Marco Wilkens

University of Augsburg

Professor

Universitaetsstr. 16

Augsburg, 86159

Germany

http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

  • University of Augsburg

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    • Tel: +49 821 598 4124
    • Fax: +49 821 598 4223
SCHOLARLY PAPERS

54

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84

CROSSREF CITATIONS

31

Scholarly Papers (54)

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1.

Carbon Risk

Number of pages: 78 Posted: 10 Mar 2017 Last Revised: 19 Aug 2020
Maximilian Görgen, Andrea Jacob, Martin Nerlinger, Ryan Riordan, Martin Rohleder and Marco Wilkens
University of Augsburg, University of Augsburg, University of St. Gallen - School of Finance, Queen's University - Smith School of Business, University of Augsburg and University of Augsburg
Downloads 7,000 (1,801)
Citation 22

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Carbon risk, climate finance, climate change, economic transition, asset pricing

2.

The Effects of Mutual Fund Decarbonization on Stock Prices and Carbon Emissions

Journal of Banking and Finance, Volume 134, January 2022, 106352
Number of pages: 1 Posted: 22 Jun 2020 Last Revised: 08 Jul 2022
Martin Rohleder, Marco Wilkens and Jonas Zink
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 1,568 (20,645)
Citation 1

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Mutual funds, decarbonization, divestment, price pressure, carbon intensity, climate change, carbon emissions, impact investing

3.

Estimating the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data

Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 17 Jun 2011
Oliver Entrop, Christoph Memmel, Marco Wilkens and Alexander Zeisler
University of Passau, Deutsche Bundesbank, University of Augsburg and affiliation not provided to SSRN
Downloads 1,145 (32,880)
Citation 7

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Interest rate risk, accounting-based approach, banking supervision, model evaluation

4.

The Impact of Sustainable Investment Funds – Impact Channels, Status Quo of Literature, and Practical Applications

Number of pages: 37 Posted: 15 Sep 2022 Last Revised: 09 May 2023
Marco Wilkens, Stefan Jacob, Martin Rohleder and Jonas Zink
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 906 (45,737)

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Impact Investing, Impact Framework, Impact Channels, Impact Literature

5.

Valuation Differences between Credit Default Swap and Corporate Bond Markets

Journal of Credit Risk, Vol. 9, No. 4, pp. 3-46, 2013
Number of pages: 44 Posted: 14 Aug 2010 Last Revised: 07 Jan 2014
Oliver Entrop, Richard Schiemert and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt and University of Augsburg
Downloads 842 (50,595)
Citation 1

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credit default swap, credit risk, corporate bond, stochastic intensity model

6.

Non-Maturing Assets and Liabilities of Banks: Valuation and Risk Measurement

22nd Australasian Finance and Banking Conference 2009
Number of pages: 40 Posted: 24 Aug 2009
Oliver Entrop, Arne Krombach, Christoph Memmel and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt, Deutsche Bundesbank and University of Augsburg
Downloads 758 (58,297)

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Interest rate risk, term structure model, interest rate pass-through, banking supervision, German financial institutions

7.

The Sharpe Ratio's Market Climate Bias: Theoretical and Empirical Evidence from US Equity Mutual Funds

Journal of Asset Management, Vol. 13, No. 4, August 2012, pp. 227-242
Number of pages: 1 Posted: 26 Jan 2006 Last Revised: 31 Jul 2012
Sebastian Bunnenberg, Sebastian Bunnenberg, Hendrik Scholz and Marco Wilkens
Reutlingen University - ESB Business SchoolTalanx AG - HDI Global SE, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 735 (60,722)

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Performance evaluation, equity mutual funds, Sharpe ratio, bear market, market conditions

8.

Jensen’s Alpha and the Market Timing Puzzle

Review of Financial Economics, 37 (2), 234-255.
Number of pages: 40 Posted: 25 Aug 2008 Last Revised: 01 May 2021
Sebastian Bunnenberg, Sebastian Bunnenberg, Martin Rohleder, Hendrik Scholz and Marco Wilkens
Reutlingen University - ESB Business SchoolTalanx AG - HDI Global SE, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 706 (64,085)
Citation 3

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Mutual fund performance; stock selection; market timing; total performance; conditional performance

9.

Ownership Comes with Responsibility – the Impact of Ownership Characteristics on CSR

Number of pages: 56 Posted: 15 Jun 2020 Last Revised: 21 Jan 2021
Lukas Benz, Stefan Paulus, Martin Rohleder and Marco Wilkens
University of Augsburg, Berlin School of Business and Law, University of Augsburg and University of Augsburg
Downloads 601 (78,515)

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Ownership, Institutional Investor, Shareholder Engagement, ESG, Corporate Social Responsibility

10.

Maturity Transformation Strategies and Interest Rate Risk of Financial Institutions: Evidence from the German Market

Number of pages: 23 Posted: 26 Jul 2007
Hendrik Scholz, Stephan K.H. Simon and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg, McKinsey & Company and University of Augsburg
Downloads 599 (78,845)

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maturity transformation, interest rate risk, financial institutions, liquidity preference hypothesis

11.

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Downloads 540 (89,763)
Citation 2

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Number of pages: 17 Posted: 18 Jan 2001
Rainer Baule and Marco Wilkens
University of Hagen and University of Augsburg
Downloads 540 (88,755)
Citation 2

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Lean Trees, Lattice Models, Option Pricing, Numerical Valuation Techniques

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Posted: 13 May 2004
Rainer Baule and Marco Wilkens
University of Hagen and University of Augsburg

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Lean trees, lattice models, option pricing, numerical valuation techniques

12.

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Downloads 509 (96,551)
Citation 1

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Bundesbank Discussion Paper No. 56/2013
Number of pages: 47 Posted: 21 Jun 2016
Benedikt Ruprecht, Oliver Entrop, Thomas K. Kick and Marco Wilkens
Deutsche Bundesbank, University of Passau, Deutsche Bundesbank and University of Augsburg
Downloads 293 (178,719)

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Duration gap, Interest rate swaps, Selective hedging

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Deutsche Bundesbank Discussion Paper 56/2013
Number of pages: 47 Posted: 17 Feb 2014
Benedikt Ruprecht, Oliver Entrop, Thomas K. Kick and Marco Wilkens
Deutsche Bundesbank, University of Passau, Deutsche Bundesbank and University of Augsburg
Downloads 216 (242,066)
Citation 1

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Duration gap, Interest rate swaps, Selective hedging

13.

Diseconomies of Scale in Quantitative and Fundamental Investment Styles

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 48 Posted: 18 Mar 2017 Last Revised: 23 Jun 2022
Richard B. Evans, Martin Rohleder, Hendrik Tentesch and Marco Wilkens
University of Virginia - Darden School of Business, University of Augsburg, University of Augsburg - Department of Finance and Banking and University of Augsburg
Downloads 445 (113,960)
Citation 2

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Diseconomies of scale, quantitative, fundamental, performance, flows, hierarchy costs, information processing, separate accounts, institutional investing

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15.

Maturity-Matched Bond Fund Performance

Financial Analysts Journal, 77(2): 83-96.
Number of pages: 25 Posted: 02 Dec 2016 Last Revised: 01 May 2021
Markus Natter, Martin Rohleder and Marco Wilkens
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 369 (140,491)
Citation 4

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Active fund performance, interest rate risk, expected return, duration, flows

16.

The Pricing Policy of Banks for Exchange-Traded Leverage Certificates: Interday and Intraday Effects

Number of pages: 40 Posted: 08 Feb 2011 Last Revised: 20 May 2013
Oliver Entrop, Alexander Schober and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 358 (145,234)
Citation 7

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Leverage Certificate, Life Cycle Hypothesis, Pricing Behavior, Gap Risk, Order Flow

17.

Spread Risk Premia in Corporate Credit Default Swap Markets

Credit and Capital Markets, Vol. 47, No. 4, pp. 571-610, 2014
Number of pages: 44 Posted: 18 Nov 2011 Last Revised: 16 Mar 2016
Oliver Entrop, Richard Schiemert and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt and University of Augsburg
Downloads 316 (166,074)

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credit default swap, default risk premium, default event risk premium, spread risk premium, mark-to-market risk premium, stochastic intensity model

18.

Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences

Review of Finance 2011, 15 (2), 441-474
Number of pages: 53 Posted: 08 Mar 2008 Last Revised: 18 Mar 2018
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 316 (166,074)
Citation 1

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Mutual Fund Performance, Survivorship Bias

19.

Bond Fund Disappearance: What’s Return Got to Do with it?

Number of pages: 47 Posted: 18 Jun 2011 Last Revised: 14 May 2012
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 310 (169,476)

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fund disappearance, bond mutual fund performance, survivorship bias

20.

Mutual Fund Stock-Picking Skill: New Evidence from Valuation versus Liquidity-Motivated Trading

Financial Management 2018, 47(2), 309-347
Number of pages: 44 Posted: 26 Nov 2015 Last Revised: 13 Jun 2018
Martin Rohleder, Dominik Schulte, Janik Syryca and Marco Wilkens
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 278 (189,707)
Citation 1

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Mutual fund trading, valuation, liquidity, skill, flow risk, wisdom of crowds

21.

Success and Failure on the Corporate Bond Fund Market

Journal of Asset Management 19(6), 429-443.
Number of pages: 43 Posted: 02 Aug 2014 Last Revised: 28 Mar 2019
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 265 (199,191)
Citation 3

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Corporate bond funds, performance, disappearance and survival, fund size, flow

22.

What drives Performance in the Speculative Market of Short-term Exchange-traded Retail Products?

Number of pages: 55 Posted: 29 Aug 2012 Last Revised: 01 Jul 2016
Stefanie Baller, Oliver Entrop, Alexander Schober and Marco Wilkens
University of Passau, University of Passau, University of Augsburg and University of Augsburg
Downloads 264 (199,897)
Citation 2

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Leverage Certificate; Warrant; Financial Innovation; Retail Investor

23.

Equity Greenium, Futures Pricing, and Lending Fees

Number of pages: 42 Posted: 07 Apr 2023 Last Revised: 27 Jun 2023
Marco Wilkens, Maximilian Görgen and Martin Rohleder
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 221 (237,647)

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Greenium, Stocks, Derivatives, Futures, Arbitrage, Separated Capital Market

24.

What Drives Sustainable Indices? A Framework for Analyzing the Sustainable Index Landscape

Number of pages: 46 Posted: 08 Jul 2021
Andrea Jacob and Marco Wilkens
University of Augsburg and University of Augsburg
Downloads 191 (271,568)
Citation 1

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Sustainable investing, Market indices, Investment decisions, Portfolio management

25.

Herds on Green Meadows – The Decarbonization of Institutional Portfolios

Number of pages: 28 Posted: 14 Oct 2019
Lukas Benz, Andrea Jacob, Stefan Paulus and Marco Wilkens
University of Augsburg, University of Augsburg, Berlin School of Business and Law and University of Augsburg
Downloads 185 (279,298)
Citation 4

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decarbonization, institutional investors, herding

26.

Looking Beyond Banks’ Average Interest Rate Risk: Determinants of High Exposures

Quarterly Review of Economics and Finance, Forthcoming
Number of pages: 41 Posted: 15 Apr 2014 Last Revised: 15 Apr 2016
Oliver Entrop, Ludwig von la Hausse and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 158 (320,000)
Citation 4

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interest rate risk, banks, tail exposures, financial crisis

27.

Open-End Knock-Outs on Bond Futures: Valuation, Properties and Estimation of Hidden Profit Drivers

Number of pages: 47 Posted: 22 Apr 2014
Oliver Entrop, Christian Peters and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 157 (321,736)

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structured products, knock-out, price setting, German market, rollover

28.

The Valuation of Deposit Insurance in an Arbitrage-free Basel II Consistent Framework

Number of pages: 50 Posted: 06 Mar 2007
Oliver Entrop and Marco Wilkens
University of Passau and University of Augsburg
Downloads 147 (339,665)

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deposit insurance, loan portfolio, maturity gap, structural model

29.

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Downloads 126 (382,677)

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Bundesbank Discussion Paper No. 17/2012
Number of pages: 56 Posted: 21 Jun 2016
Oliver Entrop, Christoph Memmel, Benedikt Ruprecht and Marco Wilkens
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg
Downloads 126 (384,013)
Citation 7

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Interest rate risk, Interest margins, Maturity transformation

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Journal of Banking and Finance, Vol. 54, 2015, pp. 1-19
Posted: 07 Jul 2012 Last Revised: 06 Feb 2015
Oliver Entrop, Christoph Memmel, Benedikt Ruprecht and Marco Wilkens
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg

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term transformation, interest rate risk, optimal loan, deposit intermediation fees

30.

Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany

Bundesbank Series 2 Discussion Paper No. 2008,01
Number of pages: 48 Posted: 08 Jun 2016
Oliver Entrop, Christoph Memmel, Marco Wilkens and Alexander Zeisler
University of Passau, Deutsche Bundesbank, University of Augsburg and affiliation not provided to SSRN
Downloads 121 (394,528)

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German financial institutions, interest rate risk, accounting-based approach, maturity transformation, banking supervision, model evaluation

31.

Evaluating the Performance of Hedge Funds Using Two-Stage Peer Group Benchmarks

Number of pages: 34 Posted: 18 Jul 2014
Marco Wilkens, Juan Yao, Nagaratnam Jeyasreedharan and Patrick Boehler
University of Augsburg, University of Sydney - Business School - Finance Discipline, University of Tasmania and University of Augsburg
Downloads 120 (396,893)

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Hedge Funds, Performance Measurement, Factor Models, Peer Group Benchmarks

32.

Trading Skills of Mutual Fund Managers: Evidence Based on Daily Transactions

Number of pages: 57 Posted: 22 Jul 2020 Last Revised: 10 Feb 2022
Rene Weh, P. Joakim Westerholm, Marco Wilkens and Juan Yao
University of Augsburg - Department of Finance and Banking, University of Sydney Business School, University of Augsburg and University of Sydney - Business School - Finance Discipline
Downloads 113 (414,653)

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Mutual funds, trading, performance, manager skill

33.

Shedding Light on the Exposure of Mutual Funds – Which Investments Drive Mutual Fund Characteristics?

Journal of Asset Management, 20 (6), 534-551.
Number of pages: 32 Posted: 10 Apr 2019 Last Revised: 01 May 2021
Lukas Benz, Martin Rohleder, Janik Syryca and Marco Wilkens
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 101 (449,468)
Citation 1

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equity mutual funds, risk, performance, derivatives, complex investments, holdings

34.

The Benefits of Option Use by Mutual Funds

Journal of Financial Intermediation 2016, 26, 142-168
Number of pages: 57 Posted: 24 Sep 2014 Last Revised: 28 Mar 2019
Markus Natter, Martin Rohleder, Dominik Schulte and Marco Wilkens
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 98 (458,566)
Citation 4

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Mutual funds, performance, options, hedging

35.

Internet Appendix of the Paper 'Jensen's Alpha and the Market Timing Puzzle'

Review of Financial Economics, 37 (2), 234-255.
Number of pages: 10 Posted: 30 Nov 2016 Last Revised: 01 May 2021
Sebastian Bunnenberg, Sebastian Bunnenberg, Martin Rohleder, Hendrik Scholz and Marco Wilkens
Reutlingen University - ESB Business SchoolTalanx AG - HDI Global SE, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 65 (583,474)

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Conditional performance evaluation; time-varying investment skill

36.

Bond Mutual Funds and Complex Investments

Journal of Asset Management 2017, 18(6), 433-456
Number of pages: 43 Posted: 15 Mar 2016 Last Revised: 18 Mar 2018
Markus Natter, Martin Rohleder, Dominik Schulte and Marco Wilkens
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 64 (588,044)
Citation 1

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Mutual fund performance, bond funds performance, derivatives interest rate futures

37.

Management of Flow Risk in Mutual Funds

Review of Quantitative Finance and Accounting 2017, 45(1), 31-56.
Number of pages: 46 Posted: 03 Apr 2014 Last Revised: 18 Mar 2018
Martin Rohleder, Dominik Schulte and Marco Wilkens
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 51 (655,311)
Citation 7

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Mutual fund performance, mutual fund flows, derivatives

38.

Trading Skills of Mutual Fund Managers: Evidence from Daily Transactions

Number of pages: 56 Posted: 20 Apr 2023
P. Joakim Westerholm, Rene Weh, Marco Wilkens and Juan Yao
University of Sydney Business School, University of Augsburg - Department of Finance and Banking, University of Augsburg and University of Sydney - Business School - Finance Discipline
Downloads 35 (759,062)

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mutual funds, trading, performance, manager skill

39.

Systemic Interest Rate and Market Risk at U.S. Banks

Journal of Business Economics (ZfB) 2016, 86 (8), 933-961
Number of pages: 36 Posted: 26 Nov 2015 Last Revised: 18 Mar 2018
Ludwig von la Hausse, Martin Rohleder and Marco Wilkens
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 33 (774,137)

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interest rate risk, market risk, banks, banking system

40.

Fraternal twins – Should investors be careful?

Review of Financial Economics, Forthcoming
Number of pages: 38 Posted: 09 Feb 2022
Martin Rohleder, Hendrik Tentesch, Rene Weh and Marco Wilkens
University of Augsburg, University of Augsburg - Department of Finance and Banking, University of Augsburg - Department of Finance and Banking and University of Augsburg
Downloads 29 (805,581)

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Mutual funds, performance, portfolio holdings, separate accounts

41.

Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?

Downloads 0 (1,060,808)

Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?

The Journal of Portfolio Management Novel Risks 2022, jpm.2022.1.410; DOI: https://doi.org/10.3905/jpm.2022.1.410
Posted: 07 Jan 2021 Last Revised: 20 Sep 2022
Vitali Kalesnik, Marco Wilkens and Jonas Zink
Research Affiliates Global Advisors, University of Augsburg and University of Augsburg

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Carbon data, carbon databases, climate-related information, climate-related risks and opportunities, environmental impact of investments, carbon emissions, carbon intensities

Green Data or Greenwashing? Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?

Posted: 15 Sep 2022
Vitali Kalesnik, Marco Wilkens and Jonas Zink
Research Affiliates Global Advisors, University of Augsburg and University of Augsburg

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Carbon data, carbon databases, climate-related information, climate-related risks and opportunities, environmental impact of investments, carbon emissions, carbon intensities

42.

Market Makers’ Optimal Price-Setting Policy for Exchange-Traded Certificates

Journal of Banking and Finance, Vol. 71, 2016, 206-226
Posted: 05 Dec 2014 Last Revised: 25 Jul 2016
Stefanie Baller, Oliver Entrop, Michael D. McKenzie and Marco Wilkens
University of Passau, University of Passau, The University of Sydney - Discipline of Finance and University of Augsburg

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Structured Products, Structured Notes, Leverage Certificates, Pricing Behavior, Monopoly Pricing Model

43.

Individual Investors and Suboptimal Early Exercises in the Fixed-Income Market

Posted: 10 Sep 2014
Mathias Eickholt, Oliver Entrop and Marco Wilkens
University of Passau, University of Passau and University of Augsburg

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decision strategy, decision costs, transaction costs, putable bond

44.

What Makes Individual Investors Exercise Early? Empirical Evidence from Non-Tradable Fixed-Income Products

Journal of Banking and Finance, 97, 2018, 318-334
Posted: 05 Apr 2014 Last Revised: 05 Nov 2018
Mathias Eickholt, Oliver Entrop and Marco Wilkens
University of Passau, University of Passau and University of Augsburg

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early exercise, failure to exercise, liquidity demand, putable bond

45.

How Does Pricing Affect Investors’ Product Choice? Evidence from the Market for Discount Certificates

Journal of Banking and Finance, Vol. 68, 195-215
Posted: 31 Mar 2014 Last Revised: 24 Apr 2016
Oliver Entrop, Georg Fischer, Michael D. McKenzie, Marco Wilkens and Christoph Winkler
University of Passau, University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

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Structured products, Derivatives, Investor behavior, Product pricing

46.

The Performance of Individual Investors in Structured Financial Products

Review of Quantitative Finance and Accounting, Vol. 46, No. 3, 2016, pp. 569-604
Posted: 16 Dec 2012 Last Revised: 16 Mar 2016
Oliver Entrop, Michael D. McKenzie, Marco Wilkens and Christoph Winkler
University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

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structured products, derivatives, complexity, financial innovation, investor behavior

47.

Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?

Journal of Banking and Finance, Vol. 43, 2014
Posted: 21 Jun 2011 Last Revised: 28 Mar 2014
Bernhard Breloer, Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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International Equity Funds, Global Equity Funds, Country Momentum, Sector Momentum, Fund Performance, Fund Ranking

48.

A Jigsaw Puzzle of Basic Risk-Adjusted Performance Measures

The Journal of Performance Measurement, Vol. 9, No. 3, pp. 57-64, Spring 2005
Posted: 18 Mar 2011
Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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portfolio performance evaluation, mutual funds, Sharpe ratio, Treynor ratio, RAP

49.

Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Certificates

Journal of Futures Markets, Vol. 28, No. 4, pp. 376-397, 2008
Posted: 18 Mar 2008 Last Revised: 12 May 2008
Rainer Baule, Oliver Entrop and Marco Wilkens
University of Hagen, University of Passau and University of Augsburg

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Structured product, discount certificate, vulnerable option, credit risk margin

50.

The Price-Setting Behavior of Banks: An Analysis of Open-End Leverage Certificates on the German Market

Journal of Banking and Finance, Vol. 33, No. 5, pp. 874-882, 2009
Posted: 06 Mar 2008 Last Revised: 12 Aug 2010
Oliver Entrop, Hendrik Scholz and Marco Wilkens
University of Passau, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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Structured products, Certificates, Hedging, German market, Pricing

51.

Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

European Financial Management, Forthcoming
Posted: 26 Feb 2008 Last Revised: 22 Apr 2009
Oliver Entrop, Alexander Zeisler and Marco Wilkens
University of Passau, affiliation not provided to SSRN and University of Augsburg

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interest rate risk, Basel Capital Accord, banking supervision, standardized interest rate shock

52.

The Performance of Investment Grade Corporate Bond Funds: Evidence from the European Market

European Journal of Finance, Vol. 15, No. 2, pp. 191-209, 2009
Posted: 27 Jul 2006 Last Revised: 13 Aug 2010
Leif Holger Dietze, Oliver Entrop and Marco Wilkens
Catholic University of Eichstaett-Ingolstadt, University of Passau and University of Augsburg

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performance measurement, European corporate bond market, investment grade corporate bond mutual funds, multi-index model, asset-class-factor model, Generalized Treynor Ratio

53.

Interest Rate Risk of German Financial Institutions - the Impact of Level, Slope, and Curvature of the Term Structure

Review of Quantitative Finance and Accounting, Vol. 33, pp. 1-26, 2009
Posted: 30 Jun 2006 Last Revised: 17 Jun 2010
Marc-Gregor Czaja, Hendrik Scholz and Marco Wilkens
Allianz Investment Management, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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German financial institutions, interest rate sensitivity, term structure, Nelson-Siegel approach

54.

Investor-Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio

The International Journal of Finance, 2005, Vol. 17, No. 4, pp. 3671-3691
Posted: 09 Jun 2004 Last Revised: 18 Mar 2011
Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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Mutual Funds, Performance Measurement, Sharpe Ratio, Treynor Ratio