Christoph Memmel : Citation Profile


Are you Christoph Memmel?

Deutsche Bundesbank

13

H index

13

i10 index

505

Citations

RESEARCH PRODUCTION:

23

Articles

33

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 29
   Journals where Christoph Memmel has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 32 (5.96 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme230
   Updated: 2023-01-28    RAS profile: 2023-01-23    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Christoph Memmel.

Is cited by:

Kick, Thomas (23)

Parolya, Nestor (21)

Gündüz, Yalin (10)

TARAZI, Amine (9)

Schertler, Andrea (9)

Kondor, Imre (7)

Faia, Ester (7)

Aldasoro, Iñaki (7)

Claessens, Stijn (6)

Pohlmeier, Winfried (6)

Coleman, Nicholas (6)

Cites to:

Gambacorta, Leonardo (16)

Maudos, Joaquin (16)

Ongena, Steven (11)

NYS, Emmanuelle (9)

Stein, Jeremy (9)

Peydro, Jose-Luis (9)

Rajan, Raghuram (9)

TARAZI, Amine (9)

Lepetit, Laetitia (9)

Acharya, Viral (8)

Fernández-de-Guevara, Juan (7)

Main data


Where Christoph Memmel has published?


Journals with more than one article published# docs
Financial Markets and Portfolio Management3
Journal of Banking & Finance3
German Economic Review2
Schmalenbach Business Review2
Journal of Financial Stability2

Working Papers Series with more than one paper published# docs
Discussion Paper Series 2: Banking and Financial Studies / Deutsche Bundesbank15
Discussion Papers / Deutsche Bundesbank13

Recent works citing Christoph Memmel (2022 and 2021)


YearTitle of citing document
2021Maximizing the Out-of-Sample Sharpe Ratio. (2021). Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021013.

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2022On the optimal combination of naive and mean-variance portfolio strategies. (2022). Vrins, Frederic ; Vanderveken, Rodolphe ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022006.

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2021Optimal shrinkage-based portfolio selection in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema. In: Papers. RePEc:arx:papers:1611.01958.

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2021Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach. (2021). Caccioli, Fabio ; Kondor, Imre ; Papp, G'Abor. In: Papers. RePEc:arx:papers:2103.04375.

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2021Aspects of a phase transition in high-dimensional random geometry. (2021). Pruser, Axel ; Engel, Andreas ; Kondor, Imre. In: Papers. RePEc:arx:papers:2105.04395.

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2021Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. (2021). Thorsen, Erik ; Parolya, Nestor ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2106.02131.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?. (2021). Parolya, Nestor ; Thors, Erik ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2111.12532.

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2022Two is better than one: Regularized shrinkage of large minimum variance portfolio. (2022). Parolya, Nestor ; Thors, Erik ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2202.06666.

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2022A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809.

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2021Retail Loan Under Interest Rate Fluctuation in Nepal: Costumers Interest, Challenges and Managerial Solutions. (2021). Parajuli, Seeprata ; Paudel, Udaya Raj ; Adhikari, Dipak Bahadur ; Karki, Dipendra ; Devkota, Niranjan ; Jaisi, Tilak ; Bhandari, Udbodh. In: Journal of Asian Business Strategy. RePEc:asi:joabsj:2021:p:46-54.

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2021Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions. (2021). PRIAZHKINA, SOFIA ; Halaj, Grzegorz. In: Staff Working Papers. RePEc:bca:bocawp:21-35.

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2021Revisiting the link between systemic risk and competition based on network theory and interbank exposures. (2021). Lara, Jos Luis ; Btiz-Zuk, Enrique. In: Working Papers. RePEc:bdm:wpaper:2021-26.

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2022Does monetary policy affect the net interest margin of credit institutions? Evidence from Colombia. (2022). Pieros-Gordo, Jose Hernan ; Rodriguez-Novoa, Daniela ; Pirateque-Nio, Javier Eliecer. In: Borradores de Economia. RePEc:bdr:borrec:1197.

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2021Optimal bank leverage and recapitalization in crowded markets. (2021). Bertsch, Christoph ; Mariathasan, Mike. In: BIS Working Papers. RePEc:bis:biswps:923.

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2022Opportunistic timing of management earnings forecasts during the COVID?19 crisis in China. (2022). Wang, Jiani ; Liu, Xin ; Chen, Hanwen. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1495-1533.

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2021Low Interest Rates and Banks Interest Margins: Does Deposit Market Concentration Matter?. (2021). de Haan, Jakob ; Kahn, Michael ; Ribon, Sigal ; Segev, Nimrod. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2021.16.

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2021What are banks’ actual capital targets?. (2021). Couaillier, Cyril. In: Working Paper Series. RePEc:ecb:ecbwps:20212618.

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2022Bank lending rates and the remuneration for risk: evidence from portfolio and loan level data. (2022). Werner, Johannes Gabriel ; Michail, Nektarios ; Metzler, Julian ; Durrani, Agha. In: Working Paper Series. RePEc:ecb:ecbwps:20222753.

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2022Another look at portfolio optimization with mental accounts. (2022). Chiu, Wan-Yi. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:419:y:2022:i:c:s0096300321009346.

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2021An examination of diversification on bank profitability and insolvency risk in 28 financially liberalized markets. (2021). Argyle, Bronson ; Parsons, Richard ; Nguyen, James. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303439.

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2021Board financial expertise and the capital decisions of US banks. (2021). Vallascas, Francesco ; Keasey, Kevin ; Gilani, Usman. In: Journal of Corporate Finance. RePEc:eee:corfin:v:71:y:2021:i:c:s0929119921002133.

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2021Ability parity model for optimal fund allocation: Evidence from Chinas mutual fund markets. (2021). Ding, Yue ; Luo, Ronghua ; Liu, Yangyi. In: Emerging Markets Review. RePEc:eee:ememar:v:48:y:2021:i:c:s1566014121000121.

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2021Reduction of estimation risk in optimal portfolio choice using redundant constraints. (2021). Rosales, Francisco ; Chavez-Bedoya, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002532.

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2022The effect of earnings management on firm performance: The moderating role of corporate governance quality. (2022). Mensah, Emmanuel ; Boachie, Christopher. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002277.

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2022Stepwise expanding the frontier one asset at a time. (2022). Chiu, Wan-Yi. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s154461232100324x.

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2022Do non-performing loans impact bank efficiency?. (2022). Tran, Huy Phuoc ; van Vu, Huong ; Phung, Quang Thanh. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003937.

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2021Measurement of common risks in tails: A panel quantile regression model for financial returns. (2021). Baruník, Jozef ; Ech, Frantiek ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300318.

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2022How do banks price liquidity? The role of market power.. (2022). Vu, Thai. In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000382.

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2021ESG activities and banking performance: International evidence from emerging economies. (2021). Hassan, M. Kabir ; Houston, Reza ; Azmi, Wajahat ; Karim, Mohammad Sydul. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s104244312030161x.

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2022Are we living in an illusion? A fresh look at the importance of bank capital in the quest for stability. (2022). Moreira, Fernando. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001748.

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2022Banks’ complexity-risk nexus and the role of regulation. (2022). Vogel, Ursula ; Martynova, Natalya. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621000789.

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2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

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2022Banking integration and growth: Role of banks previous industry exposure. (2022). Ors, Evren ; Michalski, Tomasz K ; Karakaya, Neslihan. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:49:y:2022:i:c:s1042957321000450.

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2022Institutional Shareholders and Bank Capital. (2022). Vander Vennet, Rudi ; Petit-Romec, Arthur ; Garel, Alexandre. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:50:y:2022:i:c:s1042957322000134.

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2022Recent advances in shrinkage-based high-dimensional inference. (2022). Parolya, Nestor ; Bodnar, Taras. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x21001044.

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2021Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources. (2021). Liu, Wenbin ; Wang, Rui ; Xiao, Helu ; Gao, Meng ; Zhou, Zhongbao. In: Omega. RePEc:eee:jomega:v:104:y:2021:i:c:s0305048321000888.

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2021A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?. (2021). MacIel, Leandro. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:38-56.

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2022Bank competition and the price of credit: Evidence using Mexican loan-level data. (2022). Guerrero, Rodolfo ; Cortes, Edgar ; Caon, Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:56-74.

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2022Orthogonal portfolios to assess estimation risk. (2022). Rosales, Francisco ; Chavez-Bedoya, Luis. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:906-937.

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2021Optimizing expected shortfall under an ?1 constraint—an analytic approach. (2021). Kondor, Imre ; Papp, Gabor ; Caccioli, Fabio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111051.

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2021Financial Performance of Iranian Banks from 2013 to 2019: A Panel Data Approach. (2021). Bouzari, Parisa ; Fekete-Farkas, Maria ; Ebrahimi, Pejman ; Magda, Robert. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:257-:d:570766.

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2022.

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2022.

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2022Credit Risk Evaluation of Forest Farmers under Internet Crowdfunding Mode: The Case of China’s Collective Forest Regions. (2022). Liu, Boru ; Tu, Jiangwei ; Wu, Xiaowo ; Zhou, XI. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:10:p:5832-:d:813363.

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2021Target capital ratio and optimal channel(s) of adjustment: A simple model with empirical applications to European banks. (2021). Kiani, Keyvan ; Braouezec, Yann. In: Post-Print. RePEc:hal:journl:halshs-03341768.

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2021Monetary Policy, Credit Risk, and Profitability: The Influence of Relationship Lending on Cooperative Banks Performance. (2021). de Menna, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-03138738.

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2022Estimation of optimal portfolio compositions for small sampleand singular covariance matrix. (2022). Nguyen, Hoang ; Mazur, Stepan ; Bodnar, Taras. In: Working Papers. RePEc:hhs:oruesi:2022_015.

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2022Investors’ expectations around quantitative easing: does liquidity injection affect European banks equally?. (2022). Pugliese, Amedeo ; Parbonetti, Antonio ; Longo, Sara. In: Journal of Management & Governance. RePEc:kap:jmgtgv:v:26:y:2022:i:3:d:10.1007_s10997-021-09579-5.

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2021Risk exposures of European cooperative banks: a comparative analysis. (2021). Mare, Davide Salvatore ; Gramlich, Dieter. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00884-y.

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2021Interest Rate Spreads in the Baltics and the Rest of the Euro Area: Understanding the Factors behind the Differences. (2021). Vilerts, Karlis ; Benkovskis, Konstantins ; Tkacevs, Olegs. In: Discussion Papers. RePEc:ltv:dpaper:202102.

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2021Quality of Bank Capital, Competition, and Risk-Taking: Some International Evidence. (2021). Li, Shaofang. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:57:y:2021:i:12:p:3455-3488.

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2022Corporate Tax Shields and Capital Structure: Levelling the Playing Field in Debt vs Equity Finance. (2022). Whyte, Kemar ; Cao, Yifei. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:542.

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2022Prioritizing interdependent drivers of financial, economic, and political risks using a data-driven probabilistic approach. (2022). Emre, Mecit Can ; Qazi, Abroon. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:2:d:10.1057_s41283-022-00089-8.

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2022Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies. (2022). Demirer, Riza ; Gupta, Rangan ; Cepni, Oguzhan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202258.

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2021Regularized Maximum Diversification Investment Strategy. (2021). Kone, N'Golo. In: Working Paper. RePEc:qed:wpaper:1450.

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2022Regularized Factor Portfolio for Cross-sectional Multifactor Models. (2022). Huang, Mian ; Yu, Shangbing ; Yao, Weixin. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:84:y:2022:i:2:d:10.1007_s13171-020-00201-8.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Cotter, John ; Conlon, Thomas ; Kynigakis, Iason. In: Working Papers. RePEc:ucd:wpaper:202111.

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2022Bank Sectoral Concentration and Risk: Evidence from a Worldwide Sample of Banks. (2022). Mulier, Klaas ; de Jonghe, Olivier ; Beck, Thorsten. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:6:p:1705-1739.

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2022Unprofitability of food market investments. (2022). Auer, Benjamin R ; Vinzelberg, Anja. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:43:y:2022:i:7:p:2887-2910.

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2021Banks complexity-risk nexus and the role of regulation. (2021). Vogel, Ursula ; Martynova, Natalya. In: Discussion Papers. RePEc:zbw:bubdps:142021.

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2022The impact of natural disasters on banks impairment flow: Evidence from Germany. (2022). Shala, Iliriana ; Schumacher, Benno. In: Discussion Papers. RePEc:zbw:bubdps:362022.

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2022Basel III and SME bank finance in Germany. (2022). Marek, Philipp ; Stein, Ingrid. In: Discussion Papers. RePEc:zbw:bubdps:372022.

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2022No need to worry? Estimating the exposure of the German banking sector to climate-related transition risks. (2022). Kasbrink, Fynn ; Hertel, Tobias ; D'Orazio, Paola. In: Ruhr Economic Papers. RePEc:zbw:rwirep:946.

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2021P2P lenders versus banks: Cream skimming or bottom fishing?. (2019). Pelizzon, Loriana ; de Roure, Calebe ; Thakor, Anjan V. In: SAFE Working Paper Series. RePEc:zbw:safewp:206.

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2022Markowitz portfolios under transaction costs. (2022). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:420.

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Works by Christoph Memmel:


YearTitleTypeCited
2008European Data Watch: The Deutsche Bundesbank’s prudential database (BAKIS) In: Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften.
[Citation analysis]
article7
2012The Dependency of the Banks Assets and Liabilities: Evidence from Germany In: European Financial Management.
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article17
2009The dependency of the banks assets and liabilities: evidence from Germany.(2009) In: Discussion Paper Series 2: Banking and Financial Studies.
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2018Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence In: German Economic Review.
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article4
2018Banks’ Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence.(2018) In: German Economic Review.
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2016Banks interest rate risk and search for yield: A theoretical rationale and some empirical evidence.(2016) In: Discussion Papers.
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2021Interest and credit risk management in German banks: Evidence from a quantitative survey In: German Economic Review.
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2020Interest and credit risk management in German banks: Evidence from a quantitative survey.(2020) In: Discussion Papers.
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2010Dominating estimators for minimum-variance portfolios In: Journal of Econometrics.
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article67
2010Dominating Estimators for Minimum-Variance Portfolios.(2010) In: Post-Print.
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2015The common drivers of default risk In: Journal of Financial Stability.
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article15
2012The common drivers of default risk.(2012) In: Discussion Papers.
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This paper has another version. Agregated cites: 15
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2013Contagion in the interbank market and its determinants In: Journal of Financial Stability.
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article40
2011Contagion in the interbank market and its determinants.(2011) In: Discussion Paper Series 2: Banking and Financial Studies.
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2011Banks exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure In: Journal of Banking & Finance.
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article22
2010Banks exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure.(2010) In: Discussion Paper Series 2: Banking and Financial Studies.
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2012Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany In: Journal of Banking & Finance.
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article26
2010Are banks using hidden reserves to beat earnings benchmarks? Evidence from Germany.(2010) In: Discussion Paper Series 2: Banking and Financial Studies.
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2015Determinants of bank interest margins: Impact of maturity transformation In: Journal of Banking & Finance.
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article52
2012Determinants of bank interest margins: Impact of maturity transformation.(2012) In: Discussion Papers.
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2010How do banks adjust their capital ratios? In: Journal of Financial Intermediation.
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article59
2008Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks In: International Journal of Banking, Accounting and Finance.
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article9
2008Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks.(2008) In: Discussion Paper Series 2: Banking and Financial Studies.
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2012Contagion in the Interbank Market with Stochastic Loss Given Default In: International Journal of Central Banking.
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2013Bank management of the net interest margin: new measures In: Financial Markets and Portfolio Management.
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2016Quantifying the components of the banks’ net interest margin In: Financial Markets and Portfolio Management.
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2014Quantifying the components of the banks net interest margin.(2014) In: Discussion Papers.
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2022German banks’ behavior in the low interest rate environment In: Financial Markets and Portfolio Management.
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2021German banks behavior in the low interest rate environment.(2021) In: Discussion Papers.
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2021Why Are Interest Rates on Bank Deposits so Low? In: Credit and Capital Markets.
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2021Why are interest rates on bank deposits so low?.(2021) In: Discussion Papers.
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2008RELATIONSHIP LENDING - EMPIRICAL EVIDENCE FOR GERMANY In: Economic and Financial Reports.
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2007Relationship lending: empirical evidence for Germany.(2007) In: Discussion Paper Series 2: Banking and Financial Studies.
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2006Estimating the global Minimum Variance Portfolio In: Schmalenbach Business Review (sbr).
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article52
2007A New Methodology to Derive a Bank’s Maturity Structure Using Accounting-Based Time Series Information In: Operations Research Proceedings.
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2016Banks’ Specialization versus Diversification in the Loan Portfolio In: Schmalenbach Business Review.
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article2
2018Why Do Banks Bear Interest Rate Risk? In: Schmalenbach Business Review.
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2017Why do banks bear interest rate risk?.(2017) In: Discussion Papers.
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2014Banks interest rate risk: the net interest income perspective versus the market value perspective In: Quantitative Finance.
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article1
2020What drives the short?term fluctuations of banks exposure to interest rate risk? In: Review of Financial Economics.
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2019What drives the short-term fluctuations of banks exposure to interest rate risk?.(2019) In: Discussion Papers.
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2009Dominating estimators for the global minimum variance portfolio In: Discussion Paper Series 2: Banking and Financial Studies.
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paper4
2008Dominating estimators for the global minimum variance portfolio.(2008) In: Discussion Papers in Econometrics and Statistics.
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2009Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach In: Discussion Paper Series 2: Banking and Financial Studies.
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paper0
2010How correlated are changes in banks net interest income and in their present value? In: Discussion Paper Series 2: Banking and Financial Studies.
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paper0
2011Contagion at the interbank market with stochastic LGD In: Discussion Paper Series 2: Banking and Financial Studies.
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2011Banks management of the net interest margin: Evidence from Germany In: Discussion Paper Series 2: Banking and Financial Studies.
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2005The supervisors portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation In: Discussion Paper Series 2: Banking and Financial Studies.
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