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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SSRN CITATIONS
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Top 5,166

in Total Papers Citations

49

CROSSREF CITATIONS

209

Scholarly Papers (10)

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1.

European Mutual Fund Performance

Downloads 4,312 ( 3,186)
Citation 87

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 4,244 (3,223)
Citation 7

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Mutual funds, performance evaluation, portfolio management, style analysis

European Mutual Fund Performance

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 68 (464,389)
Citation 14

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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 1,240 (23,649)
Citation 3

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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 990 ( 32,676)
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 694 (52,429)
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 262 (163,413)

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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 34 (621,329)
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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 589 ( 65,487)
Citation 5

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 589 (64,725)
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

Downloads 552 ( 71,101)
Citation 15

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 537 (72,804)
Citation 1

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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 15 (771,327)

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6.

Are Capital Requirements on Small Business Loans Flawed?

Downloads 338 (126,061)
Citation 6

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
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 244 (175,257)
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
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 94 (380,801)
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 169 (245,231)
Citation 8

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 161 (255,967)
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 8 (843,152)
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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 127 (307,755)
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 (665,243)
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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 (672,635)
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Forward exchange, risk