Dennis Bams

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

P.O. Box 616

Maastricht, 6200 MD

Netherlands

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 4,414

SSRN RANKINGS

Top 4,414

in Total Papers Downloads

7,801

CITATIONS
Rank 5,012

SSRN RANKINGS

Top 5,012

in Total Papers Citations

104

Scholarly Papers (11)

1.
Downloads 4,036 ( 1,669)
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 3,991 (1,680)
Citation 67

Abstract:

Loading...

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 (357,731)
Citation 67
  • Add to Cart

Abstract:

Loading...

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 (14,456)
Citation 2

Abstract:

Loading...

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

3.
Downloads 955 ( 19,059)
Citation 6

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), Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 677 (30,639)
Citation 6

Abstract:

Loading...

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 Luxembourg School of Finance
Downloads 244 (106,067)
Citation 6

Abstract:

Loading...

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), Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 34 (399,031)
Citation 6
  • Add to Cart

Abstract:

Loading...

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 - Limburg Institute of Financial Economics (LIFE)
Downloads 566 (39,070)
Citation 3

Abstract:

Loading...

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:

Loading...

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 493 (46,664)
Citation 9

Abstract:

Loading...

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 (517,656)
Citation 9
  • Add to Cart

Abstract:

Loading...

Credit Risk Characteristics of U.S. Small Business Portfolios

Best AFFI 2016 paper in banking & insurance
Number of pages: 39 Posted: 09 Aug 2012 Last Revised: 12 Aug 2017
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 218 (118,823)

Abstract:

Loading...

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
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 46 (354,432)

Abstract:

Loading...

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

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), Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 152 (165,790)
Citation 3

Abstract:

Loading...

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), Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 8 (540,168)
Citation 3
  • Add to Cart

Abstract:

Loading...

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
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 (242,999)
Citation 1

Abstract:

Loading...

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 (410,612)
Citation 6
  • Add to Cart

Abstract:

Loading...

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 (429,482)
Citation 4
  • Add to Cart

Abstract:

Loading...

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 (434,464)
Citation 3
  • Add to Cart

Abstract:

Loading...

Forward exchange, risk