Jacob Gyntelberg

Danske Bank

DK-1092 Copenhagen K

Denmark

SCHOLARLY PAPERS

23

DOWNLOADS
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5,699

CITATIONS
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in Total Papers Citations

94

Scholarly Papers (23)

1.

Central Counterparties for Over-the-Counter Derivatives

BIS Quarterly Review, September 2009
Number of pages: 14 Posted: 02 Aug 2012
Stephen G. Cecchetti, Jacob Gyntelberg and Marc Hollanders
Brandeis International Business School, Danske Bank and Bank for International Settlements (BIS)
Downloads 1,019 (12,608)
Citation 4

Abstract:

2.

The International Financial Crisis and Policy Challenges in Asia and the Pacific

BIS Paper No. 52
Number of pages: 402 Posted: 24 Jul 2010
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS), Reserve Bank of New Zealand, Swiss National Bank, Bruegel, Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Danske Bank, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Finance and Economics, Herbert Smith, affiliation not provided to SSRN, University of Wisconsin - Madison - Department of Economics, University of British Columbia (UBC) - Department of Economics, London School of Economics & Political Science (LSE) - Financial Markets Group, Federal Reserve Board - Division of Monetary Affairs, Bank for International Settlements (BIS), affiliation not provided to SSRN, Bank of Japan - Institute of Monetary and Economic Studies, Bank of Thailand, Central Bank of Malaysia and Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas
Downloads 631 (24,845)
Citation 3

Abstract:

3.

Risk in Carry Trades: A Look at Target Currencies in Asia and the Pacific

BIS Quarterly Review, December 2007
Number of pages: 10 Posted: 07 Jul 2012
Jacob Gyntelberg and Eli M. Remolona
Danske Bank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 572 (36,372)
Citation 11

Abstract:

4.

CDS Index Tranches and the Pricing of Credit Risk Correlations

BIS Quarterly Review, March 2005
Number of pages: 16 Posted: 20 May 2012
Jeffery D. Amato and Jacob Gyntelberg
Goldman Sachs International and Danske Bank
Downloads 454 (37,809)
Citation 16

Abstract:

CDS Index Tranches, asset pricing, credit risk correlation

5.

Interbank Rate Fixings during the Recent Turmoil

BIS Quarterly Review, March 2008
Number of pages: 14 Posted: 10 Jul 2012
Jacob Gyntelberg and Philip D. Wooldridge
Danske Bank and Bank for International Settlements (BIS)
Downloads 395 (47,184)
Citation 14

Abstract:

6.

FX Strategies in Periods of Distress

BIS Quarterly Review, December 2011
Number of pages: 12 Posted: 05 Sep 2012
Jacob Gyntelberg and Andreas Schrimpf
Danske Bank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 259 (73,075)

Abstract:

7.

Securitisation in Asia and the Pacific: Implications for Liquidity and Credit Risks

BIS Quarterly Review, June 2006
Number of pages: 12 Posted: 08 Jun 2012
Jacob Gyntelberg and Eli M. Remolona
Danske Bank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 250 (77,830)
Citation 7

Abstract:

Securitisation, Asia, liquidity, credit risk

8.

Corporate Bond Markets in Asia

BIS Quarterly Review, December 2005
Number of pages: 11 Posted: 31 May 2012
Jacob Gyntelberg, Guonan Ma and Eli M. Remolona
Danske Bank, Bruegel and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 224 (86,995)
Citation 12

Abstract:

Corporate bond marrket, Asia

9.

The Role of Government-Supported Housing Finance Agencies in Asia

BIS Quarterly Review, December 2006
Number of pages: 13 Posted: 17 Jun 2012
Bank for International Settlements (BIS), Bank for International Settlements, Committee on the Global Financial System (CGFS) and Danske Bank
Downloads 134 (146,253)
Citation 6

Abstract:

10.

Forward Currency Markets in Asia: Lessons from the Australian Experience

BIS Quarterly Review, September 2006
Number of pages: 12 Posted: 11 Jun 2012
Guy Debelle, Jacob Gyntelberg and Michael Plumb
Reserve Bank of Australia, Danske Bank and affiliation not provided to SSRN
Downloads 125 (151,061)
Citation 5

Abstract:

Non-deliverable forwards, currency markets, Asia, Australia

11.

Private Information, Stock Markets, and Exchange Rates

BIS Working Paper No. 271
Number of pages: 29 Posted: 29 Jul 2009
Danske Bank, Swiss National Bank, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 100 (204,208)
Citation 2

Abstract:

Exchange rate models, market microstructure approach, asymmetric information, Thailand, generated regressors, impulse response functions, I(1) measurement error

12.

Housing Finance Agencies in Asia

BIS Working Paper No. 241
Number of pages: 54 Posted: 15 Apr 2008
Danske Bank, Bank for International Settlements (BIS) and Bank for International Settlements, Committee on the Global Financial System (CGFS)
Downloads 97 (211,291)
Citation 3

Abstract:

The Asian Crisis: What Did Local Stock Markets Expect?

BIS Working Paper No. 261
Number of pages: 21 Posted: 27 Jan 2009
Jacob Gyntelberg, Alicia García-Herrero and Andrea Tesei
Danske Bank, NATIXIS HONG KONG and Bank for International Settlements (BIS)
Downloads 62 (288,675)

Abstract:

Asian crisis, currency crisis, information content of local equity prices

The Asian Crisis: What Did Local Stock Markets Expect?

BIS Working Papers No. 261, BBVA Working Paper No. 0807
Number of pages: 17 Posted: 07 Sep 2009
Alicia García-Herrero, Jacob Gyntelberg and Andrea Tesei
NATIXIS HONG KONG, Danske Bank and Bank for International Settlements (BIS)
Downloads 31 (387,602)

Abstract:

Asian crisis, currency crisis, information content of local equity market prices

14.
Downloads 90 (229,720)
Citation 1

Liquidity in Government Versus Covered Bond Markets

BIS Working Paper No. 392
Number of pages: 30 Posted: 05 Jan 2013
Jens Dick-Nielsen, Jacob Gyntelberg and Thomas Sangill
Copenhagen Business School - Department of Finance, Danske Bank and Danish Central Bank
Downloads 51 (317,976)
Citation 1

Abstract:

Bond Market Liquidity, Government Bonds, Covered Bonds, Price Impact

Liquidity in Government Versus Covered Bond Markets

BIS Working Paper No. 392
Number of pages: 29 Posted: 21 Dec 2012
Jens Dick-Nielsen, Jacob Gyntelberg and Thomas Sangill
Copenhagen Business School - Department of Finance, Danske Bank and affiliation not provided to SSRN
Downloads 39 (356,479)
Citation 1

Abstract:

Bond Market Liquidity, Government Bonds, Covered Bonds, Price Impact

15.

International Portfolio Rebalancing and Exchange Rate Fluctuations in Thailand

BIS Working Paper No. 287
Number of pages: 19 Posted: 27 Aug 2009
Danske Bank, Swiss National Bank, Bank of Thailand and Bank for International Settlements (BIS)
Downloads 89 (209,896)
Citation 1

Abstract:

foreign exchange market, capital flows, Thailand, equity market, nonresident investors, portfolio rebalancing

16.

The Danish Mortgage Market

BIS Quarterly Review, March 2004
Number of pages: 16 Posted: 06 May 2012
Jacob Gyntelberg, Allen Frankel and Mattias Persson
Danske Bank, Bank for International Settlements (BIS) and Sveriges Riksbank
Downloads 58 (278,066)
Citation 7

Abstract:

Danish mortgage market, housing finance, callable mortgage bonds

17.

Intraday Dynamics of Euro Area Sovereign CDS and Bonds

BIS Working Paper No. 423
Number of pages: 87 Posted: 27 Feb 2014
Jacob Gyntelberg, Peter Hördahl, Kristyna Ters and Jörg Urban
Danske Bank, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 52 (238,018)

Abstract:

Sovereign credit risk, credit default swaps, price discovery, intraday

18.

The OTC Interest Rate Derivatives Market in 2013

BIS Quarterly Review, December 2013
Number of pages: 14 Posted: 28 Apr 2014
Jacob Gyntelberg and Christian Upper
Danske Bank and Bank for International Settlements (BIS)
Downloads 50 (234,651)

Abstract:

19.

Private Information, Capital Flows, and Exchange Rates

IMF Working Paper No. 12/213
Number of pages: 29 Posted: 01 Nov 2012
Jacob Gyntelberg, Mico Loretan and Subhanij Tientip
Danske Bank, Swiss National Bank and affiliation not provided to SSRN
Downloads 32 (366,874)

Abstract:

Order Flow, Private Information, Exchange Rate Models, Market Microstructure, Capital Flows, Exchange Rates, Foreign Investment, Stock Markets, Economic Models

20.

Subjective Expected Utility Theory with 'Small Worlds'

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 09-26
Number of pages: 27 Posted: 18 Dec 2009
Jacob Gyntelberg and Frank Hansen
Danske Bank and University of Copenhagen
Downloads 31 (363,215)
Citation 1

Abstract:

subjective expected utility, decision making under uncertainty, uncertainty aversion, Ellsberg paradox

21.

Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand

IMF Working Paper No. 12/214
Number of pages: 20 Posted: 01 Nov 2012
Jacob Gyntelberg, Mico Loretan and Subhanij Tientip
Danske Bank, Swiss National Bank and affiliation not provided to SSRN
Downloads 30 (374,346)
Citation 1

Abstract:

Capital Flows, Equity Market, Portfolio Rebalancing, Exchange Rates, Stock Markets, Exchange Rate Appreciation

22.

Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis: Evidence from Intraday Euro Area Sovereign Debt Markets

Number of pages: 33 Posted: 09 Nov 2016
Jacob Gyntelberg, Peter Hördahl, Kristyna Ters and Jörg Urban
Danske Bank, Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, University of Basel and Bank for International Settlements (BIS)
Downloads 0 (359,733)

Abstract:

sovereign credit risk, credit default swaps, price discovery, regime switch, intraday, arbitrage, transaction costs

23.

Safe and Liquid Mortgage Bonds: The Match Funding Principle

Number of pages: 66 Posted: 22 Dec 2015 Last Revised: 03 Nov 2016
Jens Dick-Nielsen and Jacob Gyntelberg
Copenhagen Business School - Department of Finance and Danske Bank
Downloads 0 (297,057)

Abstract:

Mortgage bonds, Covered bonds, Housing crisis, Market design, Banking regulation, Financial intermediation