Eva Luetkebohmert

University of Freiburg, Institute for Economic Research

Rempartstr. 16

Freiburg, D-79098

Germany

affiliation not provided to SSRN

SCHOLARLY PAPERS

13

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Top 43,451

in Total Papers Downloads

1,521

SSRN CITATIONS

8

CROSSREF CITATIONS

4

Scholarly Papers (13)

1.

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 473 (84,589)
Citation 8

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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, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 398 (103,388)

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

3.

Robust Deep Hedging

Number of pages: 27 Posted: 30 Jun 2021 Last Revised: 29 Nov 2021
Eva Luetkebohmert, Thorsten Schmidt, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN, University of Freiburg and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 130 (298,260)

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

4.

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 114 (327,971)

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

5.

Tightening Robust Price Bounds for Exotic Derivatives

Number of pages: 27 Posted: 16 Dec 2018
Eva Luetkebohmert, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 85 (396,277)
Citation 4

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

6.

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 85 (396,277)
Citation 2

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

7.

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 68 (448,853)
Citation 2

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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 and Eva Luetkebohmert
University of Nottingham and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN
Downloads 64 (462,846)

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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, 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 54 (501,533)

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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 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 45 (541,196)

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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, Julian Sester and Julian Sester
European Central Bank (ECB), University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 5 (825,262)
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 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

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, Daniel Oeltz and Yajun Xiao
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN, RIVACON and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 0 (889,999)

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funding liquidity, optimal capital structure, rollover risk, structural credit risk models