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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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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …
Persistent link: https://www.econbiz.de/10010233376
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Banks’ Credit Losses and Lending Dynamics
Raupach, Peter; Memmel, Christoph - 2023
To study bank behavior, we use tail events in the history of a bank's credit losses as a new type of shock to capital …. When defined appropriately, such events are virtually unpredictable for bank managers and spread evenly over time and banks … competitor of each bank that replicates its sectoral and geographic portfolio composition. This new method combines the …
Persistent link: https://www.econbiz.de/10014355636
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Interest and Credit Risk Management in German Banks : Evidence From a Quantitative Survey
Drager, Vanessa - 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/10012841281
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Banks' credit losses and lending dynamics
Raupach, Peter; Memmel, Christoph - 2021
using a new method, the construction of tailored hypothetical bank competitors. …
Persistent link: https://www.econbiz.de/10012651083
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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
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Banks' specialization versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - In: Schmalenbach business review : sbr 17 (2016) 1, pp. 25-48
Persistent link: https://www.econbiz.de/10011634070
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Banks' Credit Losses and Lending Dynamics
Raupach, Peter; Memmel, Christoph - 2021
using a new method, the construction of tailored hypothetical bank competitors …
Persistent link: https://www.econbiz.de/10013313540
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Interest and Credit Risk Management in German Banks
Drager, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2021
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management. We especially analyze the effect of a 200-bp increase in the interest level. We find that banks seem to reduce the volatility of their net interest margin by exposing...
Persistent link: https://www.econbiz.de/10013237316
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Quantifying the components of the banks’ net interest margin
Busch, Ramona; Memmel, Christoph - 2014
transformation seem to account for a much smaller share (about 20%) of the median bank’s net interest margin. …
Persistent link: https://www.econbiz.de/10010384147