Daniel Fricke

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

University College London

Gower Street

London, WC1E 6BT

United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre

Houghton St, London WC2A 2AE, United Kingdom

London

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 28,929

SSRN RANKINGS

Top 28,929

in Total Papers Downloads

2,151

SSRN CITATIONS
Rank 25,242

SSRN RANKINGS

Top 25,242

in Total Papers Citations

31

CROSSREF CITATIONS

7

Scholarly Papers (11)

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 684 (47,872)
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 383 (97,711)
Citation 1

Abstract:

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Financial Crisis, Prediction, Classification, Machine Learning

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 166 (224,461)
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 68 (417,977)

Abstract:

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

4.

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 153 (240,051)
Citation 1

Abstract:

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

5.

Are Specialist Funds ‘Special’?

Financial Management
Number of pages: 43 Posted: 27 May 2016 Last Revised: 25 Oct 2018
Daniel Fricke
Deutsche Bundesbank
Downloads 150 (244,055)
Citation 2

Abstract:

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diversification, comovement, portfolio overlap, mutual funds, performance

6.
Downloads 129 (274,589)
Citation 7

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 114 (301,920)
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 15 (701,521)
Citation 1

Abstract:

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

7.

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 127 (277,833)

Abstract:

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asset management; institutional investors; return comovement; common ownership

8.
Downloads 124 (282,860)
Citation 3

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 70 (411,388)

Abstract:

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

Connected Funds

Number of pages: 66 Posted: 28 Oct 2020 Last Revised: 13 May 2021
Daniel Fricke and Hannes Wilke
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 54 (469,583)
Citation 3

Abstract:

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

Synthetic Leverage and Fund Risk-Taking

Number of pages: 58 Posted: 24 Mar 2021 Last Revised: 15 Jul 2021
Daniel Fricke
Deutsche Bundesbank
Downloads 79 (383,767)

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 31 (583,758)

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 7 (769,797)

Abstract:

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

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 31 (583,758)

Abstract:

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

Backtesting Macroprudential Stress Tests

Number of pages: 41 Posted: 10 Oct 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 15 (701,521)
Citation 1

Abstract:

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

11.

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 4 (763,058)

Abstract:

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