Stephan Dieckmann

University of Pennsylvania - Finance Department

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

9

DOWNLOADS

3,377

SSRN CITATIONS

22

CROSSREF CITATIONS

67

Scholarly Papers (9)

1.

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 979 (43,831)
Citation 16

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

2.

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 923 (47,596)
Citation 2

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

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 389 (141,116)
Citation 4

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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 M. Fabricio Perez
Arizona State University (ASU) - Economics Department, University of Pennsylvania - Finance Department and Wilfrid Laurier University - School of Business & Economics
Downloads 348 (159,697)
Citation 2

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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 284 (197,984)
Citation 4

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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 252 (223,217)

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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, Alex Boulatov and Stephan Dieckmann
University of Houston - C.T. Bauer College of BusinessHSE Moscow and University of Pennsylvania - Finance Department
Downloads 107 (461,983)

Abstract:

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Catastrophe Risk, Government Intervention, TRIA, Reinsurance

8.

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

Number of pages: 31 Posted: 07 Mar 2017 Last Revised: 02 Feb 2020
Stephan Dieckmann
University of Pennsylvania - Finance Department
Downloads 95 (501,104)

Abstract:

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

9.

The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents

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

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