Gregor N. F. Weiss

University of Leipzig - Faculty of Economics and Management Science

Professor of Finance / Chair in Sustainable Finance & Banking

Grimmaische Str. 12

Leipzig, 04109

Germany

http://www.wifa.uni-leipzig.de/nfdl

  • University of Leipzig - Faculty of Economics and Management Science

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    • Tel: +49 341 97 33821
    • Fax: +49 341 97 33829
SCHOLARLY PAPERS

42

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36

Scholarly Papers (42)

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1.

Mitigating Adverse Selection in P2P Lending – Empirical Evidence from Prosper.com

Number of pages: 28 Posted: 01 Aug 2010
Gregor N. F. Weiss, Katharina Pelger and Andreas Horsch
University of Leipzig - Faculty of Economics and Management Science, Ruhr University of Bochum and Freiberg University
Downloads 2,203 (11,152)
Citation 20

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P2P lending, online market, adverse selection, social lending

2.

Systemic Risk and Bank Consolidation: International Evidence

Journal of Banking and Finance, Forthcoming, Campus for Finance, 2012 WHU Koblenz , Southwestern Finance Association Annual Meeting 2012, Eastern Finance Association Annual Meeting 2012, Midwest Finance Association, Midwest Finance Association 2012 Annual Meeting, 5th Financial Risks International Forum on "Systemic Risk", Institut Louis Bachelier , 24th Australasian Finance and Banking Conference 2011
Number of pages: 49 Posted: 05 Jan 2012 Last Revised: 20 Nov 2013
Gregor N. F. Weiss, Sascha Neumann and Denefa Bostandzic
University of Leipzig - Faculty of Economics and Management Science, Ruhr University of Bochum and Heinrich Heine University Dusseldorf
Downloads 781 (51,702)

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M&A, Banks, Consolidation, Systemic Risk, Lower Tail Dependence, Marginal Expected Shortfall, Distance to Default

3.

Copula Parameter Estimation by Maximum-Likelihood and Minimum-Distance Estimators - A Simulation Study

Computational Statistics, Forthcoming
Number of pages: 40 Posted: 30 Jan 2009 Last Revised: 23 May 2010
Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science
Downloads 727 (56,895)

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Copulae, minimum-distance method, simulation, L1-variant, maximum-likelihood

4.

Characteristic Portfolios, Conditional Quantile Curves, and the Cross-Section of Option Returns

Number of pages: 51 Posted: 11 Jun 2021 Last Revised: 15 Nov 2021
Simon Fritzsch, Felix Irresberger and Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science, Durham University and University of Leipzig - Faculty of Economics and Management Science
Downloads 721 (57,530)

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Option returns, implied volatility, machine learning, realized volatility, Volatility Risk Premium, volatility mispricing.

5.

Catastrophe Bonds and Systemic Risk

26th Australasian Finance and Banking Conference 2013
Number of pages: 38 Posted: 20 Aug 2013 Last Revised: 21 Aug 2013
Gregor N. F. Weiss, Denefa Bostandzic and Felix Irresberger
University of Leipzig - Faculty of Economics and Management Science, Heinrich Heine University Dusseldorf and Durham University
Downloads 496 (92,358)
Citation 2

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cat bonds, insurance industry, systemic risk

6.

Do Capital Requirements Make Banks Safer? Evidence From a Quasi-Natural Experiment

Leeds University Business School Working Paper No. 18-02
Number of pages: 37 Posted: 07 Oct 2017 Last Revised: 05 Jan 2021
Denefa Bostandzic, Felix Irresberger, Ragnar Juelsrud and Gregor N. F. Weiss
Heinrich Heine University Dusseldorf, Durham University, Norges Bank and University of Leipzig - Faculty of Economics and Management Science
Downloads 489 (93,904)
Citation 5

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Capital requirements, regulation, banks, risk, Basel III

7.

A New Set of Improved Value-at-Risk Backtests

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 26 Aug 2013 Last Revised: 08 Jul 2014
Daniel Ziggel, Tobias Berens, Tobias Berens, Gregor N. F. Weiss and Dominik Wied
Ruhr University of Bochum, zeb/rolfes.schierenbeck.associatesUniversity TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and University of Cologne
Downloads 444 (105,374)
Citation 10

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Value-at-Risk, backtesting, Monte Carlo simulation

8.

Copula Parameter Estimation – Numerical Considerations and Implications for Risk Management

Journal of Risk, Vol. 13, No. 1, pp. 17-53, Fall 2010
Number of pages: 46 Posted: 26 Jul 2010 Last Revised: 22 Sep 2011
Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science
Downloads 425 (110,901)

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Dependence structures, Risk management, Copulas, parameter estimation

9.

Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas

Journal of Banking & Finance, Volume 37, Issue 9, pp. 3334-3350, September 2013
Number of pages: 48 Posted: 02 Mar 2012 Last Revised: 14 Jun 2013
Gregor N. F. Weiss and Hendrik Supper
University of Leipzig - Faculty of Economics and Management Science and University of Dortmund - Department of Business
Downloads 409 (115,985)

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Liquidity, Commonality, Vine Copulas, liquidity-adjusted intraday, Value-at-Risk

10.

Systemic Risk, Bank Capital, and Deposit Insurance Around the World

Number of pages: 66 Posted: 21 May 2014 Last Revised: 08 Oct 2014
Denefa Bostandzic, Matthias Pelster and Gregor N. F. Weiss
Heinrich Heine University Dusseldorf, University of Duisburg-Essen - Mercator School of Management and University of Leipzig - Faculty of Economics and Management Science
Downloads 403 (117,969)
Citation 8

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financial crises, systemic risk, bank regulation, regulatory capital, deposit insurance

11.

Testing for Structural Breaks in Correlations: Does it Improve Value-at-Risk Forecasting?

Journal of Empirical Finance, Forthcoming
Number of pages: 39 Posted: 17 May 2013 Last Revised: 16 Mar 2015
Tobias Berens, Tobias Berens, Gregor N. F. Weiss and Dominik Wied
zeb/rolfes.schierenbeck.associatesUniversity TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and University of Cologne
Downloads 383 (125,058)
Citation 2

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CCC-GARCH, DCC-GARCH, Estimation window, Structural breaks, VaR-forecast

12.

Consolidation and Systemic Risk in the International Insurance Industry

Journal of Financial Stability, Forthcoming
Number of pages: 55 Posted: 26 Aug 2012 Last Revised: 09 Apr 2015
Janina Muhlnickel and Gregor N. F. Weiss
Technical University of Dortmund and University of Leipzig - Faculty of Economics and Management Science
Downloads 350 (138,240)
Citation 3

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Financial Crises, Insurance Industry, Systemic Risk, Consolidation, Mergers

13.

Systemic Risk of Insurers Around the Globe

Number of pages: 39 Posted: 04 Apr 2014
Gregor N. F. Weiss, Christopher Bierth and Felix Irresberger
University of Leipzig - Faculty of Economics and Management Science, Technical University of Dortmund and Durham University
Downloads 298 (163,967)
Citation 6

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Systemic risk, insurer size, interconnectedness, insurance

14.

Bank Stock Performance and Bank Regulation Around the Globe

European Journal of Finance Vol. 24, Issue 2, pp. 77-113, 2018
Number of pages: 55 Posted: 05 Jun 2014 Last Revised: 25 Feb 2018
Matthias Pelster, Felix Irresberger and Gregor N. F. Weiss
University of Duisburg-Essen - Mercator School of Management, Durham University and University of Leipzig - Faculty of Economics and Management Science
Downloads 289 (169,342)

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Bank stock performance, bank regulation, capital, implicit bailout guarantee.

15.

Innovating Banks And Local Lending

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 69 Posted: 17 Jul 2019 Last Revised: 27 Jan 2021
Denefa Bostandzic and Gregor N. F. Weiss
Heinrich Heine University Dusseldorf and University of Leipzig - Faculty of Economics and Management Science
Downloads 270 (181,563)
Citation 1

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Innovation, Financial Technology, Competition, Branch Banking, Credit Supply

16.

What Factors Drive Systemic Risk during International Financial Crises?

Journal of Banking and Finance, Forthcoming
Number of pages: 67 Posted: 28 May 2013 Last Revised: 06 Jan 2014
Gregor N. F. Weiss, Denefa Bostandzic and Sascha Neumann
University of Leipzig - Faculty of Economics and Management Science, Heinrich Heine University Dusseldorf and Ruhr University of Bochum
Downloads 268 (182,952)
Citation 1

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Financial Crises, Systemic Risk, Determinants

17.

Are Copula-GoF-Tests of Any Practical Use? Empirical Evidence for Stocks, Commodities and FX Futures

22nd Australasian Finance and Banking Conference 2009, Quarterly Review of Economics and Finance, Forthcoming
Number of pages: 54 Posted: 23 Aug 2009 Last Revised: 12 Dec 2010
Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science
Downloads 263 (186,387)
Citation 1

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Dependence structures, Risk management, Copulas, Goodness-of-fit-testing

18.

On the Wealth Effects of Merging Banks’ Rivals Empirical Evidence for US Bank Mergers

22nd Australasian Finance and Banking Conference 2009
Number of pages: 24 Posted: 27 Aug 2009 Last Revised: 27 Jul 2010
Gregor N. F. Weiss and Sascha Neumann
University of Leipzig - Faculty of Economics and Management Science and Ruhr University of Bochum
Downloads 260 (188,551)

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M&A, Banks, Event Study, Rival Returns

19.

Is Tail Risk Priced in Credit Default Swap Premia?

Review of Finance (Forthcoming)
Number of pages: 82 Posted: 05 Apr 2013 Last Revised: 14 Feb 2015
Christian Meine, Hendrik Supper and Gregor N. F. Weiss
Ruhr University of Bochum, University of Dortmund - Department of Business and University of Leipzig - Faculty of Economics and Management Science
Downloads 255 (192,220)
Citation 6

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Credit default swaps, CDS tail beta, asymmetric extreme dependence, tail risk, copulas

20.

Liquidity Tail Risk and Credit Default Swap Spreads

European Journal of Operational Research, Forthcoming
Number of pages: 46 Posted: 25 Jan 2016 Last Revised: 16 Feb 2018
Felix Irresberger, Gregor N. F. Weiss, Janet Gabrysch and Sandra Gabrysch
Durham University, University of Leipzig - Faculty of Economics and Management Science, Technical University of Dortmund and Technical University of Dortmund
Downloads 247 (198,432)
Citation 2

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Credit default swaps, liquidity risk, copula, liquidity tail beta

21.

Why Do Some Insurers become Systemically Relevant?

Journal of Financial Stability, Forthcoming, 26th Australasian Finance and Banking Conference 2013
Number of pages: 69 Posted: 30 Jun 2013 Last Revised: 06 May 2014
Gregor N. F. Weiss and Janina Muhlnickel
University of Leipzig - Faculty of Economics and Management Science and Technical University of Dortmund
Downloads 235 (208,232)

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Financial Crises, Insurance Industry, Systemic Risk

22.

Identifying Mixture Copula Components Using Outlier Detection Methods and Goodness-of-Fit Tests

Downloads 217 (224,741)
Citation 1

Identifying Mixture Copula Components Using Outlier Detection Methods and Goodness-of-Fit Tests

Journal of Risk, Forthcoming
Number of pages: 48 Posted: 16 Sep 2011 Last Revised: 24 Oct 2013
Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science
Downloads 217 (224,135)
Citation 2

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Dependence structures; copulas; goodness-of-fit-testing; robustness

Identifying Mixture Copula Components Using Outlier Detection Methods and Goodness-of-Fit Tests

Journal of Risk, Vol. 16, No. 4, 2014
Number of pages: 42 Posted: 07 Jun 2016
Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science
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goodness-of-fit tests, mixture copula components

23.

Depositor Sentiment

Number of pages: 75 Posted: 09 Dec 2015
Felix Irresberger and Gregor N. F. Weiss
Durham University and University of Leipzig - Faculty of Economics and Management Science
Downloads 195 (247,782)
Citation 2

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Bank runs, depositor sentiment, bank deposits, deposit insurance

24.

Crisis Sentiment in the U.S. Insurance Sector

Journal of Risk and Insurance, Forthcoming
Number of pages: 40 Posted: 11 Dec 2013 Last Revised: 23 Feb 2016
Felix Irresberger, Fee König and Gregor N. F. Weiss
Durham University, Technical University of Dortmund and University of Leipzig - Faculty of Economics and Management Science
Downloads 176 (271,278)
Citation 1

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Financial crises, insurance, investor sentiment

25.

Explaining Bank Stock Performance with Crisis Sentiment

Journal of Banking and Finance, Forthcoming
Number of pages: 52 Posted: 17 Jun 2015
Felix Irresberger, Janina Muhlnickel and Gregor N. F. Weiss
Durham University, Technical University of Dortmund and University of Leipzig - Faculty of Economics and Management Science
Downloads 175 (272,661)
Citation 2

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Financial crisis, bank performance, investor sentiment

26.

Smooth Nonparametric Bernstein Vine Copulas

Number of pages: 35 Posted: 30 Sep 2012 Last Revised: 08 Oct 2012
Gregor N. F. Weiss and Marcus Scheffer
University of Leipzig - Faculty of Economics and Management Science and University of Dortmund - Economics and Social Sciences
Downloads 170 (279,650)

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finance, dependence structures, vine copulas, Bernstein copulas

27.

Evaluating Value-at-Risk Forecasts: A New Set of Multivariate Backtests

Number of pages: 38 Posted: 13 Apr 2015 Last Revised: 06 Dec 2015
Dominik Wied, Gregor N. F. Weiss and Daniel Ziggel
University of Cologne, University of Leipzig - Faculty of Economics and Management Science and Ruhr University of Bochum
Downloads 162 (291,213)
Citation 3

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Model Risk, Multivariate Backtesting, Value-at-Risk

28.

Detecting and Explaining Systemic Risks of US Mortgage Banks - Evidence from the Subprime Crisis

Number of pages: 27 Posted: 22 Mar 2010
Gregor N. F. Weiss and Stephan Paul
University of Leipzig - Faculty of Economics and Management Science and Ruhr University of Bochum - Faculty of Economics
Downloads 161 (292,755)

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Contagion, subprime crisis, bailout, mortgage bank

29.

Testing Asymmetry in Dependence with Copula-Coskewness

Number of pages: 20 Posted: 02 May 2016 Last Revised: 15 Jan 2017
Axel Bücher, Felix Irresberger and Gregor N. F. Weiss
Ruhr University of Bochum, Durham University and University of Leipzig - Faculty of Economics and Management Science
Downloads 147 (315,701)
Citation 1

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Asymmetry, coskewness, exchangeability, copula, diversification

30.

Disclosed Derivatives Usage, Securitization, and the Systemic Equity Risk of Banks

Northern Finance Association Conference 2014
Number of pages: 70 Posted: 06 May 2014
Rouven Trapp and Gregor N. F. Weiss
Ulm University - Faculty of Mathematics and Economics and University of Leipzig - Faculty of Economics and Management Science
Downloads 141 (326,282)
Citation 2

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Financial Crisis, Systemic Equity Risk, Derivatives, Securitization, Risk Management

31.

Mixture Pair-Copula-Constructions

Journal of Banking and Finance, Forthcoming
Number of pages: 44 Posted: 21 Jan 2015
Gregor N. F. Weiss and Marcus Scheffer
University of Leipzig - Faculty of Economics and Management Science and University of Dortmund - Economics and Social Sciences
Downloads 139 (329,997)

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Dependence structures; Vine Copulas; Mixture Copulas; Model Selection

32.

The Impact of Corporate Social Responsibility on Firms' Exposure to Tail Risk: The Case of Insurers

Number of pages: 47 Posted: 04 Mar 2021
David Sonnenberger and Gregor N. F. Weiss
affiliation not provided to SSRN and University of Leipzig - Faculty of Economics and Management Science
Downloads 128 (351,483)

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Corporate social responsibility, insurance companies, sustainable insurance

33.

Estimating the Relation between Digitalization and the Market Value of Insurers

Journal of Risk and Insurance, Forthcoming
Number of pages: 47 Posted: 26 Apr 2021 Last Revised: 11 May 2021
Simon Fritzsch, Philipp Scharner and Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science, University of Leipzig - Faculty of Economics and Management Science and University of Leipzig - Faculty of Economics and Management Science
Downloads 122 (364,240)

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Digitalization, Latent Dirichlet Allocation, Machine Learning, Market Valuation

34.

Size Is Everything: Explaining SIFI Designations

Review of Financial Economics, Forthcoming
Number of pages: 39 Posted: 19 Sep 2016 Last Revised: 22 Sep 2016
Felix Irresberger, Christopher Bierth and Gregor N. F. Weiss
Durham University, Technical University of Dortmund and University of Leipzig - Faculty of Economics and Management Science
Downloads 122 (364,240)
Citation 2

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Systemic Risk, Interconnectedness, Systemic Relevance, Financial Stability

35.

Forecasting Portfolio-Value-At-Risk with Nonparametric Lower Tail Dependence Estimates

Journal of Banking and Finance, Forthcoming
Number of pages: 34 Posted: 27 Jan 2015
Karl Siburg, Pavel Stoimenov and Gregor N. F. Weiss
Technical University of Dortmund, University of Dortmund - Department of Economics and University of Leipzig - Faculty of Economics and Management Science
Downloads 111 (389,968)
Citation 3

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Copula, tail dependence, nonparametric estimation, Value-at-Risk, Canonical Maximum-Likelihood

36.

Do CDS Spreads Move with Commonality in Liquidity?

Review of Derivatives Research, Forthcoming
Number of pages: 47 Posted: 09 Apr 2015
Christian Meine, Hendrik Supper and Gregor N. F. Weiss
Ruhr University of Bochum, University of Dortmund - Department of Business and University of Leipzig - Faculty of Economics and Management Science
Downloads 91 (446,041)

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Credit default swaps, liquidity commonality, liquidity risk

37.

Extreme Dependence in Investor Attention and Stock Returns - Consequences for Forecasting Stock Returns and Measuring Systemic Risk

Quantitative Finance, Forthcoming
Number of pages: 53 Posted: 20 Jun 2019
Marcus Scheffer and Gregor N. F. Weiss
University of Dortmund - Economics and Social Sciences and University of Leipzig - Faculty of Economics and Management Science
Downloads 90 (449,165)

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dependence structures, tail dependence, investor attention, Google Trends

38.

An Order of Asymmetry in Copulas, and Implications for Risk Management

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 23 Posted: 14 Mar 2016
Karl Siburg, Katharina Stehling, Pavel Stoimenov and Gregor N. F. Weiss
Technical University of Dortmund, Technical University of Dortmund, University of Dortmund - Department of Economics and University of Leipzig - Faculty of Economics and Management Science
Downloads 83 (471,943)

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Asymmetry, exchangeability, copula, diversification

39.

Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?

Number of pages: 54 Posted: 24 Sep 2021
Simon Fritzsch, Maike Timphus and Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science, University of Leipzig - Faculty of Economics and Management Science and University of Leipzig - Faculty of Economics and Management Science
Downloads 78 (489,513)

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OR in Banking, Risk Analysis, Finance, Copula, Model Risk

40.

Comparing and Quantifying Tail Dependence

Number of pages: 9 Posted: 13 Sep 2022
Karl Friedrich Siburg, Christopher Strothmann and Gregor N. F. Weiss
TU Dortmund University, TU Dortmund University and University of Leipzig - Faculty of Economics and Management Science
Downloads 8 (920,947)

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Tail dependence, Measure of dependence, Dependence modeling

41.

Estimation Window Strategies for Value-at-Risk and Expected Shortfall Forecasting

Journal of Risk, Vol. 20, No. 5, 2018
Number of pages: 50 Posted: 28 Jun 2018
Tobias Berens, Tobias Berens, Gregor N. F. Weiss and Daniel Ziggel
zeb/rolfes.schierenbeck.associatesUniversity TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and FOM Fachhochschule für Oekonomie & Management gGmbH
Downloads 1 (974,424)
Citation 1
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Value-at-Risk (VaR), Estimation Window, Forecasting, Expected Shortfall (ES), Backtesting

42.

Analysing Contagion and Bailout Effects with Copulae: Evidence from the Subprime and Japanese Banking Crises

Journal of Economics and Finance, Forthcoming
Posted: 18 Aug 2008 Last Revised: 03 Aug 2009
Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science

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Contagion Effects, Bailout, Event Study, Copula