Christoph Memmel

Research Interests

  • Interbank contagion
  • Market price risk of banks
  • Behavior of bank management

Refereed Publications

  • Memmel C., A. Seymen and M. Teichert (2018), Banks' Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence, GERMAN Economic Review. Vol. 19(3), pp. 330-350.
  • Busch, R. and C. Memmel (2017), Banks' Net Interest Margin and the Level of Interest Rates, Credit and Capital Markets, Vol. 50(3), 363-392.
  • Busch, R. and C. Memmel (2016), Quantifying the Components of the Banks' Net Interest Margin, Financial Markets and Portfolio Management, Vol. 30(4), 371-396.
  • Jahn, N., C. Memmel and A. Pfingsten (2016), Banks’ Specialization versus Diversification in the Loan Portfolio, Schmalenbach Business Review, Vol. 17(1), 25-48.
  • Entrop, O., C. Memmel, B. Ruprecht and M. Wilkens (2015), Determinants of bank interest margins: Impact of maturity transformation, Journal of Banking and Finance, Vol. 54, 1-19.
  • Memmel, C., Y. Gündüz and P. Raupach (2015), The Common drivers of Default Risk, Journal of Financial Stability, Vol. 16, 232-247.
  • Memmel, C. (2014), Banks' interest rate risk: The net interest income perspective and the market value perspective, Quantitative Finance, Vol. 14(6), 1059-1068.
  • Memmel, C. and A. Sachs (2013), Contagion in the interbank market and its determi-nants, Journal of Financial Stability, Vol. 9(1), 46-54.
  • Memmel, C. and A. Schertler (2013), Banks' management of the net interest margin: New measures, Financial Markets and Portfolio Management, Vol. 27(3), 275-297.
  • Bornemann, S., T. Kick, C. Memmel and A. Pfingsten (2012), Are banks using hidden reserves to beat earnings benchmarks?, Journal of Banking and Finance, Vol. 36(8), 2403-2415.
  • Memmel, C., A. Sachs and I. Stein (2012), Contagion at the Interbank Market with stochastic Loss Given Default, International Journal of Central Banking, Vol. 8(3), 177-206.
  • Memmel, C. and A. Schertler (2012), The Dependency of the Banks’ Assets and Liabilities: Evidence from Germany, European Financial Management, 18(4),602-619.
  • 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.

  • 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
  • Frahm, G. and C. Memmel (2010), Dominating Estimators for minimum-variance portfolio, Journal of Econometrics, Vol. 159(2), 289-302.
  • Memmel, C. and P. Raupach (2010), How do banks adjust their capital ratios?, Journal of Financial Intermediation, Vol. 19, 509-528.
  • 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.
  • Kempf, A. and C. Memmel (2006), Estimating the global minimum variance portfolio, Schmalenbach Business Review, Vol. 58, 332-348.
  • 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.
  • Kempf, A. and C. Memmel (2003), Parameterschätzungen in der Portfoliotheorie: Ein analytischer und simulationsgestützter Vergleich, Die Betriebswirtschaft, Vol. 63, 516-531.
  • Memmel, C. (2003), Performance Hypothesis Testing with the Sharpe Ratio, Finance Letters, Vol. 1, 21-23.

Other Working Papers and Publications

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

Discussion Papers