Eva Luetkebohmert

University of Freiburg - Institute for Economic Research

Freiberg

Germany

University of Freiburg, Institute for Economic Research

Platz der Alten Synagoge 1

Freiburg, D-79098

Germany

SCHOLARLY PAPERS

13

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1,250

SSRN CITATIONS

8

CROSSREF CITATIONS

2

Scholarly Papers (13)

1.

Granularity Adjustment for Basel Ii

Number of pages: 40 Posted: 08 Jun 2016
Michael B. Gordy, Eva Luetkebohmert and Eva Luetkebohmert
Board of Governors of the Federal Reserve System and University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research
Downloads 414 (92,476)
Citation 4

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

2.

Robust Statistical Arbitrage Strategies

Number of pages: 34 Posted: 16 Aug 2019 Last Revised: 27 Jul 2020
Eva Luetkebohmert, Eva Luetkebohmert, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 282 (141,142)

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

3.

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, Eva Luetkebohmert and Yajun Xiao
Tianjin University - College of Management and Economics, University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 109 (320,037)

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

4.

Robust Deep Hedging

Number of pages: 27 Posted: 30 Jun 2021 Last Revised: 29 Nov 2021
Eva Luetkebohmert, Eva Luetkebohmert, Thorsten Schmidt, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research, University of Freiburg and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 91 (360,116)

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

5.

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, Eva Luetkebohmert and Wei Wei
University of Warwick - Department of Statistics, University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research and affiliation not provided to SSRN
Downloads 83 (380,947)
Citation 2

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

6.

Tightening Robust Price Bounds for Exotic Derivatives

Number of pages: 27 Posted: 16 Dec 2018
Eva Luetkebohmert, Eva Luetkebohmert, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 76 (400,877)
Citation 4

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

7.

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

Number of pages: 51 Posted: 07 Sep 2017
Daniel Foos, Eva Luetkebohmert, Eva Luetkebohmert, Mariia Markovych and Kamil Pliszka
Deutsche Bundesbank, University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research, University of Freiburg and Deutsche Bundesbank
Downloads 64 (439,499)
Citation 1

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

8.

Investor Sentiment and Global Economic Conditions

Number of pages: 36 Posted: 18 Feb 2021
Miguel C. Herculano, Eva Luetkebohmert and Eva Luetkebohmert
University of Nottingham and University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research
Downloads 51 (488,548)

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

9.

Arbitrage-Free Nelson-Siegel Model for Multiple Yield Curves

Mathematics and Financial Economics, Forthcoming.
Number of pages: 28 Posted: 16 Sep 2021
Riccardo Brignone, Christoph Gerhart, Eva Luetkebohmert and Eva Luetkebohmert
University of Freiburg, University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research
Downloads 48 (501,297)

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

10.

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

Number of pages: 39 Posted: 24 Jul 2021 Last Revised: 29 Nov 2021
Xu Feng, Eva Luetkebohmert, Eva Luetkebohmert and Yajun Xiao
Tianjin University - College of Management and Economics, University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 27 (610,387)

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

11.

Calculating Capital Charges for Sector Concentration Risk

Journal of Credit Risk, Forthcoming
Number of pages: 34 Posted: 22 Oct 2018
Cornelius Kurtz, Eva Luetkebohmert, Eva Luetkebohmert, Julian Sester and Julian Sester
European Central Bank (ECB), University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 5 (775,218)
Citation 2
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credit risk, sector concentration risk, capital allocation, analytical approximation, Monte Carlo simulation

12.

Empirical Analysis and Forecasting of Multiple Yield Curves

Posted: 10 Jan 2019 Last Revised: 01 Sep 2020
Christoph Gerhart, Eva Luetkebohmert and Eva Luetkebohmert
University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research

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

13.

Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk

European Financial Management, Vol. 23, Issue 1, pp. 55-86, 2017
Number of pages: 32 Posted: 10 Jan 2017
Eva Luetkebohmert, Eva Luetkebohmert, Daniel Oeltz and Yajun Xiao
University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research, RIVACON and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 0 (830,407)
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funding liquidity, optimal capital structure, rollover risk, structural credit risk models