Your search for Christoph Memmel

Contagion in the Interbank Market with Stochastic Loss Given Default

Interest and credit risk management in German banks

What drives the short-term fluctuations of banks' exposure to interest rate risk ?

Bank stress testing under different balance sheet assumptions

Why do banks bear interest rate risk?

Schätzrisiken in der Portfoliotheorie

Contagion in the Interbank Market With Stochastic Loss Given Default

Banks' net interest margin and the level of interest rates

Quantifying the components of the banks' net interest margin

Determinants of bank interest margins

Banks' concentration versus diversification in the loan portfolio

The common drivers of default risk

Banks' management of the net interest margin

How correlated are changes in banks' net interest income and in their present value?

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

Contagion at the interbank market with stochastic LGD

The dependency of the banks' assets and liabilities

Dominating estimators for the global minimum variance portfolio

Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books

How do banks adjust their capital ratios?