Eva Luetkebohmert

University of Freiburg, Institute for Economic Research

Rempartstr. 16

Freiburg, D-79098

Germany

affiliation not provided to SSRN

SCHOLARLY PAPERS

14

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Top 34,243

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2,927

SSRN CITATIONS

9

CROSSREF CITATIONS

6

Scholarly Papers (14)

1.

Robust Statistical Arbitrage Strategies

Number of pages: 34 Posted: 16 Aug 2019 Last Revised: 27 Jul 2020
Eva Luetkebohmert and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and National University of Singapore (NUS)affiliation not provided to SSRN
Downloads 867 (55,439)
Citation 1

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Statistical Arbitrage, Robust Valuation, Trading Strategies, Super-Replication Duality

2.

Granularity Adjustment for Basel Ii

Bundesbank Series 2 Discussion Paper No. 2007,01
Number of pages: 40 Posted: 08 Jun 2016
Michael B. Gordy and Eva Luetkebohmert
Board of Governors of the Federal Reserve System and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN
Downloads 688 (75,292)
Citation 20

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Basel II, granularity adjustment, value-at-risk, idiosyncratic risk

3.

Robust Deep Hedging

Number of pages: 27 Posted: 30 Jun 2021 Last Revised: 29 Nov 2021
Eva Luetkebohmert, Thorsten Schmidt and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN, University of Freiburg and National University of Singapore (NUS)affiliation not provided to SSRN
Downloads 216 (276,098)
Citation 2

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affine processes, Knightian uncertainty, Kolmogorov equation, deep learning, robust hedging

4.

Investor Sentiment and Global Economic Conditions

Journal of Empirical Finance, Vol. 73, 2023
Number of pages: 32 Posted: 18 Feb 2021 Last Revised: 14 Sep 2023
Miguel C. Herculano and Eva Luetkebohmert
University of Glasgow and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN
Downloads 209 (284,868)

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Business Cycles, Hierarchical Dynamic Factor Model, Stock Market Sentiment.

5.

Shadow Money, Banking Competition and Stability: Evidence from China

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-9
Number of pages: 62 Posted: 23 Jul 2020
Xu Feng, Eva Luetkebohmert and Yajun Xiao
Tianjin University - College of Management and Economics, University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 154 (372,951)

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banking competition, bank runs, financial stability, shadow funding, wealth management products

6.

Tightening Robust Price Bounds for Exotic Derivatives

Number of pages: 27 Posted: 16 Dec 2018
Eva Luetkebohmert and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and National University of Singapore (NUS)affiliation not provided to SSRN
Downloads 127 (434,381)
Citation 4

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robust price bounds, model-independent valuation, optimal martingale transport, additional market information

7.

Arbitrage-Free Nelson-Siegel Model for Multiple Yield Curves

Mathematics and Financial Economics, 16, 239-266 (2022) .
Number of pages: 28 Posted: 16 Sep 2021 Last Revised: 22 Apr 2022
Riccardo Brignone, Christoph Gerhart and Eva Luetkebohmert
University of Freiburg, University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN
Downloads 118 (459,288)

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affine processes, dynamic factor model, multiple term structures, Nelson-Siegel curve

8.

A Continuous Time Structural Model for Insolvency, Recovery, and Rollover Risks

Number of pages: 53 Posted: 16 Sep 2012 Last Revised: 11 Nov 2012
Gechun Liang, Eva Luetkebohmert and Wei Wei
University of Warwick - Department of Statistics, University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 113 (474,551)
Citation 2

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structural credit risk model, bank run, rollover risk, first passage time, optimal stopping time

9.

Euro Area Banks' Interest Rate Risk Exposure to Level, Slope and Curvature Swings in the Yield Curve

Bundesbank Discussion Paper No. 24/2017
Number of pages: 51 Posted: 07 Sep 2017
Daniel Foos, Eva Luetkebohmert, Mariia Markovych and Kamil Pliszka
Deutsche Bundesbank, University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN, University of Freiburg and Deutsche Bundesbank
Downloads 112 (477,619)
Citation 3

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Bayesian DCC M-GARCH model, interest rate risk, maturity transformation, swings in the yield curve

10.

Wealth Management Products, Banking Competition, and Stability: Evidence from China

Number of pages: 39 Posted: 24 Jul 2021 Last Revised: 02 Aug 2022
Xu Feng, Eva Luetkebohmert and Yajun Xiao
Tianjin University - College of Management and Economics, University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 111 (480,764)
Citation 1

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wealth management products, shadow funding, banking competition, bank runs, financial stability

11.

Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants

Journal of Banking and Finance, 2023, 148, 106745
Number of pages: 40 Posted: 10 Dec 2022 Last Revised: 22 May 2024
Riccardo Brignone, Luca Gonzato and Eva Luetkebohmert
University of Freiburg, University of Vienna and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN
Downloads 92 (546,855)

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Sequential Monte Carlo, Quasi-Bayesian Estimation, Risk-Neutral Cumulants, Multifactor Affine Models

12.

On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks

Number of pages: 32 Posted: 01 Dec 2023 Last Revised: 25 Mar 2024
Eva Luetkebohmert, Julian Sester and Hongyi Shen
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN, National University of Singapore (NUS) and affiliation not provided to SSRN
Downloads 91 (550,548)

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capital adequacy, loan portfolios, name concentration risk, multilateral development banks

13.

Measuring Name Concentrations through Deep Learning

Number of pages: 37 Posted: 15 Apr 2024 Last Revised: 23 Apr 2024
Eva Luetkebohmert and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and National University of Singapore (NUS)
Downloads 29 (910,039)

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risk management, machine learning, granularity adjustment, name concentration risk, multilateral development banks

14.

Empirical Analysis and Forecasting of Multiple Yield Curves

Posted: 10 Jan 2019 Last Revised: 01 Sep 2020
Christoph Gerhart and Eva Luetkebohmert
University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN

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multiple term structures, principal component analysis, dynamic factor model, Nelson-Siegel curve, forecasting of yield curves