Similar Search Results

The supervisors portfolio : the market price risk of German banks from 2001 to 2003 ; analysis and models for risk aggregation

Memmel, Christoph (contributor); Wehn, Carsten (contributor) - 2005

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio’s components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...

Persistent link: https://www.econbiz.de/10002844479

Supervisor's portfolio : the market price risk of German banks from 2001 to 2004 ; analysis and models for risk aggregation

Memmel, Christoph; Wehn, Carsten - In: Journal of banking regulation 7 (2006) 3/4, pp. 310-325

Persistent link: https://www.econbiz.de/10003370070

The Supervisor's Portfolio : The Market Price Risk of German Banks from 2001 to 2003 - Analysis and Models for Risk Aggregation

Memmel, Christoph - 2016

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...

Persistent link: https://www.econbiz.de/10012989328

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 literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price...

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