Dennis Kahlert

University of Passau

Innstra├če 27

Passau, 94032

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

309

CITATIONS

0

Scholarly Papers (4)

1.

Are Systemically Important Eurozone Banks Undercapitalized? A Stress Testing Approach

Number of pages: 56 Posted: 24 Feb 2015 Last Revised: 13 Apr 2017
Dennis Kahlert and Niklas Wagner
University of Passau and Passau University
Downloads 85 (163,109)

Abstract:

Stress testing, aggregate bank risk, bank balance sheets, financial stability, systemic risk, economic capital

2.

Contingent Claims Analysis of Sovereign Default Risk in the Eurozone

Number of pages: 41 Posted: 24 Apr 2017 Last Revised: 01 May 2017
Dennis Kahlert, Niklas Wagner and Ludwig Weipert
University of Passau, Passau University and University of Passau
Downloads 0 (363,669)

Abstract:

Structural credit risk model, jump-diffusion, first-passage time, sovereign default risk, credit contagion

3.

Dependence between Extreme Risk Factor Movements of Euro Area Sovereign Bonds

Number of pages: 50 Posted: 30 Jan 2017 Last Revised: 10 May 2017
Dennis Kahlert
University of Passau
Downloads 0 (350,063)

Abstract:

Market Liquidity Risk, Credit Risk, Extreme Value Theory, Tail Dependence, Copulas

4.

Market Liquidity Risk Premia in Eurozone Government Bonds' Yield Spreads

Number of pages: 61 Posted: 28 Apr 2016 Last Revised: 26 Apr 2017
Dennis Kahlert
University of Passau
Downloads 0 (244,935)

Abstract:

Market liquidity risk, eurozone debt, reduced form model, cointegration, regression analysis