Gunter Löffler

Ulm University

Helmholzstrasse

Ulm, D-89081

Germany

  • Ulm University

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SCHOLARLY PAPERS

28

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TOTAL CITATIONS
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Top 14,155

in Total Papers Citations

95

Scholarly Papers (28)

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1.

Evaluating Credit Risk Models: A Critique and a Proposal (New Version)

Number of pages: 36 Posted: 10 May 2001
Hergen Frerichs and Gunter Löffler
affiliation not provided to SSRN and Ulm University
Downloads 1,392 (30,430)
Citation 4

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Credit risk, backtesting, density forecasts, model validation, bank regulation

2.

An Anatomy of Rating Through the Cycle

Number of pages: 33 Posted: 06 Jul 2001
Gunter Löffler
Ulm University
Downloads 890 (57,684)
Citation 21

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Credit ratings, rating agencies, credit cycles, Kalman filter, efficiency, conservatism

3.

How Effectively Do Green Bonds Help the Environment?

Number of pages: 46 Posted: 05 May 2022 Last Revised: 15 Nov 2023
Mona ElBannan and Gunter Löffler
German University in Cairo and Ulm University
Downloads 638 (89,401)
Citation 10

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Green bonds; carbon emissions; climate change; sustainable finance

4.

Tower Building and Stock Market Returns

Journal of Financial Research, Forthcoming
Number of pages: 39 Posted: 22 Mar 2011 Last Revised: 14 Apr 2013
Gunter Löffler
Ulm University
Downloads 600 (96,661)

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Predictability, Stock Market, Dividend yield, Skyscrapers

5.

Caught in the Housing Crash: Model Failure or Management Failure?

Number of pages: 37 Posted: 13 Jan 2009 Last Revised: 10 Oct 2011
Gunter Löffler
Ulm University
Downloads 599 (96,877)

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housing crash, risk management, forecasting, stress scenario, ARIMA

6.

Who Knows What When? - the Information Content of Pre-Ipo Market Prices

Number of pages: 27 Posted: 11 Mar 2002
Gunter Löffler, Patrick Panther and Erik Theissen
Ulm University, Johann Wolfgang Goethe Universitat and University of Mannheim - Finance Area
Downloads 585 (99,839)
Citation 15

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Initial public offerings, underpricing, when-issued trading, asymmetric information, winner's curse, information production

7.

Pitfalls in the Use of Systemic Risk Measures

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 56 Posted: 12 Apr 2015 Last Revised: 21 Oct 2017
Gunter Löffler and Peter Raupach
Ulm University and Deutsche Bundesbank - Research Department
Downloads 465 (132,336)
Citation 7

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Systemic Risk; CoVaR; Marginal Expected Shortfall; Tail Risk

8.

Negative News and the Stock Market Impact of Tone in Rating Reports

Number of pages: 49 Posted: 01 Jul 2016 Last Revised: 29 Jul 2020
Gunter Löffler, Lars Norden and Alexander Rieber
Ulm University, Getulio Vargas Foundation (FGV) - Brazilian School of Public and Business Administration (EBAPE) and Ulm University
Downloads 433 (144,030)
Citation 3

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Credit rating, negative news, overreaction, underreaction, textual analysis

9.

A Long-Run Performance Perspective on the Technology Bubble

The Financial Review, 2017
Number of pages: 47 Posted: 23 Dec 2015 Last Revised: 16 Oct 2017
Maximilian Franke and Gunter Löffler
Ulm University and Ulm University
Downloads 421 (148,888)

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Internet stocks, tech stocks, bubble, long-run abnormal performance

10.

Bayesian Methods for Improving Credit Scoring Models

Number of pages: 26 Posted: 13 Jun 2005 Last Revised: 23 Oct 2010
Gunter Löffler, Peter N. Posch and Christiane Schone
Ulm University, TU Dortmund University and Independent
Downloads 388 (163,262)
Citation 3

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Credit scoring, Bayesian inference, bankruptcy prediction

11.

Robustness and Informativeness of Systemic Risk Measures

Downloads 333 (193,070)
Citation 14

Robustness and Informativeness of Systemic Risk Measures

Number of pages: 42 Posted: 14 May 2013 Last Revised: 02 Apr 2017
Gunter Löffler and Peter Raupach
Ulm University and Deutsche Bundesbank - Research Department
Downloads 212 (304,293)
Citation 14

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Systemic Risk, CoVaR, Marginal Expected Shortfall, Tail Risk

Robustness and Informativeness of Systemic Risk Measures

Bundesbank Discussion Paper No. 04/2013
Number of pages: 40 Posted: 21 Jun 2016
Gunter Löffler and Peter Raupach
Ulm University and Deutsche Bundesbank - Research Department
Downloads 121 (495,919)

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Systemic Risk, CoVaR, Marginal Expected Shortfall, Tail Risk

12.

Predicting the Equity Premium with Combination Forecasts: A Reappraisal

Number of pages: 55 Posted: 25 May 2022 Last Revised: 28 Mar 2024
Sebastian Denk and Gunter Löffler
affiliation not provided to SSRN and Ulm University
Downloads 331 (194,342)

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Equity premium, return predictability, forecast combination

13.

Can Market Discipline Work in the Case of Rating Agencies? Some Lessons from Moody’s Stock Price

Number of pages: 28 Posted: 02 Mar 2007 Last Revised: 12 Apr 2013
Gunter Löffler
Ulm University
Downloads 323 (199,507)

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credit rating agencies, rating quality, oligopoly, market discipline, reputational capital

14.

Predicting the Equity Premium with the Demand for Gold Coins and Bars

FIRN Research Paper
Number of pages: 15 Posted: 05 Jun 2013 Last Revised: 06 Feb 2015
Dirk G. Baur and Gunter Löffler
University of Western Australia - Business School and Ulm University
Downloads 273 (238,309)

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equity premium, stock returns, gold, gold coins, dividend yield, predictive regressions

15.

Ratings Versus Equity-Based Measures of Default Risk in Portfolio Governance

Number of pages: 28 Posted: 14 May 2004
Gunter Löffler
Ulm University
Downloads 241 (270,074)
Citation 5

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credit ratings, rating agencies, investment restrictions

16.

Incorporating the Dynamics of Leverage into Default Prediction

Number of pages: 33 Posted: 24 Mar 2011
Gunter Löffler and Alina Maurer
Ulm University and Ulm University - Department of Mathematics and Economics
Downloads 236 (275,619)
Citation 7

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default prediction, discrete duration model, leverage targeting, mean reversion, credit rating

17.

Valuation and Design of Sustainability-Linked Bonds

Number of pages: 40 Posted: 20 Dec 2023 Last Revised: 20 Jul 2024
An Chen, Maria Hinken and Gunter Löffler
Ulm University - Institute of Insurance Science, Ulm University - Institute of Insurance Science and Ulm University
Downloads 229 (283,882)

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sustainability, bonds, security design, coupon step-up, default

18.

European versus Anglo-Saxon Credit View: Evidence from the Eurozone Sovereign Debt Crisis

Number of pages: 44 Posted: 19 Dec 2016 Last Revised: 29 Apr 2018
Marc Altdörfer, Carlos De las Salas Vega, Andre Guettler and Gunter Löffler
Ulm University - Department of Mathematics and Economics, University of Ulm - Department of Mathematics and Economics, Ulm University - Department of Mathematics and Economics and Ulm University
Downloads 193 (333,569)

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Credit rating agencies, sovereign debt crisis, Eurozone, home bias

19.

Analyst Distance and Credit Rating Consistency

Number of pages: 58 Posted: 29 Jun 2020
Marc Altdörfer, Andre Guettler and Gunter Löffler
Ulm University - Department of Mathematics and Economics, Ulm University - Department of Mathematics and Economics and Ulm University
Downloads 187 (343,395)
Citation 1

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Credit ratings, Distance, Home bias, Default risk, Credit analysts

20.

Measuring the Effects of Geographical Distance on Stock Market Correlation

Journal of Empirical Finance, Vol. 18, No. 2, 2011
Number of pages: 20 Posted: 24 Mar 2011
Stefanie Eckel, Gunter Löffler, Alina Maurer and Volker Schmidt
affiliation not provided to SSRN, Ulm University, Ulm University - Department of Mathematics and Economics and Ulm University - Institute of Stochastics
Downloads 131 (463,716)
Citation 2

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stock returns, residual correlation, mark correlation function, spatial correlation, investor sentiment

21.

The Systemic Risk Implications of Using Credit Ratings Versus Quantitative Measures to Limit Bond Portfolio Risk

Journal of Financial Services Research (2019)
Number of pages: 37 Posted: 20 May 2019 Last Revised: 22 Jun 2019
Gunter Löffler
Ulm University
Downloads 130 (466,584)

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ratings, structural models of default risk, systemic risk, portfolio risk

22.

Equity Premium Forecasts Tend to Perform Worse against a Buy-And-Hold Benchmark

Gunter Löffler (2022), "Equity Premium Forecasts Tend to Perform Worse Against a Buy-and-Hold Benchmark", Critical Finance Review: Vol. 11: No. 1, pp 65-77. http://dx.doi.org/10.1561/104.00000110
Number of pages: 19 Posted: 19 May 2022
Gunter Löffler
Ulm University
Downloads 98 (576,169)
Citation 3

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equity premium, predictability, out-of-sample, utility gains

23.

Benchmarking Equity Premium Forecasts: Using the Full History Makes the Benchmark More Stringent

Number of pages: 21 Posted: 07 Jun 2022
Gunter Löffler
Ulm University
Downloads 74 (681,713)

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equity premium; predictability; benchmark; out-of-sample

24.

Wall Street’s Bailout Bet: Market Reactions to House Price Releases in the Presence of Bailout Expectations

Journal of Banking and Finance, vol. 37(12), pages 5147-5158, 2013.
Number of pages: 40 Posted: 11 Dec 2010 Last Revised: 10 Mar 2016
Gunter Löffler and Peter N. Posch
Ulm University and TU Dortmund University
Downloads 54 (802,255)

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Financial crisis, announcement effects, house prices, bail-out

25.

Does the Value Premium Decline with Investor Interest in Value?

Journal of Behavioral Finance, Forthcoming
Posted: 13 Nov 2019 Last Revised: 14 Jan 2020
Gunter Löffler
Ulm University

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value premium; investor interest; n-grams

26.

Is Contagion Infecting Your Portfolio? A Study of the Euro Sovereign Debt Crisis

Journal of Fixed Income, Vol. 25, No. 3, 2016
Posted: 15 Nov 2017
Dirk G. Baur and Gunter Löffler
University of Western Australia - Business School and Ulm University

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contagion; Eurozone crisis; co-exceedanes; persistence

27.

Corporate Bond Defaults are Consistent with Conditional Independence

Journal of Credit Risk, Forthcoming
Posted: 24 Jun 2010
Florian Kramer and Gunter Löffler
Allianz Investment Management SE and Ulm University

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Intensity Estimation, Doubly stochastic, Default Correlation

28.

The Complementary Nature of Ratings and Market-Based Measures of Default Risk

Journal of Fixed Income, Vol. 17, Summer 2007
Posted: 17 Jul 2007
Gunter Löffler
Ulm University

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default prediction, credit ratings, Merton approach