Theoharry Grammatikos

Luxembourg School of Finance

Professor

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 40,718

in Total Papers Downloads

834

CITATIONS
Rank 40,226

SSRN RANKINGS

Top 40,226

in Total Papers Citations

4

Scholarly Papers (9)

Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDs Spreads and Exchange Rates

LSF Research Workiing Paper No. 10-13
Number of pages: 26 Posted: 14 Feb 2011
Robert Vermeulen and Theoharry Grammatikos
De Nederlandsche Bank and Luxembourg School of Finance
Downloads 143 (171,747)
Citation 4

Abstract:

financial crisis, euro exchange rate, EMU, equity markets, sovereign debt

Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates

De Nederlandsche Bank Working Paper No. 287
Number of pages: 29 Posted: 29 Oct 2011
Theoharry Grammatikos and Robert Vermeulen
Luxembourg School of Finance and De Nederlandsche Bank
Downloads 102 (222,818)
Citation 4

Abstract:

financial crisis, euro exchange rate, EMU, equity markets, sovereign debt

2.

News Flow, Web Attention and Extreme Returns in the European Financial Crisis

26th Australasian Finance and Banking Conference 2013
Number of pages: 33 Posted: 05 Nov 2013 Last Revised: 18 Oct 2016
Andreas Chouliaras and Theoharry Grammatikos
University of Reading - ICMA Centre and Luxembourg School of Finance
Downloads 242 (102,497)

Abstract:

Textual Analysis, Web Attention, SVI, News Flow, Media

3.

Forecasting Distress in European SME Portfolios

Journal of Banking and Finance, Vol. 64, No. 1, 2016
Posted: 18 May 2013 Last Revised: 12 Jan 2016
Sara Ferreira Filipe, Theoharry Grammatikos and Dimitra Michala
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance

Abstract:

credit risk; distress; forecasting; SMEs; logit

4.

Extreme Returns in the European Financial Crisis

European Financial Management, Forthcoming
Number of pages: 43 Posted: 13 Nov 2016 Last Revised: 14 Nov 2016
Andreas Chouliaras and Theoharry Grammatikos
University of Reading - ICMA Centre and Luxembourg School of Finance
Downloads 97 (204,592)

Abstract:

Financial Crisis, Financial Contagion, Spillover, Euro-crisis, Stock Markets

5.

The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity

De Nederlandsche Bank Working Paper No. 344
Number of pages: 33 Posted: 08 May 2012
Theoharry Grammatikos and Robert Vermeulen
Luxembourg School of Finance and De Nederlandsche Bank
Downloads 75 (234,086)

Abstract:

financial crisis, systematic risk, credit supply, aggregate demand

6.

Pricing Default Risk: The Good, The Bad, and The Anomaly

Journal of Financial Stability, Vol. 26, No. 1, 2016
Posted: 03 Feb 2014 Last Revised: 16 Oct 2016
Sara Ferreira Filipe, Theoharry Grammatikos and Dimitra Michala
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance

Abstract:

default risk; Merton model; default anomaly; idiosyncratic risk

7.

Market Perceptions of US and European Policy Actions Around the Subprime Crisis

25th Australasian Finance and Banking Conference 2012
Number of pages: 31 Posted: 20 Aug 2012
Theoharry Grammatikos, Thorsten Lehnert and Yoichi Otsubo
Luxembourg School of Finance, Luxembourg School of Finance and University of Manchester - Manchester Business School
Downloads 63 (273,386)

Abstract:

event study, policy announcement, subprime crisis

8.

What Lies behind the 'Too-Small-To-Survive' Banks?

Luxembourg School of Finance (LSF) Research Working Paper Series, No 13-12, 26th Australasian Finance and Banking Conference 2013
Number of pages: 43 Posted: 17 Jan 2013 Last Revised: 15 Nov 2013
Theoharry Grammatikos and Nikolaos I. Papanikolaou
Luxembourg School of Finance and Bournemouth University - Business School
Downloads 21 (413,838)

Abstract:

CAMEL ratings; financial crisis; bank size; ‘Too-Small-To-Survive’ banks

9.

Applying Benford’s Law to Detect Accounting Data Manipulation in the Banking Industry

Luxembourg School of Finance Working Paper Series 11, 2016
Number of pages: 38 Posted: 11 Nov 2013 Last Revised: 28 Nov 2016
Theoharry Grammatikos and Nikolaos I. Papanikolaou
Luxembourg School of Finance and Bournemouth University - Business School
Downloads 0 (392,213)

Abstract:

financial crisis; banks; Benford’s Law; financial accounting; data manipulation