Stephan Dieckmann

University of Pennsylvania - Finance Department

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

10

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CITATIONS
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SSRN RANKINGS

Top 12,615

in Total Papers Citations

31

Scholarly Papers (10)

1.

Default Risk of Advanced Economies: An Empirical Analysis of Credit Default Swaps during the Financial Crisis

Review of Finance, Forthcoming
Number of pages: 40 Posted: 19 Mar 2010 Last Revised: 27 Apr 2011
Stephan Dieckmann and Thomas Plank
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 678 (25,988)
Citation 16

Abstract:

Sovereign Credit Risk, Private-to-Public Risk Transfer, Financial Crisis

2.

By Force of Nature: Explaining the Yield Spread on Catastrophe Bonds

Number of pages: 43 Posted: 14 Jan 2008 Last Revised: 30 Mar 2010
Stephan Dieckmann
University of Pennsylvania - Finance Department
Downloads 592 (31,614)
Citation 5

Abstract:

Fixed Income, Insurance-Linked Security, Natural Disasters, Katrina, External Habit

3.

Rare Event Risk and Heterogeneous Beliefs: The Case of Incomplete Markets

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 46 Posted: 10 Jan 2005 Last Revised: 08 Apr 2011
Stephan Dieckmann
University of Pennsylvania - Finance Department
Downloads 327 (69,288)
Citation 4

Abstract:

Rare Event Risk, Heterogeneous Beliefs, Incomplete Markets, Catastrophe Insurance, Exchange Economy

4.

Exploring Common Factors in the Term Structure of Credit Spreads: The Use of Canonical Correlations

Number of pages: 49 Posted: 08 May 2007 Last Revised: 31 Aug 2012
Seung C. Ahn, Stephan Dieckmann and Marcos Fabricio Perez
Arizona State University (ASU) - Economics Department, University of Pennsylvania - Finance Department and Wilfrid Laurier University - School of Business & Economics
Downloads 274 (85,422)
Citation 3

Abstract:

Factor Analysis, Credit Risk, Common Factors, Canonical Correlations

5.

Rare Event Risk and Emerging Market Debt with Heterogeneous Beliefs

EFA 2006 Zurich Meetings Paper
Number of pages: 47 Posted: 17 Feb 2006 Last Revised: 31 Aug 2010
Stephan Dieckmann and Michael F. Gallmeyer
University of Pennsylvania - Finance Department and University of Virginia (UVA) - McIntire School of Commerce
Downloads 235 (99,321)
Citation 2

Abstract:

Rare Event Risk, Debt Contract, Emerging Market, Exchange Economy, Jump-Diffusion Model, Heterogeneous Beliefs, Incomplete Market

6.

The Announcement Effect of the EFSF

AFA 2013 San Diego Meetings Paper
Number of pages: 38 Posted: 15 Mar 2012
Stephan Dieckmann
University of Pennsylvania - Finance Department
Downloads 199 (117,085)
Citation 1

Abstract:

sovereign debt, intervention, EMU, debt crisis, loan guarantee, event study

7.

The Risk Sharing Implications of Disaster Insurance Funds

Number of pages: 48 Posted: 28 Nov 2009 Last Revised: 01 Aug 2011
Alex Boulatov and Stephan Dieckmann
HSE Moscow and University of Pennsylvania - Finance Department
Downloads 62 (269,605)

Abstract:

Catastrophe Risk, Government Intervention, TRIA, Reinsurance

8.

The Risk‐Sharing Implications of Disaster Insurance Funds

Journal of Risk and Insurance, Vol. 80, Issue 1, pp. 37-64, 2013
Number of pages: 28 Posted: 26 Feb 2013
Alex Boulatov and Stephan Dieckmann
HSE Moscow and University of Pennsylvania - Finance Department
Downloads 1 (526,710)
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Abstract:

9.

The EU Sovereign CDS Ban: Asset Pricing and Welfare Implications under Optimal Beliefs

Number of pages: 30 Posted: 07 Mar 2017
Stephan Dieckmann
University of Pennsylvania - Finance Department
Downloads 0 (460,906)

Abstract:

Sovereign Debt, Credit Default Swaps, EU Regulation 236, Heterogeneous Beliefs, Incomplete Markets

10.

The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents

Journal of Economic Dynamics and Control, Forthcoming
Posted: 12 Nov 2004
Michael F. Gallmeyer and Stephan Dieckmann
University of Virginia (UVA) - McIntire School of Commerce and University of Pennsylvania - Finance Department

Abstract:

General Equilibrium, Pure Exchange Economy, Jump-Diffusion Model, Heterogeneous Agents, Excess Uncertainty, Insurance