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

SCHOLARLY PAPERS

41

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36

CROSSREF CITATIONS

36

Scholarly Papers (41)

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 2,065 (9,484)
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 739 (43,910)

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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 676 (49,478)

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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 467 (79,136)

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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 429 (87,060)
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
Heinrich Heine University Dusseldorf, Durham University, Norges Bank and University of Leipzig - Faculty of Economics and Management Science
Downloads 413 (91,504)

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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
Ruhr University of Bochum, zeb/rolfes.schierenbeck.associatesUniversity TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and University of Cologne
Downloads 401 (94,140)
Citation 10

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Value-at-Risk, backtesting, Monte Carlo simulation

8.

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 380 (100,167)

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

9.

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 377 (101,095)

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Dependence structures, Risk management, Copulas, parameter estimation

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, Paderborn University and University of Leipzig - Faculty of Economics and Management Science
Downloads 370 (103,199)
Citation 8

Abstract:

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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 339 (113,810)
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 323 (120,005)
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 273 (143,274)
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
Paderborn University, Durham University and University of Leipzig - Faculty of Economics and Management Science
Downloads 254 (154,027)

Abstract:

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

15.

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 241 (162,199)

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M&A, Banks, Event Study, Rival Returns

16.

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 241 (162,199)
Citation 1

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

17.

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 234 (166,846)
Citation 6

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

18.

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 230 (169,627)
Citation 2

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Financial Crises, Systemic Risk, Determinants

19.

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
Durham University, University of Leipzig - Faculty of Economics and Management Science, Technical University of Dortmund and Technical University of Dortmund
Downloads 223 (174,764)

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

20.

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 208 (187,343)
Citation 1

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

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 201 (192,553)

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Financial Crises, Insurance Industry, Systemic Risk

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 188 (204,383)
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 171 (221,958)
Citation 2

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Bank runs, depositor sentiment, bank deposits, deposit insurance

24.
Downloads 161 (233,530)
Citation 3

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 161 (233,905)
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 155 (241,059)

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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 147 (251,741)
Citation 3

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finance, dependence structures, vine copulas, Bernstein copulas

27.

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 142 (258,864)

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Contagion, subprime crisis, bailout, mortgage bank

28.

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 136 (267,855)
Citation 3

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Model Risk, Multivariate Backtesting, Value-at-Risk

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 130 (277,071)
Citation 1

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Asymmetry, coskewness, exchangeability, copula, diversification

30.

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 122 (290,565)

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Dependence structures; Vine Copulas; Mixture Copulas; Model Selection

31.

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
University of Groningen - Faculty of Economics and Business and University of Leipzig - Faculty of Economics and Management Science
Downloads 122 (290,565)

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

32.

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 105 (322,744)
Citation 2

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Systemic Risk, Interconnectedness, Systemic Relevance, Financial Stability

33.

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 97 (339,939)
Citation 3

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

34.

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 76 (394,128)

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Credit default swaps, liquidity commonality, liquidity risk

35.

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

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 23 Posted: 14 Mar 2016
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 64 (432,282)

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Asymmetry, exchangeability, copula, diversification

36.

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 62 (439,272)

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dependence structures, tail dependence, investor attention, Google Trends

37.

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 56 (461,150)

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Digitalization, Latent Dirichlet Allocation, Machine Learning, Market Valuation

38.

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 50 (488,953)

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Corporate social responsibility, insurance companies, sustainable insurance

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 21 (649,065)

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

40.

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 (800,684)
Citation 1
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Value-at-Risk (VaR), Estimation Window, Forecasting, Expected Shortfall (ES), Backtesting

41.

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