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)

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

10

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46

CROSSREF CITATIONS

127

Scholarly Papers (10)

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1.

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 4,339 (4,586)
Citation 8

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Mutual funds, performance evaluation, portfolio management, style analysis

2.

Statistical Tests for Return-Based Style Analysis

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 1,314 (30,404)
Citation 4

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

3.

An Evaluation Framework for Alternative VAR Models

Downloads 1,084 (40,087)
Citation 5

An Evaluation Framework for Alternative VAR Models

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), University of Luxembourg and University of Luxembourg
Downloads 735 (67,286)
Citation 2

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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

Number of pages: 21 Posted: 31 Jul 2003
Christian C. P. Wolff, Dennis Bams and Thorsten Lehnert
University of Luxembourg, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 299 (196,177)

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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

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), University of Luxembourg and University of Luxembourg
Downloads 50 (757,595)
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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 612 (86,089)

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 612 (85,013)
Citation 5

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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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5.

The Performance of Local Versus Foreign Mutual Fund Managers

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 573 (93,626)
Citation 1

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Mutual Funds, Home Bias, Information asymmetry, Performance evaluation

6.

Are Capital Requirements on Small Business Loans Flawed?

Downloads 393 (146,950)
Citation 7

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: 13 Aug 2023
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
Downloads 271 (217,366)
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: 13 Aug 2023
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
Downloads 122 (443,721)
Citation 6

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

7.

Loss Functions in Option Valuation: A Framework for Model Selection

Downloads 209 (281,017)
Citation 11

Loss Functions in Option Valuation: A Framework for Model Selection

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), University of Luxembourg and University of Luxembourg
Downloads 199 (293,052)
Citation 1

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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
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg
Downloads 10 (1,138,030)
Citation 3
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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
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
Downloads 153 (369,849)
Citation 1

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Spillover effects, supply chain, small businesses, credit risk

9.

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

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
Downloads 25 (937,541)
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Expectations hypothesis, risk premium

10.

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

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
Downloads 24 (947,493)
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Forward exchange, risk