Ferdinand Mager

EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting

Prof. Dr. Ferdinand Mager

Endowed Chair of Banking & Finance

Gustav-Stresemann-Ring 3

Wiesbaden, 65189

Germany

  • EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting

SCHOLARLY PAPERS

5

DOWNLOADS

1,232

TOTAL CITATIONS

2

Scholarly Papers (5)

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1.

The Impact of Macroeconomic Announcements on Implied Volatility

Applied Financial Economics, Vol. 21, No. 21, 2011
Number of pages: 27 Posted: 03 Nov 2010 Last Revised: 22 Mar 2016
Roland Füss, Ferdinand Mager, Holger Wohlenberg and Lu Zhao
Swiss Finance Institute, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, Deutsche Börse AG and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 404 (155,722)

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Implied volatility, VIX and VDAX indices, bivariate VECH GARCH model, macroeconomic announcements

2.

Financial Crises, Price Discovery, and Information Transmission: A High-Frequency Perspective

EBS Business School Research Paper Series, Working Paper, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 02 Dec 2011 Last Revised: 10 Feb 2017
Roland Füss, Ferdinand Mager, Michael Stein and Lu Zhao
Swiss Finance Institute, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, University of Duisburg-Essen and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 328 (195,806)

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Financial crises, macroeconomic announcements, price discovery process, information transmission process, high-frequency data

3.

Stress Testing of Real Credit Portfolios

Bundesbank Series 2 Discussion Paper No. 2008,17
Number of pages: 40 Posted: 08 Jun 2016
Ferdinand Mager and Christian Schmieder
EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and International Monetary Fund (IMF)
Downloads 240 (270,483)

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Credit Portfolio, Exposure concentration, Stress Testing, Basel II, Economic Capital

4.

Something in the Air: Information Density, News Surprises, and Price Jumps

University of St. Gallen, School of Finance Research Paper No. 2015/17
Number of pages: 87 Posted: 04 Sep 2015 Last Revised: 27 Sep 2016
Roland Füss, Markus Grabellus, Ferdinand Mager and Michael Stein
Swiss Finance Institute, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance, Accounting and Real Estate, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and University of Duisburg-Essen
Downloads 191 (335,937)
Citation 1

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Information density, jump identification, macroeconomic announcements, noisy information, price discovery process

5.

Empirical Risk Analysis of Pension Insurance: The Case of Germany

Bundesbank Series 2 Discussion Paper No. 2006,07
Number of pages: 40 Posted: 08 Jun 2016
Wolfgang Gerke, Ferdinand Mager, Timo Reinschmidt and Christian Schmieder
University of Erlangen-Nuernberg, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and International Monetary Fund (IMF)
Downloads 69 (706,044)
Citation 1

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Pension insurance, Risk-adjusted premiums, Credit portfolio risk