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

Memmel, Christoph; Schertler, Andrea - 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/10009373407

Quantifying the components of the banks’ net interest margin

Busch, Ramona; Memmel, Christoph - 2014

payment management correspond, in the median, to 47%, the bearing of credit risk to 16%, and earnings from term transformation … to 35% of the net interest margin, respectively. However, looking at the period 2005-2012, earnings from term …

Persistent link: https://www.econbiz.de/10010384147

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

Bornemann, Sven; Kick, Thomas; Memmel, Christoph; … - 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 … management between listed and non-listed banks. -- Earnings management ; Income smoothing ; Hidden reserves ; Prospect theory …

Persistent link: https://www.econbiz.de/10008796573

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

Memmel, Christoph - 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/10008657143

Contagion at the interbank market with stochastic LGD

Memmel, Christoph; Sachs, Angelika; Stein, Ingrid - 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/10008939099

Relationship lending : empirical evidence for Germany

Memmel, Christoph; Schmieder, Christian; Stein, Ingrid - 2008

Relationship lending is a common practice in credit financing all over the world, notably also in the European Union, which has been assumed to be particularly beneficial for Small and Medium-Sized Enterprises (SMEs). During recent years, there has been the impression that relationship lending...

Persistent link: https://www.econbiz.de/10008939522

Memmel, Christoph - 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...

Persistent link: https://www.econbiz.de/10008822029

Banks' Net Interest Margin and Changes in the Term Structure

Memmel, Christoph; Heckmann-Draisbach, Lotta - 2023

Understanding the impact of changing interest rates onto banks' net interest margin is of central importance for various stakeholders. The primary focus lies often on changes in the interest level. However, changes in the steepness are a second driver which also significantly impacts banks'...

Persistent link: https://www.econbiz.de/10014352600

The dependency of the banks' assets and liabilities : evidence from Germany

Memmel, Christoph; Schertler, Andrea - 2009

Developments in risk-transfer instruments and risk management techniques in the last two decades have fundamentally changed how banks manage their assets and liabilities. In this document we show that, for all three sectors of German universal banks (private commercial banks, savings banks, and...

Persistent link: https://www.econbiz.de/10003891984

Supervisor's Portfolio : The Market Price Risk of German Banks from 2001 to 2004: Analysis and Models for Risk Aggregation

Wehn, Carsten - 2008

We analyze 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 supervisor. Using the daily profits and losses and the daily Value at Risk figures of German banks for the period from 2001 to 2004, we...

Persistent link: https://www.econbiz.de/10012769538