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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
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Determinants of bank interest margins : impact of maturity transformation
Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012
and returns from maturity transformation. Banks price interest risk according to their individual exposure separately in … loan and deposit rates, but reduce these charges when they expect returns from maturity transformation. Second, using a … for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for …
Persistent link: https://www.econbiz.de/10009572494
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Banks' interest rate risk and search for yield : a theoretical rationale and some empirical evidence
Memmel, Christoph; Seymen, Atılım; Teichert, Max - 2016
We investigate German banks' exposure to interest rate risk. In finance, higher demand for a risky asset is typically associated with higher expected return. However, employing a utility function which implies both risk-averse and risk-seeking behavior depending on the level of profits, we show...
Persistent link: https://www.econbiz.de/10011495547
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Performance of maturity transformation strategies
Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020
long-term assets are financed by short-term liabilities. Risk and return increase significantly with maturity gaps for both …-term gaps.With respect to different financial reporting standards,weaddress maturity transformation results froman earnings …
Persistent link: https://www.econbiz.de/10012313784
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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific...
Persistent link: https://www.econbiz.de/10010233376
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Securities trading by banks and credit supply : micro-evidence
Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2015
investments of banks at the security level for 2005-2012 in conjunction with the credit register from Germany. Analyzing data at … are largest for trading-expertise banks with higher capital and in securities with lower rating and long-term maturity. In …
Persistent link: https://www.econbiz.de/10010527104
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Bank stress testing under different balance sheet assumptions
Busch, Ramona; Drescher, Christian; Memmel, Christoph - 2017
Using unique supervisory survey data on the impact of a hypothetical interest rate shock on German banks, we analyse price and quantity effects on banks' net interest margin components under different balance sheet assumptions. In the first year, the cross-sectional variation of banks' simulated...
Persistent link: https://www.econbiz.de/10011632218
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Quantitative easing, portfolio rebalancing and credit growth : micro evidence from Germany
Tischer, Johannes - 2018
This paper sheds light on the effect of quantitative easing (QE) on bank lending. Using data on German banks for 2014-2016, I show that QE encourages banks to rebalance from securities to loans. For identification, I use bond redemptions as exogenous variation in banks' need to rebalance their...
Persistent link: https://www.econbiz.de/10011874231
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The common drivers of default risk
Memmel, Christoph; Gündüz, Yalın; Raupach, Peter - 2012
regional factors, the loans' maturity structure is found to drive the bank-wide loss rates in the credit portfolio. (ii) The … nationwide loss rate has the most impact, followed by the maturity structure and the industry composition. (iii) For nationwide … banks, this percentage is less than eight percent. -- Credit risk ; systematic risk ; maturity ; stress tests …
Persistent link: https://www.econbiz.de/10009685919
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Diversification and determinants of international credit portfolios : evidence from German banks
Böninghausen, Benjamin; Köhler, Matthias - 2012
This paper examines the international credit portfolios of German banks. We construct a bank-country panel from a unique dataset for a representative set of countries and ask why banks leave diversification opportunities unexploited in some countries. Controlling for bank heterogeneity, we...
Persistent link: https://www.econbiz.de/10009656123