Eva Lütkebohmert

University of Freiburg, Institute for Economic Research

Platz der Alten Synagoge 1

Freiburg, D-79098

Germany

SCHOLARLY PAPERS

9

DOWNLOADS

404

CITATIONS
Rank 38,045

SSRN RANKINGS

Top 38,045

in Total Papers Citations

13

Scholarly Papers (9)

1.

Granularity Adjustment for Basel Ii

Bundesbank Series 2 Discussion Paper No. 2007,01
Number of pages: 40 Posted: 08 Jun 2016
Michael B. Gordy and Eva Lütkebohmert
Federal Reserve Board and University of Freiburg, Institute for Economic Research
Downloads 208 (145,544)
Citation 1

Abstract:

Loading...

Basel II, granularity adjustment, value-at-risk, idiosyncratic risk

2.

A Continuous Time Structural Model for Insolvency, Recovery, and Rollover Risks

Number of pages: 53 Posted: 16 Sep 2012 Last Revised: 11 Nov 2012
Gechun Liang, Eva Lütkebohmert and Wei Wei
University of Warwick - Department of Statistics, University of Freiburg, Institute for Economic Research and affiliation not provided to SSRN
Downloads 78 (308,117)
Citation 1

Abstract:

Loading...

structural credit risk model, bank run, rollover risk, first passage time, optimal stopping time

3.

Empirical Analysis and Forecasting of Multiple Yield Curves

Number of pages: 60 Posted: 10 Jan 2019 Last Revised: 16 Jul 2019
Christoph Gerhart and Eva Lütkebohmert
University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg, Institute for Economic Research
Downloads 33 (451,141)
Citation 1

Abstract:

Loading...

multiple term structures, principal component analysis, dynamic factor model, Nelson-Siegel curve, forecasting of yield curves

4.

Tightening Robust Price Bounds for Exotic Derivatives

Number of pages: 27 Posted: 16 Dec 2018
Eva Lütkebohmert and Julian Sester
University of Freiburg, Institute for Economic Research and University of Freiburg
Downloads 26 (485,326)

Abstract:

Loading...

robust price bounds, model-independent valuation, optimal martingale transport, additional market information

5.

Euro Area Banks' Interest Rate Risk Exposure to Level, Slope and Curvature Swings in the Yield Curve

Bundesbank Discussion Paper No. 24/2017
Number of pages: 51 Posted: 07 Sep 2017
Daniel Foos, Eva Lütkebohmert, Mariia Markovych and Kamil Pliszka
Deutsche Bundesbank, University of Freiburg, Institute for Economic Research, University of Freiburg and Deutsche Bundesbank
Downloads 26 (485,326)

Abstract:

Loading...

Bayesian DCC M-GARCH model, interest rate risk, maturity transformation, swings in the yield curve

6.

Robust Statistical Arbitrage Strategies

Number of pages: 28 Posted: 16 Aug 2019
Eva Lütkebohmert and Julian Sester
University of Freiburg, Institute for Economic Research and University of Freiburg
Downloads 3 (626,533)

Abstract:

Loading...

Statistical Arbitrage, Robust Valuation, Trading Strategies, Super-Replication Duality

7.

Calculating Capital Charges for Sector Concentration Risk

Journal of Credit Risk, Forthcoming
Number of pages: 34 Posted: 22 Oct 2018
Cornelius Kurtz, Eva Lütkebohmert and Julian Sester
European Central Bank (ECB), University of Freiburg, Institute for Economic Research and University of Freiburg
Downloads 2 (636,413)
Citation 2
  • Add to Cart

Abstract:

Loading...

credit risk, sector concentration risk, capital allocation, analytical approximation, Monte Carlo simulation

8.

Benefits and Risks of Shadow Money

Number of pages: 61 Posted: 19 Jan 2019
Feng Xu, Eva Lütkebohmert and Yajun Xiao
Tianjin University - College of Management and Economics, University of Freiburg, Institute for Economic Research and University College Dublin (UCD)
Downloads 28

Abstract:

Loading...

banking competition, bank runs, financial stability, shadow banking, wealth management products

9.

Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk

European Financial Management, Vol. 23, Issue 1, pp. 55-86, 2017
Number of pages: 32 Posted: 10 Jan 2017
Eva Lütkebohmert, Daniel Oeltz and Yajun Xiao
University of Freiburg, Institute for Economic Research, RIVACON and University College Dublin (UCD)
Downloads 0 (666,984)
  • Add to Cart

Abstract:

Loading...

funding liquidity, optimal capital structure, rollover risk, structural credit risk models