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Dennis Bams

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

P.O. Box 616

Maastricht, 6200 MD

Netherlands

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

    • Email
    • Tel: +31 43 388 3838
    • Fax: +31 43 325 8530
SCHOLARLY PAPERS

11

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Top 4,263

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7,768

CITATIONS
Rank 5,001

SSRN RANKINGS

Top 5,001

in Total Papers Citations

104

Scholarly Papers (11)

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1.

European Mutual Fund Performance

Downloads 4,018 ( 1,613)
Citation 67

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 - Department of Finance and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 3,973 (1,612)
Citation 67

Abstract:

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 - Department of Finance and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 45 (347,845)
Citation 67

Abstract:

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 - Department of Finance and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 1,099 (13,976)
Citation 2

Abstract:

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

3.

An Evaluation Framework for Alternative VaR Models

Downloads 955 ( 18,315)
Citation 6

An Evaluation Framework for Alternative VaR Models

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 25 Posted: 21 Jan 2002
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 677 (29,626)
Citation 6

Abstract:

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
Christian C. P. Wolff, Dennis Bams and Thorsten Lehnert
University of Luxembourg - Luxembourg School of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Luxembourg School of Finance
Downloads 244 (102,658)
Citation 6

Abstract:

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
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 34 (388,181)
Citation 6

Abstract:

Value-at-risk, financial time series, exchange rate positions, GARCH, estimation risk, fat tail distributions

4.

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

Downloads 565 ( 38,368)
Citation 3

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 - Limburg Institute of Financial Economics (LIFE)
Downloads 565 (37,814)
Citation 3

Abstract:

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 - Limburg Institute of Financial Economics (LIFE)

Abstract:

5.

The Performance of Local Versus Foreign Mutual Fund Managers

Downloads 502 ( 44,650)
Citation 9

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 - Department of Finance and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 490 (45,442)
Citation 9

Abstract:

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 - Department of Finance and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 12 (505,361)
Citation 9

Abstract:

6.

Credit Risk Characteristics of U.S. Small Business Portfolios

Downloads 261 ( 96,053)

Credit Risk Characteristics of U.S. Small Business Portfolios

Best AFFI 2016 paper in banking & insurance
Number of pages: 38 Posted: 09 Aug 2012 Last Revised: 05 Jul 2017
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 216 (116,136)

Abstract:

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

Credit Risk Characteristics of US Small Business Portfolios

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 38 Posted: 13 Dec 2015 Last Revised: 05 Jul 2017
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 45 (347,845)

Abstract:

Small business credit risk, default correlation, multiple defaults, factor models

7.

Loss Functions in Option Valuation: A Framework for Model Selection

Downloads 159 (154,467)
Citation 3

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
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 151 (161,745)
Citation 3

Abstract:

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
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 8 (527,380)
Citation 3

Abstract:

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

8.

Ripple Effects from Industry Defaults

Number of pages: 46 Posted: 28 Oct 2013 Last Revised: 28 May 2017
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 63 (240,910)
Citation 1

Abstract:

Default clustering, supply chain, small business lending, counterparty 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 - Department of Finance and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 29 (399,688)
Citation 6

Abstract:

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 (418,095)
Citation 4

Abstract:

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
Dennis Bams, Kim Walkowiak and Christian C. P. Wolff
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 (423,081)
Citation 3

Abstract:

Forward exchange, risk

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