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

8

DOWNLOADS
Rank 29,911

SSRN RANKINGS

Top 29,911

in Total Papers Downloads

1,565

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (8)

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 648 (40,594)
Citation 3

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 250 (125,069)

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
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 139 (213,177)
Citation 1

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
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 39 (447,420)

Abstract:

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

4.

Are Specialist Funds ‘Special’?

Financial Management
Number of pages: 43 Posted: 27 May 2016 Last Revised: 25 Oct 2018
Daniel Fricke
Deutsche Bundesbank
Downloads 145 (205,471)

Abstract:

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diversification, comovement, portfolio overlap, mutual funds, performance

5.

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 and Tarik Roukny
Deutsche Bundesbank and Massachusetts Institute of Technology (MIT)
Downloads 137 (215,115)

Abstract:

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

6.

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 104 (263,804)

Abstract:

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asset management; institutional investors; return comovement; common ownership

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 - Financial Computing and Analytics Group, Department of Computer Science and Deutsche Bundesbank
Downloads 103 (265,569)
Citation 3

Abstract:

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

8.

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

Economics Letters, Vol. 142, No. 1, 2016
Posted: 09 Jun 2016
Daniel Fricke
Deutsche Bundesbank

Abstract:

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