Alexander Schmidt

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

5

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1,208

SSRN CITATIONS
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Top 47,461

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5

CROSSREF CITATIONS

7

Scholarly Papers (5)

Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?

Number of pages: 45 Posted: 02 Jul 2013 Last Revised: 18 Jan 2015
Holger Kraft and Alexander Schmidt
Goethe University Frankfurt and Deutsche Bundesbank
Downloads 343 (94,276)

Abstract:

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Systemic risk, Value-at-risk, Equity options, Implied volatility, Panel vector autoregression

Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?

SAFE Working Paper No. 25
Number of pages: 47 Posted: 16 Jul 2013 Last Revised: 18 Jan 2015
Holger Kraft and Alexander Schmidt
Goethe University Frankfurt and Deutsche Bundesbank
Downloads 167 (193,778)

Abstract:

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Systemic risk, Value-at-risk, Equity options, Implied volatility, Panel vector autoregression

2.

Bank Rescues and Bailout Expectations: The Erosion of Market Discipline During the Financial Crisis

SAFE Working Paper No. 36
Number of pages: 46 Posted: 10 Dec 2013 Last Revised: 31 Oct 2016
Florian Hett and Alexander Schmidt
Johannes Gutenberg University Mainz - Faculty of Law and Economics and Deutsche Bundesbank
Downloads 363 (88,982)
Citation 11

Abstract:

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Bailout, Implicit Guarantees, Too-Big-To-Fail, Market Discipline, Hedge Ratio

3.

Bank Rescues and Bailout Expectations: The Erosion of Market Discipline During the Financial Crisis

SAFE Working Paper No. 36
Number of pages: 43 Posted: 21 Mar 2012 Last Revised: 25 Oct 2016
Florian Hett and Alexander Schmidt
Goethe University Frankfurt - Department of Management and Applied Microeconomics and Deutsche Bundesbank
Downloads 258 (129,009)
Citation 4

Abstract:

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bailout, implicit guarantees, too-big-to-fail, market discipline, hedge ratio

4.

European Sovereign CDS Premia during the Crisis – A Cointegration Analysis

Number of pages: 38 Posted: 19 Jul 2013
Alexander Schmidt
Deutsche Bundesbank
Downloads 69 (358,608)

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European Sovereigns, CDS, Financial Crisis, Cointegration

5.

Stress Testing the German Mortgage Market

Deutsche Bundesbank Discussion Paper No. 17/2019
Number of pages: 38 Posted: 17 Apr 2019
Deutsche Bundesbank, Deutsche Bundesbank, European Central Bank (ECB) and Deutsche Bundesbank
Downloads 8 (643,283)

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residential real estate, mortgages, credit risk, stress testing, German banks