Sebastian Pokutta

Georgia Institute of Technology

Atlanta, GA 30332

United States

SCHOLARLY PAPERS

9

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CITATIONS
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11

Scholarly Papers (9)

1.

Measuring Systemic Risk and Contagion in Financial Networks

Number of pages: 20 Posted: 01 Mar 2011
Sebastian Pokutta, Christian Schmaltz and Sebastian Stiller
Georgia Institute of Technology, Aarhus University and Massachusetts Institute of Technology (MIT)
Downloads 991 (21,587)
Citation 8

Abstract:

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systemic risk, network flows, contagion, clearing

2.

Optimal Bank Planning Under Basel III Regulations

Number of pages: 10 Posted: 23 Aug 2011
Christian Schmaltz and Sebastian Pokutta
Aarhus University and Georgia Institute of Technology
Downloads 533 (50,372)

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Basel3, bank planning, bank optimization

3.

How to Make Regulators and Shareholders Happy Under Basel III

Number of pages: 27 Posted: 23 Nov 2012 Last Revised: 08 Aug 2013
Aarhus University, Georgia Institute of Technology, Frankfurt School of Finance & Management gemeinnützige GmbH and German Savings Bank Association
Downloads 362 (80,648)
Citation 5

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Basel III, Planning, Linear Programming, Capital Ratio, Leverage Ratio, LCR, NSFR

4.

A Network Model for Bank Lending Capacity

Systemic Risk, Basel III, Financial Stability and Regulation 2011
Number of pages: 17 Posted: 02 Mar 2011 Last Revised: 02 May 2011
Christian Schmaltz and Sebastian Pokutta
Aarhus University and Georgia Institute of Technology
Downloads 313 (95,033)

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Systemic risk, network model, bank lending channel, credit crunch

5.

On Clearing Coupled Day-Ahead Electricity Markets

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 15 Posted: 18 Aug 2010 Last Revised: 03 Nov 2010
Alexander Martin, Johannes C. Müller and Sebastian Pokutta
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and Georgia Institute of Technology
Downloads 218 (138,179)

Abstract:

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clearing prices, electricity markets, energy market coupling, congestion management, day-ahead auctions, mixed-integer programming

6.

Optimal Centralization of Liquidity Management

22nd Australasian Finance and Banking Conference 2009
Number of pages: 28 Posted: 24 Aug 2009 Last Revised: 22 Oct 2009
Sebastian Pokutta and Christian Schmaltz
Georgia Institute of Technology and Aarhus University
Downloads 165 (178,137)

Abstract:

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Liquidity management, liquidity center location problem, facility location problem, real options

7.

Convergence of Capital and Insurance Markets: Consistent Pricing of Index‐Linked Catastrophe Loss Instruments

Journal of Risk and Insurance, Vol. 86, Issue 1, pp. 39-72, 2019
Number of pages: 34 Posted: 12 Feb 2019
Nadine Gatzert, Sebastian Pokutta and Nikolai Vogl
Friedrich-Alexander University Erlangen-Nürnberg, Georgia Institute of Technology and Friedrich-Alexander University Erlangen-Nürnberg
Downloads 1 (643,078)
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Abstract:

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8.

Convergence of Capital and Insurance Markets: Consistent Pricing of Index-Linked Catastrophic Loss Instruments

Posted: 04 Sep 2013 Last Revised: 15 Sep 2016
Nadine Gatzert, Sebastian Pokutta and Nikolai Vogl
Friedrich-Alexander University Erlangen-Nürnberg, Georgia Institute of Technology and Friedrich-Alexander University Erlangen-Nürnberg

Abstract:

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Alternative risk transfer, cat bonds, industry loss warranties, pricing approaches, risk-neutral valuation

9.

Computing Discrete Expected Utility Maximizing Portfolios

Posted: 23 Aug 2010 Last Revised: 31 Oct 2014
Sarah Drewes and Sebastian Pokutta
University of California, Berkeley, Industrial Engineering and Operations Research and Georgia Institute of Technology

Abstract:

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expected logarithmic utility, optimization, SQP, outer approximation, kelly criterion, geometric mean maximization, discrete decisions