Eva Lütkebohmert

University of Freiburg

Fahnenbergplatz

Freiburg, D-79085

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

132

CITATIONS
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in Total Papers Citations

9

Scholarly Papers (4)

1.

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 and affiliation not provided to SSRN
Downloads 68 (273,059)

Abstract:

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

2.

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

Bundesbank Discussion Paper No. 24/2017
Posted: 07 Sep 2017
Daniel Foos, Mariia Markovych, Eva Lütkebohmert and Kamil Pliszka
Deutsche Bundesbank, University of Freiburg, University of Freiburg and Deutsche Bundesbank
Downloads 0 (522,851)

Abstract:

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

3.

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, RIVACON and University of Technology Sydney (UTS)
Downloads 0 (568,632)
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Abstract:

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

4.

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
Board of Governors of the Federal Reserve and University of Freiburg
Downloads 0 (327,265)
Citation 9

Abstract:

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