Frank Lehrbass

L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)

Professor Dr.

Dusseldorf

Germany

http://lehrbass.de

FOM University of Applied Sciences for Economics and Management

Toulouser Allee 53

Dusseldorf, 40476

Germany

University of the Bundesbank

Schloss

Hachenburg, 57627

Germany

  • L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)

  • FOM University of Applied Sciences for Economics and Management

  • University of the Bundesbank

SCHOLARLY PAPERS

29

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3,139

SSRN CITATIONS
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SSRN RANKINGS

Top 36,709

in Total Papers Citations

17

CROSSREF CITATIONS

4

Scholarly Papers (29)

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1.

Counterparty Credit Risk and Clearing of Derivatives – From the Perspective of an Industrial Corporate with a Focus on Commodity Markets

Number of pages: 53 Posted: 22 Oct 2012 Last Revised: 14 Jun 2013
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 364 (121,683)
Citation 1

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counterparty risk, credit, central clearing, commodities, commodity markets, hedging, pricing, credit derivatives, portfolio models, trade finance, industry risk management, corporate risk management, central counterparty

2.

Hedging the Counterparty Credit Risk of an Oil Company with Oil Futures Using Dynamic GARCH – A Derivative's Approach to Right-Way Risk

Downloads 325 (137,654)

Hedging the Counterparty Credit Risk of an Oil Company with Oil Futures Using Dynamic GARCH – A Derivative's Approach to Right-Way Risk

USAEE Working Paper No. 14-164
Number of pages: 28 Posted: 14 Jun 2014
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 168 (258,476)

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corporate risk management, right-way risk, GARCH, ECM, cointegrated system

Hedging the Counterparty Credit Risk of an Oil Company with Oil Futures Using Dynamic GARCH – A Derivative's Approach to Right-Way Risk

Number of pages: 21 Posted: 10 Jan 2014
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 157 (273,665)

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Corporate risk management, right-way risk, dynamic bivariate GARCH, ECM, cointegrated system, optimal hedging

3.

A Short Note on Corporate Risk Management: The Case of Thyssenkrupp AG

Number of pages: 7 Posted: 04 Feb 2018
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 195 (227,023)

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Corporate Risk Management, Commodity Risk Management, Hedging, Thyssenkrupp

4.

Determinanten der Replikationsgüte von Exchange Traded Funds (Which Factors Explain the Quality of Replication of ETF?)

ifes Schriftenreihe Band 16, 2018
Number of pages: 122 Posted: 21 Oct 2019
Philipp Cox, Frank Lehrbass and Frank Lehrbass
FOM University of Applied Sciences for Economics and Management and L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 177 (246,974)
Citation 5

Abstract:

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tracking error, replication

5.

Big Data basierte Analyse des Einflusses traditioneller und neuartiger Faktoren auf Mietpreise in Düsseldorf (The Influcence of Big Data on the Level of Rents in Dusseldorf)

Schriftenreihe des Instituts für Empirie & Statistik der FOM Hochschule 2021
Number of pages: 74 Posted: 05 May 2021
Dominic Hernes, Frank Lehrbass, Frank Lehrbass and Kevin Maucy
FOM University of Applied Sciences for Economics and Management, L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management and FOM University of Applied Sciences for Economics and Management
Downloads 156 (274,542)
Citation 1

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Real Estate Management, Valuation of Real Estate, Forecasting of Rents

6.

Was treibt die Renditen von Hedgefonds? Eine empirische Untersuchung ausgewählter Hedgefonds Strategien (What Drives Hedge Fund Returns? An Empirical Investigation Of Selected Hedge Fund Strategies)

Schriftenreihe des Instituts für Empirie & Statistik der FOM Hochschule Bd. 23, 2021
Number of pages: 39 Posted: 24 Feb 2021
Frank Lehrbass, Frank Lehrbass and Fabian Woerndl
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management and Independent
Downloads 152 (280,413)

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Hedge fund alpha, hedge fund beta, hedge fund performance

7.

Analyzing Promotion Effectiveness in Fashion Retailing Using Quantile Regression

Number of pages: 17 Posted: 08 May 2020
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 142 (296,212)

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Forecasting, Inventory, Retailing, Backtesting, Fashion

8.

Risk Sharing Markets and International Trade – A Comment

"Optimal Hedging with Currency Forwards, Calls, and Calls on Forwards for the Competitive Exporting Firm Facing Exchange Rate Uncertainty", (extended version) Journal of Economics Vol. 59, No. 1, 1994, 51-70., Yearbooks of Economics and Statistics (Jahrb. f. Nationalok. u. Stat.) Vol. 213/2, 1994, 230-238.
Number of pages: 9 Posted: 17 Jan 2014
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 133 (311,658)

Abstract:

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corporate risk management, full hedge theorem, real options, ex-post production flexibility, foreign exchange risk

9.

Do Lives Matter? Why Football Players Get Tested for the Coronavirus and Why Nurses Do not An Analysis of Governmental Decisions in Germany

Number of pages: 7 Posted: 14 May 2020
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 123 (330,153)

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Coronavirus, football, care homes, test kits

10.

A Simple Approach to Country Risk

Number of pages: 37 Posted: 20 Oct 2012 Last Revised: 14 Jun 2013
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 123 (330,153)
Citation 5

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country risk, delta hedging, no arbitrage, relative value, sovereign risk, sovereign bonds, emerging markets, hedging EM, hedging sovereign risk, hedging sovereign bonds

11.

Deep Nothing: How to Hit the Wall With Deep Learning

Number of pages: 14 Posted: 02 Jan 2019
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 115 (346,355)

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Deep Learning, Image Recognition, CNN, MLP, MXNet

12.

A Short Note on Sovereign Commodity Risk Management

USAEE Working Paper No. 14-198
Number of pages: 6 Posted: 19 Jan 2015
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 112 (352,718)

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Sovereign risk management, rationalist explanations, expected utility maximization, commodity risk management, hedging

13.

A Short Note on Corporate Risk Management: The Case of HeidelbergCement AG

Number of pages: 6 Posted: 22 May 2019
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 104 (370,977)

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corporate risk management, commodity risk management, energy price risk, hedging, HeidelbergCement

14.

Sovereign Risk Management: A Rationalist Explanation of Putin's and Trump's Risk Taking Behavior and Its Consequences

Corporate Governance and Sustainability Review, 1(2), 2017, 6-16
Number of pages: 19 Posted: 01 Mar 2017 Last Revised: 20 Nov 2017
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 91 (404,270)
Citation 3

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Putin, Trump, sovereign risk management, conflict in Ukraine, trade war

15.

Praktische Umsetzung von Business Analytics im Mediensektor: Predictive Analytics im Filmgeschäft (Applied Business Analytics in the Film Industry)

ifes Schriftenreihe Band 21, 2020
Number of pages: 74 Posted: 23 Jun 2020
Tobias Bähren, Robin Maasjosthusmann, Annika Walter, Frank Lehrbass and Frank Lehrbass
FOM University of Applied Sciences for Economics and Management, FOM University of Applied Sciences for Economics and Management, FOM University of Applied Sciences for Economics and Management and L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 88 (412,713)

Abstract:

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Film business, Forecasting, quantitative movie analysis

16.

Dangerous Deep Learning: How The Machines Can Hit The Wall

Number of pages: 23 Posted: 16 Jun 2020
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 87 (415,626)

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Image Recognition, CNN, MLP, Spurious Regression, Microsoft Azure

17.

Determinanten der Höhe von Wirtschaftsprüfungshonoraren am Beispiel von gelisteten Unternehmen im Prime Standard (Which Factors Explain the Amount of Audit Fees Paid by Prime Standard Companies?)

ifes Schriftenreihe Band 15 (2017)
Number of pages: 52 Posted: 18 Oct 2019
Frank Lehrbass, Frank Lehrbass and Niklas Scheipers
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management and FOM University of Applied Sciences - ESSEN
Downloads 84 (424,575)

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auditing, pricing of auditing services

18.

Investmentstrategien im Rahmen von Übernahmen börsennotierter Gesellschaften – Merger Arbitrage und Maschinelles Lernen (Merger Arbitrage and Machine Learning)

ifes Schriftenreihe Band 19
Number of pages: 87 Posted: 21 Oct 2019
Frank Lehrbass, Frank Lehrbass and Alexander Raasch
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management and affiliation not provided to SSRN
Downloads 78 (443,117)

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trading strategies, investment strategies, logit regression, decision trees

19.

Corporate Production and Hedging Decisions Under Dodd-Frank and EMIR

USAEE Working Paper No. 14-170
Number of pages: 18 Posted: 06 Sep 2014
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 77 (446,370)

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Industry risk management, corporate risk management, liquidity risk management, liquidity buffer, liquidity value at risk, margin at risk, treasury management, EMIR, Dodd-Frank

20.

Spurious Regulation: Who Believes in 'No More Bailouts'?

Number of pages: 29 Posted: 15 Jul 2019
Mark Henning, Frank Lehrbass and Frank Lehrbass
FOM University of Applied Sciences - ESSEN, Students and L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 63 (496,541)

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bailout, bailin, implicit support, banking regulation

21.

Deep Learning Diagnostics ‒ How to Avoid Being Fooled by TensorFlow, PyTorch, or MXNet with the Help of Modern Econometrics

Schriftenreihe des Instituts für Empirie & Statistik der FOM Hochschule, Band 24 (2021)
Number of pages: 60 Posted: 01 Apr 2021
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 60 (508,418)

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Non-Linear Regression, MLP, spurious regression, spurious learning

22.

Backtesting von volatilitaetsgesteuerten Aktienportfolios (Backtesting of Volatility Targeting Strategies)

Schriftenreihe des Instituts für Empirie & Statistik der FOM Hochschule 2021 Band 27
Number of pages: 168 Posted: 28 Feb 2022
Simon Pleines, Frank Lehrbass and Frank Lehrbass
affiliation not provided to SSRN and L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 56 (525,129)

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volatility targeting, portfolio choice, risk return

23.

Explainable Artificial Intelligence: Analyse und Visualisierung des Lernprozesses eines Convolutional Neural Network zur Erkennung deutscher Straßenverkehrsschilder (Explainable Artificial Intelligence: Analysis and Visualization of a Convolutional Neural Network for the Recognition of German Traffic Signs)

Schriftenreihe des Instituts für Empirie & Statistik der FOM Hochschule 2021 Band 26
Number of pages: 114 Posted: 22 Jul 2021
Robin Maasjosthusmann, Frank Lehrbass and Frank Lehrbass
FOM University of Applied Sciences for Economics and Management and L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 50 (552,032)

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Autonomous driving, self-driving car, autonomous vehicle, control systems

24.

Prognosemodelle für Länderrisiken: Logit- und Deep Learning-Methoden im Vergleich (Forecasting Sovereign Ratings with Logit Regression and Deep Learning: Quo vadis, Italia?)

ifes Schriftenreihe Band 18
Number of pages: 28 Posted: 18 Oct 2019
Frank Lehrbass, Frank Lehrbass and Daniel Hagemann
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management and FOM University of Applied Sciences - ESSEN - FOM University of Applied Sciences, Student
Downloads 48 (561,388)

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Country Risk, Sovereign Risk, Forecasting, Rating

25.

Auswirkungen von Sponsorship-Verkuendungen auf die Aktienkurse von Sportartikelherstellern (On the Impact of Sponsorship Anouncements on Stock Prices)

Schriftenreihe des Instituts für Empirie & Statistik der FOM Hochschule Band 28, 2022
Number of pages: 36 Posted: 20 Apr 2022
Frank Lehrbass, Frank Lehrbass, Luca Rebeggiani and Julian-Sebastian Schmidt
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management, FOM University of Applied Sciences and affiliation not provided to SSRN
Downloads 39 (608,509)

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event study, sports, marketing

26.

Corporate Liquidity Risk Management: Coping With Corona and the Clearing Obligation

International Journal of Management Research and Economics, Vol. 1, No.1, pp. 1-26.
Number of pages: 26 Posted: 08 May 2021
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 36 (625,672)

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Industry risk management, Corporate risk management, Liquidity value at risk, Margin at risk, EMIR

27.

Eignung von Varianz-Kovarianz-Ansätzen und Copula-Modellen zur Risikoaggregation in bankaufsichtlichen Risikotragfähigkeitskonzepten (How Adequate Are Covariance and Copula Based Approaches of Risk Aggregation?)

ifes Schriftenreihe Band 17 (2018)
Number of pages: 112 Posted: 21 Oct 2019
Marc-Philip Graalmann, Frank Lehrbass and Frank Lehrbass
Deutsche Bundesbank and L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 33 (643,876)
Citation 5

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banking supervision, banking regulation, diversification benefit

28.

Risikomessung für den globalen Kohlehandel: Einfache und fortgeschrittene Verfahren nebst Backtesting sowie ein Vergleich mit IFRS 7 (Risk Measurement for Global Coal Trading)

ifes Schriftenreihe Band 13 (2016)
Number of pages: 44 Posted: 21 Oct 2019
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management
Downloads 28 (677,717)
Citation 3

Abstract:

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commodity trading, Basel, IFRS, Value at Risk

29.

Coping with the Clearing Obligation - From the Perspective of an Industrial Corporate with a Focus on Commodity Markets

Posted: 16 May 2013 Last Revised: 17 Oct 2014
Frank Lehrbass and Frank Lehrbass
L*PARC (Lehrbass Predicitive Analytics and Risk Consulting)FOM University of Applied Sciences for Economics and Management

Abstract:

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industry risk management, corporate risk management, liquidity risk management, liquidity buffer, liquidity value at risk, margin at risk, treasury management, EMIR, Dodd-Frank