Klaus Duellmann

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

21

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44

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Scholarly Papers (21)

1.

A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios

Number of pages: 35 Posted: 14 Nov 2006
Klaus Duellmann and Nancy Masschelein
Deutsche Bundesbank and National Bank of Belgium - Department of International Cooperation and Financial Stability
Downloads 972 (22,054)

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credit concentration, sector concentration risk, economic capital

2.

Systematic Risk in Recovery Rates - an Empirical Analysis of U.S. Corporate Credit Exposures

EFMA 2004 Basel Meetings Paper
Number of pages: 35 Posted: 28 May 2004
Klaus Duellmann and Monika Gehde-Trapp
Deutsche Bundesbank and University of Mannheim - Finance Area
Downloads 674 (36,847)

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asset correlation, New Basel Accord, recovery rate, LGD, recovery correlation, single risk factor model

Sector Concentration in Loan Portfolios and Economic Capital

National Bank of Belgium Working Paper No. 105
Number of pages: 49 Posted: 07 Oct 2010
Klaus Duellmann and Nancy Masschelein
Deutsche Bundesbank and National Bank of Belgium - Department of International Cooperation and Financial Stability
Downloads 423 (66,106)

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sector concentration risk, economic capital

Sector Concentration in Loan Portfolios and Economic Capital

Bundesbank Series 2 Discussion Paper No. 2006,09
Number of pages: 56 Posted: 08 Jun 2016
Nancy Masschelein and Klaus Duellmann
National Bank of Belgium - Department of International Cooperation and Financial Stability and Deutsche Bundesbank
Downloads 40 (425,315)

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sector concentration risk, economic capital

4.

Credit Spreads between German and Italian Sovereign Bonds - Do One-Factor Affine Models Work?

Canadian Journal of Administrative Sciences, Vol. 17, No. 2
Number of pages: 35 Posted: 24 Jan 2001
Klaus Duellmann and Marc Windfuhr
Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 410 (69,285)

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5.

Credit Spreads between German and Italian Sovereign Bonds - Do Affine Models Work?

University of Mannheim, Dept. of Banking & Finance Working Paper No. 9904
Number of pages: 35 Posted: 17 Mar 2000
Klaus Duellmann and Marc Windfuhr
Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 385 (74,665)

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6.

Affine Models, Credit Spreads and the Delivery Option of a Multi-Issuer Bond Future

EFA 2001 Barcelona Meetings
Number of pages: 46 Posted: 11 Jul 2001
Wolfgang Bühler, Klaus Duellmann and Marc Windfuhr
University of Mannheim - Department of Business Administration and Finance, Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 332 (88,555)

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7.

Systemic Risk Contributions: A Credit Portfolio Approach

Number of pages: 31 Posted: 11 Nov 2011
Natalia Tente and Klaus Duellmann
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 167 (175,380)

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systemic risk, systemic risk contributions, systemic capital charge, expected shortfall, importance sampling

8.

Asset Correlations and Credit Portfolio Risk: An Empirical Analysis

Bundesbank Series 2 Discussion Paper No. 2007,13
Number of pages: 52 Posted: 08 Jun 2016
Klaus Duellmann, Martin Scheicher and Christian Schmieder
Deutsche Bundesbank, European Central Bank (ECB) and International Monetary Fund (IMF)
Downloads 70 (323,391)

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Asset correlations, sector concentration, credit portfolio risk

9.

Support for the SME Supporting Factor: Multi-Country Empirical Evidence on Systematic Risk Factor for SME Loans

Bundesbank Discussion Paper No. 45/2016
Number of pages: 44 Posted: 14 Dec 2016
Institut d'Etudes Politiques, Deutsche Bundesbank, Banque de France, European Central Bank (ECB) and Deutsche Bundesbank
Downloads 59 (353,141)

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SME finance, Asset correlation, Basel III, CRR/CRD IV, Asymptotic Single Risk factor Model, SME Supporting Factor

10.

Estimating Asset Correlations from Stock Prices or Default Rates: Which Method is Superior?

Bundesbank Series 2 Discussion Paper No. 2008,04
Number of pages: 48 Posted: 08 Jun 2016
Deutsche Bundesbank, University of Karlsruhe and University of Karlsruhe
Downloads 56 (362,194)

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Asset correlation, single risk factor model, small sample properties, structural model, Basel II

11.

Systematic Risk in Recovery Rates: An Empirical Analysis of Us Corporate Credit Exposures

Bundesbank Series 2 Discussion Paper No. 2004,02
Number of pages: 53 Posted: 08 Jun 2016
Klaus Duellmann and Monika Gehde-Trapp
Deutsche Bundesbank and University of Mannheim - Finance Area
Downloads 53 (371,555)

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asset correlation, New Basel Accord, recovery rate, LGD, recovery correlation, single risk factor model

12.

Evaluation of Minimum Capital Requirements for Bank Loans to Smes

Bundesbank Discussion Paper No. 22/2013
Number of pages: 40 Posted: 21 Jun 2016
Klaus Duellmann and Philipp Koziol
Deutsche Bundesbank and European Central Bank (ECB)
Downloads 39 (420,450)

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Asset Correlation, Basel II, Minimum Capital Requirements, Single Risk Factor Model

13.

Do Specialization Benefits Outweigh Concentration Risks in Credit Portfolios of German Banks?

Bundesbank Series 2 Discussion Paper No. 2010,10
Number of pages: 60 Posted: 08 Jun 2016
Rolf Böve, Klaus Duellmann and Andreas Pfingsten
University of Muenster - Finance Center Muenster, Deutsche Bundesbank and University of Münster - Finance Center Münster
Downloads 35 (436,744)

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bank lending, loan portfolio, diversification, expected loss, savings banks, cooperative banks, concentration, economic capital, credit risk

14.

Stress Testing German Banks Against a Global Cost-of-Capital Shock

Bundesbank Discussion Paper No. 04/2012
Number of pages: 48 Posted: 21 Jun 2016
Klaus Duellmann and Thomas K. Kick
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 30 (458,652)

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Asset correlation, portfolio credit risk, macroeconomic stress tests

15.

Systemic Risk Contributions: A Credit Portfolio Approach

Bundesbank Series 2 Discussion Paper No. 2011,08
Number of pages: 56 Posted: 08 Jun 2016
Klaus Duellmann and Natalia Puzanova
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 29 (463,403)

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systemic risk contributions, systemic capital charge, expected shortfall, importance sampling, granularity adjustment

16.

Stress Testing German Banks in a Downturn in the Automobile Industry

Bundesbank Series 2 Discussion Paper No. 2009,02
Number of pages: 48 Posted: 08 Jun 2016
Klaus Duellmann and Martin Erdelmeier
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 24 (489,443)

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Asset correlation, portfolio credit risk, stress test, sectoral credit concentration

17.

Measuring Business Sector Concentration by an Infection Model

Bundesbank Series 2 Discussion Paper No. 2006,03
Number of pages: 44 Posted: 08 Jun 2016
Klaus Duellmann
Deutsche Bundesbank
Downloads 13 (552,460)

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asset correlation, concentration risk, credit risk, multi-factor model, value-at-risk

18.

Are SME Loans Less Risky than Regulatory Capital Requirements Suggest?

Journal of Fixed Income, Vol. 23, No. 4, 2014, https://doi.org/10.3905/jfi.2014.23.4.089
Posted: 21 May 2019
Klaus Duellmann and Philipp Koziol
Deutsche Bundesbank and European Central Bank (ECB)

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Asset Correlation, Basel II, Minimum Capital Requirements, Single Risk Factor Model

19.

Credit Default Swap Prices as Risk Indicators of Listed German Banks

Financial Markets and Portfolio Management, Vol. 21, No. 3, pp. 269-292, 2007
Posted: 11 Sep 2007
Klaus Duellmann and Agnieszka Sosinska
Deutsche Bundesbank and Goethe University Frankfurt - Department of Finance

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Credit default swaps, Credit risk, Market indicators, Reduced-form

20.

Risk Structure of Interest Rates: An Empirical Analysis for Deutschemark-Denominated Bonds

European Financial Management, Vol. 6, Issue 3, September 2000
Posted: 08 Nov 2000
Klaus Duellmann, Marliese Uhrig-Homburg and Marc Windfuhr
Deutsche Bundesbank, Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN

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21.

Risk Structure of Interest Rates: An Empirical Analysis for Deutsch Mark Denominated Bonds

European Financial Management, Vol. 6, No. 3 September 2000
Posted: 21 Aug 2000
Klaus Duellmann, Marliese Uhrig-Homburg and Marc Windfuhr
Deutsche Bundesbank, Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN

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Credit spreads, term structure estimation, bond ratings

Other Papers (1)

Total Downloads: 55    Citations: 0
1.

Systemic Risk Contributions: A Credit Portfolio Approach

Systemic Risk, Basel III, Financial Stability and Regulation 2011
Number of pages: 38 Posted: 01 Mar 2011 Last Revised: 11 Nov 2011
Natalia Tente and Klaus Duellmann
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 55

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Systemic Risk Contribution, Systemic Capital Charge, Expected Shortfall, Importance Sampling, Granularity Adjustment