Fabian Woebbeking

Goethe University Frankfurt - Department of Finance

Theodor-W.-Adorno-Platz 3

Frankfurt, 60323

Germany

  • Goethe University Frankfurt - Department of Finance

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    • Tel: +49 (69) 798 33731
SCHOLARLY PAPERS

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Scholarly Papers (9)

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1.

Tail-Risk Protection Trading Strategies

Number of pages: 25 Posted: 11 Dec 2015 Last Revised: 31 Jul 2018
Natalie Packham, Jochen Papenbrock, Peter Schwendner and Fabian Woebbeking
Berlin School of Economics and Law, NVIDIA GmbH, Zurich University of Applied Sciences and Goethe University Frankfurt - Department of Finance
Downloads 1,286 (25,647)
Citation 3

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tail-risk protection, portfolio protection, extreme events, tail distributions, trading strategies

2.

Cryptocurrency Volatility Markets

Number of pages: 30 Posted: 30 Jun 2020 Last Revised: 03 May 2021
Fabian Woebbeking
Goethe University Frankfurt - Department of Finance
Downloads 760 (53,663)
Citation 2

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Cryptocurrency, Blockchain, Bitcoin, Volatility, Derivatives, Options, Liquidity, CVX, VIX, COVID-19

3.

"Let me get back to you" - A machine learning approach to measuring non-answers

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 46 Posted: 04 May 2020 Last Revised: 04 Apr 2022
Andreas Barth, Sasan Mansouri and Fabian Woebbeking
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Department of Finance
Downloads 600 (72,980)

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Econlinguistics, textual analysis, natural language processing, multinomial inverse regression, MNIR, non-answers

4.

How to Talk Down Your Stock Performance

Number of pages: 41 Posted: 08 Mar 2019 Last Revised: 19 Jan 2021
Andreas Barth, Sasan Mansouri, Fabian Woebbeking and Severin Zörgiebel
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt
Downloads 481 (95,973)
Citation 1

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financial jargon, natural language processing, textual analysis, stock returns, implied volatility, information exchange, corporate disclosure, conference calls

5.

The London Whale

Number of pages: 11 Posted: 30 Jul 2018
Natalie Packham and Fabian Woebbeking
Berlin School of Economics and Law and Goethe University Frankfurt - Department of Finance
Downloads 258 (190,235)

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correlation stress testing, scenario selection, credit risk management, 'London Whale'

6.

A Factor-Model Approach for Correlation Scenarios and Correlation Stress Testing

Number of pages: 27 Posted: 16 Aug 2018 Last Revised: 21 Feb 2019
Natalie Packham and Fabian Woebbeking
Berlin School of Economics and Law and Goethe University Frankfurt - Department of Finance
Downloads 243 (201,770)
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Correlation Stress Testing, Scenario Selection, Market Risk, Correlation Risk, 'London Whale'

7.

Correlation Scenarios and Correlation Stress Testing

Number of pages: 24 Posted: 16 Jul 2021
Natalie Packham and Fabian Woebbeking
Berlin School of Economics and Law and Goethe University Frankfurt - Department of Finance
Downloads 127 (353,891)

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Keywords: Correlation stress testing, reverse stress testing, factor selection, scenario selection, Bayesian variable selection, market risk management

8.

Stress Testing the Unknown - The Impact of Network Reconstruction on Systemic Risk Estimates

Number of pages: 27 Posted: 08 Mar 2019 Last Revised: 25 Jan 2020
Fabian Woebbeking
Goethe University Frankfurt - Department of Finance
Downloads 46 (633,931)

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systemic risk, network reconstruction, bank network structure, contagion

9.

Systemic Risk and Capital Adequacy

Posted: 12 Apr 2017 Last Revised: 31 Jul 2018
Fabian Woebbeking
Goethe University Frankfurt - Department of Finance

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Systemic Risk, Network Model, Bayesian Network Reconstruction, Contagion Transmission Channels, Bank Regulation, Regulatory Capital