest rate risk, their earnings from term transformation and the dynamics of term structure, Journal of Banking and Finance, Vol. 35, 282-289.
• Memmel, C., Banks’ interest rate risk: The net interest income perspective and the market value perspective, Quantitative Finance, forthcoming.
• Memmel, C. and P. Raupach (2010), How do banks adjust their capital ratios?, Journal of Financial Intermediation, Vol. 19, 509-528.
• Memmel, C. and A. Schertler, The Dependency of the Banks’ Assets and Liabilities: Evidence from Germany, European Financial Management, forthcoming.
• Memmel, C. and C. S. Wehn (2006), Supervisor's portfolio: The market price risk of German banks from 2001 to 2004: Analysis and models for risk aggregation, Journal of Banking Regulation, Vol. 7, 310-325.

Selected Working Papers

• Behr, A., A. Kamp, C. Memmel and A. Pfingsten (2007), Diversification and the banks risk-return-characteristics - evidence from loan portfolios of German banks, Deutsche Bundesbank Discussion Paper, Series 2, No 05/2007.
• Bornemann, S., T. Kick, C. Memmel and A. Pfingsten (2010), Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany, Deutsche Bundesbank Discussion Paper, Series 2, No 13/2010.
• Entrop, O., C. Memmel, M. Wilkens and A. Zeisler (2008), Analyzing the interest rate risk of banks using time series of accounting-based data: Evidence from Germany, Deutsche Bundesbank Discussion Paper, Series 2, No 01/2008.
• Memmel, C., A. Sachs and I. Stein (2011), Contagion at the Interbank Market with stochastic LGD, Deutsche Bundesbank Discussion Paper, Series 2, No 06/2011.
• Memmel, C. and A. Schertler (2011), Banks’ management of the net interest margin: Evidence from Germany, Deutsche Bundesbank Discussion Paper, Series 2, No 13/2011.
• Memmel, C., C. Schmieder and I. Stein (2007), Relationship lending - empirical evidence for Germany, Deutsche Bundesbank Discussion Paper, Series 2, No 14/2007.

Other Publications

• Memmel, C. and I. Stein (2008), The Deutsche Bundesbank’s Prudential Database (BAKIS), Schmollers Jahrbuch, Vol. 128, 312-328.