Dennis Bams

University of Maastricht - Limburg Institute of Financial Economics (LIFE)

P.O. Box 616

Maastricht, 6200 MD

Netherlands

SCHOLARLY PAPERS

11

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CITATIONS
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31

Scholarly Papers (11)

1.
Downloads 4,116 ( 2,068)
Citation 46

European Mutual Fund Performance

European Financial Management Journal, Forthcoming, EFMA 2000 Athens Meetings
Number of pages: 42 Posted: 14 Apr 2000
Rogér Otten and Dennis Bams
Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 4,071 (2,073)
Citation 23

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Mutual funds, performance evaluation, portfolio management, style analysis

European Mutual Fund Performance

European Financial Management, Vol. 8, pp. 75-101, 2002
Number of pages: 27 Posted: 24 Apr 2002
Rogér Otten and Dennis Bams
Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 45 (408,151)
Citation 75
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2.

Statistical Tests for Return-Based Style Analysis

EFMA 2001 Lugano Meetings
Number of pages: 32 Posted: 25 Jul 2001
Rogér Otten and Dennis Bams
Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 1,185 (16,537)
Citation 3

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Mutual Funds, Style Analysis, Portfolio Management, Non-linear Optimization, Kuhn-Tucker, Parameter Uncertainty

3.
Downloads 962 ( 22,546)
Citation 4

An Evaluation Framework for Alternative VAR Models

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 25 Posted: 21 Jan 2002
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 681 (36,006)
Citation 1

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

EFA 2003 Annual Conference Paper No. 111
Number of pages: 21 Posted: 31 Jul 2003
University of Luxembourg - Luxembourg School of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 247 (121,655)

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

CEPR Discussion Paper No. 3403
Number of pages: 28 Posted: 16 Jul 2002
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 34 (454,008)
Citation 5
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Value-at-risk, financial time series, exchange rate positions, GARCH, estimation risk, fat tail distributions

Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

Number of pages: 38 Posted: 07 Nov 1998
Dennis Bams and Peter C. Schotman
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Department of Finance
Downloads 574 (45,263)
Citation 7

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Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

CEPR Discussion Paper Series No. 2034
Posted: 22 Jan 1999
Dennis Bams and Peter C. Schotman
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Department of Finance

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The Performance of Local Versus Foreign Mutual Fund Managers

EFMA 2003 Helsinki Meetings
Number of pages: 26 Posted: 19 May 2003
Rogér Otten and Dennis Bams
Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 505 (53,340)

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Mutual Funds, Home Bias, Information asymmetry, Performance evaluation

The Performance of Local versus Foreign Mutual Fund Managers

European Financial Management, Vol. 13, No. 4, pp. 702-720, September 2007
Number of pages: 19 Posted: 15 Aug 2007
Rogér Otten and Dennis Bams
Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 12 (584,997)
Citation 18
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Are Capital Requirements on Small Business Loans Flawed?

Best AFFI 2016 paper in banking & insurance
Number of pages: 53 Posted: 09 Aug 2012 Last Revised: 06 Nov 2018
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 231 (130,211)
Citation 2

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Small business credit risk, capital charges, default correlation, factor models

Are Capital Requirements on Small Business Loans Flawed?

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 53 Posted: 13 Dec 2015 Last Revised: 06 Nov 2018
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 58 (363,353)
Citation 2

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Small business credit risk; IRB capital requirements; asset correlations; lending regulation.

Loss Functions in Option Valuation: A Framework for Model Selection

EFA 2004 Maastricht Meetings Paper No. 3676
Number of pages: 22 Posted: 22 Jul 2004
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 153 (190,315)

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Option pricing, loss functions, estimation risk, GARCH, implied volatility

Loss Functions in Option Valuation: A Framework for Model Selection

CEPR Discussion Paper No. 4960
Number of pages: 24 Posted: 27 Jul 2005
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 8 (612,238)
Citation 8
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Option pricing, loss functions, estimation risk, GARCH, implied volatility

8.

Spillovers to Small Business Credit Risk

Number of pages: 49 Posted: 28 Oct 2013 Last Revised: 06 Nov 2018
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 108 (248,399)
Citation 1

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Spillover effects, supply chain, small businesses, credit risk

9.

How to Measure Mutual Fund Performance: Economic Versus Statistical Relevance

Accounting and Finance, Vol. 44, No. 2, pp. 203-222, July 2004
Number of pages: 20 Posted: 06 Jul 2004
Rogér Otten and Dennis Bams
Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 29 (466,295)
Citation 7
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Mutual funds, performance evaluation, benchmarks, market efficiency

10.

Risk Premia in the Term Structure of Interest Rates: A Panel Data Approach

CEPR Discussion Paper No. 2392
Number of pages: 35 Posted: 05 Apr 2002
Dennis Bams and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg - Luxembourg School of Finance
Downloads 25 (487,052)
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Expectations hypothesis, risk premium

11.

More Evidence on the Dollar Risk Premium in the Foreign Exchange Market

CEPR Discussion Paper No. 3726
Number of pages: 31 Posted: 27 Feb 2003
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg - Luxembourg School of Finance
Downloads 24 (492,509)
Citation 3
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Forward exchange, risk