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Diversification and the Banks' Risk-Return-Characteristics : Evidence from Loan Portfolios of German Banks

Behr, Andreas - 2016

Banks face a tradeoff between diversifying and focusing their loan portfolio. In this paper we carry out an empirical study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of specialization. We use data from the Bundesbank's...

Persistent link: https://www.econbiz.de/10012989297

Diversification and the banks' risk-return-characteristics : evidence from loan portfolios of German banks

Behr, Andreas; Kamp, Andreas; Memmel, Christoph; … - 2007

Persistent link: https://www.econbiz.de/10003446353

Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany

Bornemann, Sven; Kick, Thomas; Memmel, Christoph; … - In: Journal of Banking & Finance 36 (2012) 8, pp. 2403-2415

business by building hidden reserves. Beyond risk provisioning, these reserves are implicitly accepted as an earnings …

Persistent link: https://www.econbiz.de/10010599664

Memmel, Christoph - Deutsche Bundesbank - 2010

We use portfolios of passive investment strategies to replicate the interest risk of banks' banking books. The following empirical statements are derived: (i) Changes in banks' present value and in their net interest income are highly correlated, irrespective of the banks' portfolio composition....

Persistent link: https://www.econbiz.de/10008923007

Contagion at the interbank market with stochastic LGD

Memmel, Christoph; Sachs, Angelika; Stein, Ingrid - Deutsche Bundesbank - 2011

This paper investigates contagion at the German interbank market under the assumption of a stochastic loss given default (LGD). We combine a unique data set about the LGD of interbank loans with data about interbank exposures. We find that the frequency distribution of the LGD is u-shaped. Under...

Persistent link: https://www.econbiz.de/10009004688

Banks' management of the net interest margin: Evidence from Germany

Memmel, Christoph; Schertler, Andrea - Deutsche Bundesbank - 2011

We decompose the change in banks' net interest margin into a change in market-wide bank rates and a change in the balance-sheet composition. Our empirical findings from a detailed data set on German banks' balance-sheet positions, broken down into different maturities, creditors and borrowers...

Persistent link: https://www.econbiz.de/10009372145

Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure

Memmel, Christoph - Deutsche Bundesbank - 2010

exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk … determined by idiosyncratic effects. Over time, changes in earnings from term transformation have a large impact on interest … income. Across banks, however, the earnings from term transformation do not seem to be a decisive factor for the interest …

Persistent link: https://www.econbiz.de/10008674217

Contagion in the Interbank Market with Stochastic Loss Given Default

Memmel, Christoph; Sachs, Angelika; Stein, Ingrid - In: International Journal of Central Banking 8 (2012) 3, pp. 177-206

This paper investigates contagion in the German interbank market under the assumption of a stochastic loss given default (LGD). We combine a unique data set about the LGD of interbank loans with detailed data about interbank exposures. We find that the frequency distribution of the LGD is...

Persistent link: https://www.econbiz.de/10010569710

Contagion in the interbank market and its determinants

Memmel, Christoph; Sachs, Angelika - In: Journal of Financial Stability 9 (2013) 1, pp. 46-54

Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for...

Persistent link: https://www.econbiz.de/10010636148

Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany

Bornemann, Sven; Kick, Thomas; Memmel, Christoph; … - Deutsche Bundesbank - 2010

business by building hidden reserves. Beyond risk provisioning, these reserves are implicitly accepted as an earnings … financial crisis. Finally, we are (6) unable to confirm any differences in the relevance of hidden reserves for earnings …

Persistent link: https://www.econbiz.de/10008833258

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