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Interest and credit risk management in German banks : evidence from a quantitative survey

Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...

Persistent link: https://www.econbiz.de/10012160610

Banks' net interest margin and changes in the term structure

Memmel, Christoph; Heckmann, Lotta - 2023

bank's net interest margin, where this shock consists not only of a level shift, but also of a change in the steepness of … the term structure. Our simplified model can replicate stylized features of different bank business models.The outcome of … our parsimonious model for a bank's interest business is broadly in line with the results of a quantitative survey among …

Persistent link: https://www.econbiz.de/10014320529

Lethal lapses : how a positive interest rate shock might stress German life insurers

Feodoria, Mark; Förstemann, Till - 2015

Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could materialise in the form of a "policyholder run" if interest rates were to increase sharply. An inverse stress test based on a unique set of regulatory panel data suggests that...

Persistent link: https://www.econbiz.de/10011285414

Performance of maturity transformation strategies

Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020

This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term...

Persistent link: https://www.econbiz.de/10012313784

Determinants of bank interest margins : impact of maturity transformation

Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the … for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for …

Persistent link: https://www.econbiz.de/10009572494

Banks' net interest margin and the level of interest rates

Busch, Ramona; Memmel, Christoph - 2015

An increase in the level of interest rates is said to have a negative impact on banks’ net interest margins in the short run. Using a time series of more than 40 years for the German banking system, we show that the opposite effect exists in the long run, where an increase in the level of...

Persistent link: https://www.econbiz.de/10011294169

The determinants of net interest margins of commercial banks : panel evidence from China, India and Japan

Islam, Md. Shahidul; Nishiyama, Shin-Ichi - 2020

Persistent link: https://www.econbiz.de/10012656268

Bank stress testing under different balance sheet assumptions

Busch, Ramona; Drescher, Christian; Memmel, Christoph - 2017

explained better by a bank's current balance sheet composition, the longer the forecast horizon. The opposite holds for banks …

Persistent link: https://www.econbiz.de/10011632218

Implications of negative interest rates for the net interest margin and lending of euro area banks

Klein, Melanie - 2020

interest margin (NIM) and its components, retail lending and retail deposit rates. Using two proprietary bank-level data sets …

Persistent link: https://www.econbiz.de/10012179680

German banks' behavior in the low interest rate environment

Busch, Ramona; Littke, Helge; Memmel, Christoph; … - 2021

Using data from a quantitative survey of German banks at three points in time (2015, 2017 and 2019), we analyze the impact of changes in the interest rate level on banks' net interest income and the countermeasures they take. A decline in the interest rate level has a more negative impact on net...

Persistent link: https://www.econbiz.de/10012596363

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