Daniel Fricke

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 21,620

SSRN RANKINGS

Top 21,620

in Total Papers Downloads

4,441

SSRN CITATIONS
Rank 16,836

SSRN RANKINGS

Top 16,836

in Total Papers Citations

72

CROSSREF CITATIONS

12

Scholarly Papers (20)

1.

Too Fast or Too Slow? Determining the Optimal Speed of Financial Markets

Number of pages: 42 Posted: 04 Dec 2013 Last Revised: 09 Oct 2017
Daniel Fricke and Austin Gerig
Deutsche Bundesbank and U.S. Securities and Exchange Commission
Downloads 742 (64,912)
Citation 4

Abstract:

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call auctions, batch auctions, clearing frequency, high-frequency trading, latency, liquidity

2.

Financial Crisis Prediction: A Model Comparison

Number of pages: 9 Posted: 01 Dec 2017
Daniel Fricke
Deutsche Bundesbank
Downloads 569 (90,790)
Citation 1

Abstract:

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Financial Crisis, Prediction, Classification, Machine Learning

3.
Downloads 456 (118,946)
Citation 7

Connected Funds

Number of pages: 80 Posted: 28 Oct 2020 Last Revised: 18 Apr 2023
Daniel Fricke and Hannes Wilke
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 314 (179,113)
Citation 3

Abstract:

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asset management, investment funds, systemic risk, fire sales, liquidity risk, cross-holdings, contagion

Connected Funds

Deutsche Bundesbank Discussion Paper No. 48/2020
Number of pages: 63 Posted: 01 Sep 2020
Daniel Fricke and Hannes Wilke
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 142 (377,827)

Abstract:

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asset management, investment funds, systemic risk, fire sales, liquidity risk, cross-holdings, spillover effects

Excess Reserves and Monetary Policy Tightening

Number of pages: 58 Posted: 12 May 2023 Last Revised: 01 Feb 2024
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 414 (131,916)

Abstract:

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Interest rates, bank lending, excess liquidity, AnaCredit

Excess Reserves and Monetary Policy Tightening

Deutsche Bundesbank Discussion Paper No. 05/2024
Number of pages: 51 Posted: 01 Mar 2024
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 41 (795,330)

Abstract:

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interest rates, bank lending, excess liquidity, monetary policy

5.
Downloads 298 (190,691)
Citation 14

Vulnerable Asset Management? The Case of Mutual Funds

Number of pages: 56 Posted: 09 Nov 2016 Last Revised: 11 Aug 2019
Christoph Fricke and Daniel Fricke
European Systemic Risk Board and Deutsche Bundesbank
Downloads 201 (279,204)
Citation 5

Abstract:

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asset management, mutual funds, systemic risk, fire sales, liquidity

Vulnerable Asset Management? The Case of Mutual Funds

Bundesbank Discussion Paper No. 32/2017
Number of pages: 45 Posted: 05 Nov 2017
Christoph Fricke and Daniel Fricke
European Systemic Risk Board and Deutsche Bundesbank
Downloads 97 (503,974)

Abstract:

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asset management, mutual funds, systemic risk, fire sales, liquidity

6.

Who finances the green transition? Evidence from the green bond market

Number of pages: 41 Posted: 30 Dec 2022 Last Revised: 16 Jan 2024
Daniel Fricke, Stephan Jank and Christoph Meinerding
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 293 (194,052)

Abstract:

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green bonds, sustainable investment, greenium, ownership structure, securities holdings

7.
Downloads 261 (218,246)
Citation 2

Synthetic Leverage and Fund Risk-Taking

Number of pages: 58 Posted: 24 Mar 2021 Last Revised: 22 Sep 2022
Daniel Fricke
Deutsche Bundesbank
Downloads 153 (355,615)

Abstract:

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leverage, risk-taking, derivatives, securities lending, mutual funds

Synthetic Leverage and Fund Risk-Taking

Deutsche Bundesbank Discussion Paper No. 09/2021
Number of pages: 63 Posted: 30 Mar 2021
Daniel Fricke
Deutsche Bundesbank
Downloads 68 (626,466)
Citation 1

Abstract:

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Synthetic Leverage and Fund Risk-Taking

ESRB: Working Paper Series 2021/126
Number of pages: 60 Posted: 16 Sep 2021
Daniel Fricke
Deutsche Bundesbank
Downloads 40 (803,104)
Citation 1

Abstract:

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derivatives, leverage, mutual funds, risk-taking, securities lending

8.

Generalists and Specialists in the Credit Market

Saïd Business School WP 2016-11, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 77 Posted: 21 Mar 2016 Last Revised: 19 Apr 2018
Daniel Fricke, Tarik Roukny and Tarik Roukny
Deutsche Bundesbank and Massachusetts Institute of Technology (MIT)KU Leuven - Faculty of Business and Economics (FEB)
Downloads 179 (310,586)
Citation 1

Abstract:

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networks, bank lending, portfolio theory, fire sales, contagion, diversification, systemic risk

9.
Downloads 174 (318,434)
Citation 9

Reconstructing and Stress Testing Credit Networks

Number of pages: 44 Posted: 12 Dec 2017
Amanah Ramadiah, Fabio Caccioli and Daniel Fricke
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London and Deutsche Bundesbank
Downloads 137 (388,713)
Citation 7

Abstract:

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network reconstruction; systemic risk; bipartite credit network; aggregation level

Reconstructing and Stress Testing Credit Networks

ESRB: Working Paper Series No. 2018/84
Number of pages: 46 Posted: 05 Nov 2020
Amanah Ramadiah, Fabio Caccioli and Daniel Fricke
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London and Deutsche Bundesbank
Downloads 37 (826,847)
Citation 1

Abstract:

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aggregation level, bipartite credit network, network reconstruction, stress testing, systemic risk

10.

Are Specialist Funds ‘Special’?

Financial Management
Number of pages: 43 Posted: 27 May 2016 Last Revised: 25 Oct 2018
Daniel Fricke
Deutsche Bundesbank
Downloads 172 (321,631)
Citation 2

Abstract:

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diversification, comovement, portfolio overlap, mutual funds, performance

11.
Downloads 171 (323,305)
Citation 1

Backtesting Macroprudential Stress Tests

Deutsche Bundesbank Discussion Paper No. 45/2020
Number of pages: 45 Posted: 19 Aug 2020
Amanah Ramadiah, Daniel Fricke and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science, Deutsche Bundesbank and University College London
Downloads 100 (493,532)
Citation 2

Abstract:

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systemic risk, fire sales, price-mediated contagion, common asset holdings

Backtesting Macroprudential Stress Tests

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 48 Posted: 10 Oct 2020 Last Revised: 14 Feb 2022
Amanah Ramadiah, Daniel Fricke and Fabio Caccioli
University College London - Financial Computing and Analytics Group, Department of Computer Science, Deutsche Bundesbank and University College London
Downloads 71 (611,627)

Abstract:

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systemic risk, fire sales, price-mediated contagion, common asset holdings

12.

Common Asset Holdings and Stock Return Comovement

Number of pages: 31 Posted: 11 Apr 2017
Daniel Fricke and Charles Savoie
Deutsche Bundesbank and University of Oxford - Mathematical Institute
Downloads 159 (344,003)

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asset management; institutional investors; return comovement; common ownership

13.

You Can't Always Get What You Want (Where You Want It): Cross-Border Effects of the US Money Market Fund Reform

Number of pages: 71 Posted: 21 Jan 2022 Last Revised: 23 Aug 2023
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 134 (394,831)
Citation 2

Abstract:

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cross-border effects, regulation, money market funds, risk-taking

14.

Who Creates and Who Bears Flow Externalities in Mutual Funds?

Number of pages: 76 Posted: 28 Sep 2022 Last Revised: 10 May 2023
Daniel Fricke, Stephan Jank and Hannes Wilke
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 93 (513,803)

Abstract:

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asset management; mutual funds; externalities; contagion; performance.

You Can't Always Get What You Want (Where You Want it): Cross-Border Effects of the US Money Market Fund Reform

Deutsche Bundesbank Discussion Paper No. 03/2022
Number of pages: 64 Posted: 01 Apr 2022
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 51 (724,404)

Abstract:

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cross-border effects, regulation, money market funds, risk-taking

You Can't Always Get What You Want (Where You Want it): Cross-Border Effects of the Us Money Market Fund Reform

Number of pages: 59 Posted: 19 Oct 2022
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 23 (955,174)

Abstract:

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cross-border effects, regulation, money market funds, risk-taking

16.

Who Creates and Who Bears Flow Externalities in Mutual Funds?

Deutsche Bundesbank Discussion Paper No. 41/2022
Number of pages: 74 Posted: 25 Nov 2022
Daniel Fricke, Stephan Jank and Hannes Wilke
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 73 (593,555)

Abstract:

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asset management, mutual funds, externalities, contagion, performance

17.

Greenwashing and the EU's Sustainable Finance Disclosure Regulation

Number of pages: 10 Posted: 07 May 2024
Daniel Fricke and Kathi Schlepper
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 51 (708,834)

Abstract:

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ESG, asset management, greenwashing, regulation

18.

Has the Banking System Become More Homogeneous? Evidence from Banks’ Loan Portfolios

Economics Letters, Vol. 142, No. 1, 2016
Number of pages: 8 Posted: 09 Jun 2016 Last Revised: 12 Apr 2021
Daniel Fricke
Deutsche Bundesbank
Downloads 51 (708,834)
Citation 3

Abstract:

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Interconnectedness, Portfolio overlap, Homogeneity, Similarity, Diversification, Systemic risk

19.

Fewer Questions, More Answers: Truncated Early Stopping for Proxy Means Testing

Number of pages: 43 Posted: 21 Dec 2022
University College London, World Bank, Deutsche Bundesbank and University College London
Downloads 36 (812,688)

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20.

Monetary Policy and Money Market Funds in Europe

Liberty Street Economics
Posted: 13 Apr 2024
Federal Reserve Bank of New York, Deutsche Bundesbank, Deutsche Bundesbank, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank

Abstract:

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monetary policy, euro-denominated money market funds, pass-through