Lutz Hahnenstein

Ampega Asset Management GmbH

Head of Risk Control Department

Charles-de-Gaulle-Platz 1

Cologne, 50679

Germany

http://www.talanx.com/

SCHOLARLY PAPERS

8

DOWNLOADS

790

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

Hedging, Leverage, and Shareholder Wealth

EFMA 2004 Basel Meetings Paper
Number of pages: 35 Posted: 18 May 2004
Lutz Hahnenstein and Klaus Röder
Ampega Asset Management GmbH and University of Regensburg - Faculty of Business, Economics & Information Systems
Downloads 464 (62,313)
Citation 1

Abstract:

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corporate hedging, capital structure, shareholder value, bankruptcy, default risk, forward contracts, risk management, leverage

2.

Benchmarking the LGD Parameter for Mortgage Loan Portfolios Under Stress

Journal of Credit Risk (Forthcoming)
Number of pages: 27 Posted: 17 Mar 2015 Last Revised: 01 Nov 2016
Christian Greve and Lutz Hahnenstein
WGZ Bank AG and Ampega Asset Management GmbH
Downloads 241 (129,784)

Abstract:

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benchmarking, credit risk, loan-to-value (LTV), loss given default (LGD), mortgage loan, recovery rate, stress testing

3.

Do Firms Hedge in Order to Avoid Financial Distress Costs? New Empirical Evidence Using Bank Data

Number of pages: 41 Posted: 13 Feb 2018 Last Revised: 12 Nov 2018
Lutz Hahnenstein, Gerrit Köchling and Peter N. Posch
Ampega Asset Management GmbH, University of Dortmund and TU Dortmund University
Downloads 85 (300,644)

Abstract:

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Corporate Hedging, Bankruptcy costs, Financial Distress, Derivatives

4.

Benchmarking the Loss Given Default Parameter for Mortgage Loan Portfolios Under Stress

Journal of Credit Risk, Vol. 12, No. 4, 2016
Posted: 01 Nov 2016
Lutz Hahnenstein and Christian Greve
Ampega Asset Management GmbH and DZ Bank AG

Abstract:

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benchmarking, credit risk, loan-to-value (LTV), loss given default (LGD), mortgage loans, stress testing

5.

Corporate Hedging and Capital Structure Decisions: Towards an Integrated Framework for Value Creation

Journal of Financial Transformation, Vol. 17, pp. 161-168, 2006
Posted: 05 Oct 2006 Last Revised: 19 Jul 2011
Lutz Hahnenstein and Klaus Röder
Ampega Asset Management GmbH and University of Regensburg - Faculty of Business, Economics & Information Systems

Abstract:

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corporate hedging, risk management, capital structure, leverage, bankruptcy costs

6.

Who Hedges More When Leverage is Endogenous? A Testable Theory of Corporate Risk Management Under General Distributional Conditions

Review of Quantitative Finance and Accounting, Vol. 28, pp. 353-392, 2007
Posted: 05 Oct 2006 Last Revised: 19 Jul 2011
Lutz Hahnenstein and Klaus Röder
Ampega Asset Management GmbH and University of Regensburg - Faculty of Business, Economics & Information Systems

Abstract:

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corporate hedging, risk management, leverage, capital structure, bankruptcy, financial distress

7.

The Minimum Variance Hedge and the Bankruptcy Risk of the Firm

Review of Financial Economics, Vol. 12, No. 3, pp. 315-326, 2003
Posted: 03 Oct 2006
Lutz Hahnenstein and Klaus Röder
Ampega Asset Management GmbH and University of Regensburg - Faculty of Business, Economics & Information Systems

Abstract:

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corporate hedging, risk management, default risk, bankruptcy, forward contracts

8.

Calibrating the CreditMetrics Correlation Concept - Empirical Evidence from Germany

Financial Markets and Portfolio Management, Vol. 18, No. 4, pp. 358-382, 2004
Posted: 02 Nov 2004
Lutz Hahnenstein
Ampega Asset Management GmbH

Abstract:

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CreditMetrics, credit portfolio, default risk, asset correlation, obligor specific volatility, factor model, idiosyncratic risk