Andreas Krause

University of Bath - Department of Economics

Claverton Down

Bath, BA2 7AY

United Kingdom

  • University of Bath - Department of Economics

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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4

CROSSREF CITATIONS

24

Ideas:
“  Research areas: Systemic risk, contagion, interbank lending, banking crisis  ”

  • University of Bath - Department of Economics

Scholarly Papers (16)

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1.

Interbank Lending and the Spread of Bank Failures: A Network Model of Systemic Risk

Journal of Economic Behavior and Organization 83(3), pp. 583-608
Number of pages: 43 Posted: 29 May 2012 Last Revised: 21 Nov 2012
Andreas Krause and Simone Giansante
University of Bath - Department of Economics and University of Bath - School of Management
Downloads 317 (134,608)
Citation 4

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interbank loans, banking crises, systemic risk, network topology, tiering, too big to fail

2.

Determinants of Disposition and Reverse Disposition Effects

Number of pages: 35 Posted: 27 Mar 2009
Andreas Krause, K.C. John Wei and Zhishu Yang
University of Bath - Department of Economics, Hong Kong Polytechnic University and Tsinghua University - School of Economics & Management
Downloads 285 (150,445)
Citation 3

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Behavioral bias, Disposition effect, Investor characteristics

3.

Liquidity and Solvency Shocks in a Network Model of Systemic Risk: The Impact of Minimum Capital and Reserve Requirements

25th Australasian Finance and Banking Conference 2012
Number of pages: 38 Posted: 22 Aug 2012 Last Revised: 20 Nov 2012
Andreas Krause and Simone Giansante
University of Bath - Department of Economics and University of Bath - School of Management
Downloads 271 (158,329)

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interbank loans, network topology, banking crises, bank failure, banking regulation

4.

The Optimal Medium of Exchange and Timing of Mergers and Acquisitions

Number of pages: 27 Posted: 29 Jun 2006
Andreas Krause and Liang Yin
University of Bath - Department of Economics and University of Bath - School of Management
Downloads 224 (190,402)

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real options, merger, payment form, synergies

5.

Competition is Bad for Consumers: Analysis of an Artificial Payment Card Market

Centre for Computational Finance and Economic Agents Working Paper No. 017-08
Number of pages: 30 Posted: 28 Jan 2010
Biliana Alexandrova-Kabadjova, Edward Tsang and Andreas Krause
Bank of Mexico, University of Essex - Centre for Computational Finance and Economic Agents and University of Bath - Department of Economics
Downloads 101 (360,344)
Citation 1

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Two-sided markets, agent-based models, credit cards, debit cards

6.

Market Structure and Information in Payment Card Markets

Centre for Computational Finance and Economic Agents Working Paper No. 006-06
Number of pages: 16 Posted: 27 Jan 2010
Biliana Alexandrova-Kabadjova, Edward Tsang and Andreas Krause
Bank of Mexico, University of Essex - Centre for Computational Finance and Economic Agents and University of Bath - Department of Economics
Downloads 88 (392,904)
Citation 1

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Multi-homing, two-sided markets, network externalities, agent-based modeling, competition

7.

Credit Ratings and Credit Default Swaps During the European Sovereign Debt Crisis

Number of pages: 39 Posted: 30 Nov 2017
Utkarsh Katyaayun and Andreas Krause
University of Bath - Department of Economics and University of Bath - Department of Economics
Downloads 62 (475,898)

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credit ratings, CDS spreads, rating changes

8.

Balancing Liquidity and Profitability Through Interbank Markets: Endogenous Interest Rates and Network Structures

Number of pages: 40 Posted: 30 Nov 2017
Di Xiao and Andreas Krause
University of Bath - Department of Economics and University of Bath - Department of Economics
Downloads 45 (547,878)
Citation 2

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Interbank lending, interbank network, core-periphery structure, interbank interest rates, bilateral transactions

9.

Finding Profit-Maximizing Strategies for the Artificial Payment Card Market

Centre for Computational Finance and Economic Agents Working Paper No. WP016-08
Number of pages: 15 Posted: 29 Jan 2010
Biliana Alexandrova-Kabadjova, Edward Tsang and Andreas Krause
Bank of Mexico, University of Essex - Centre for Computational Finance and Economic Agents and University of Bath - Department of Economics
Downloads 28 (643,263)

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Competition, Two Sides Market, Agent Based Modelling

10.

A Note on the CAPM With Endogenously Consistent Market Returns

Number of pages: 4 Posted: 26 May 2021
Andreas Krause
University of Bath - Department of Economics
Downloads 14 (752,941)

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asset pricing, market return, systematic risk

11.

Bank Demand for Central Bank Liquidity: The Impact of Bid Shading and Interbank Markets

Number of pages: 50 Posted: 30 Nov 2017
Di Xiao and Andreas Krause
University of Bath - Department of Economics and University of Bath - Department of Economics
Downloads 13 (762,098)

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Central bank operation, multi-unit auction, fixed rate auction, variable rate auction, interbank network, core-periphery network

12.

Liquidity and Solvency Shocks in Interbank Lending and the Prediction of Bank Failures: Analysis of a Network Model of Systemic Risk

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 32 Posted: 22 Aug 2012 Last Revised: 06 Jan 2022
Andreas Krause and Simone Giansante
University of Bath - Department of Economics and University of Bath - School of Management
Downloads 8 (810,467)

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solvency, liquidity, interbank loans, network topology, banking crises, bank failure

13.

Strategic Default and Optimal Audit Resources with Costly State Verification

Number of pages: 16 Posted: 24 May 2021
Andreas Krause
University of Bath - Department of Economics
Downloads 6 (831,020)

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strategic default, costly state verification, audit resources, loan repayments

14.

The Optimal Exclusion Length of Borrowers after Default

Number of pages: 5 Posted: 16 Jul 2022
Andreas Krause
University of Bath - Department of Economics
Downloads 2 (877,636)

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Strategic default, financial exclusion, imperfect information, borrowing

15.

An Agent-Based Model of Interactions in the Payment Card Market

Intelligent Data Engineering and Automated Learning, Vol. 4881, pp. 1063-1072, 2007
Posted: 29 Jan 2010
Biliana Alexandrova-Kabadjova, Andreas Krause and Edward Tsang
Bank of Mexico, University of Bath - Department of Economics and University of Essex - Centre for Computational Finance and Economic Agents

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Two-Sided Markets, Network Externalities, Agent-Based Modeling, multi-Homing

16.

Evolutionary Learning of the Optimal Pricing Strategy in an Artificial Payment Card Market

NATURAL COMPUTING IN COMPUTATION ECONOMICS AND FINANCE, A. Brabazon, M. O’Neill, eds., Springer, pp. 233-251, 2008
Posted: 28 Jan 2010
Biliana Alexandrova-Kabadjova, Edward Tsang and Andreas Krause
Bank of Mexico, University of Essex - Centre for Computational Finance and Economic Agents and University of Bath - Department of Economics

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Two-sided markets, agent-based models, credit cards, debit cards, competition