Gunter Löffler

University of Ulm - Department of Mathematics and Economics

Helmholzstrasse

Ulm, D-89081

Germany

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 7,414

SSRN RANKINGS

Top 7,414

in Total Papers Downloads

5,637

CITATIONS
Rank 8,869

SSRN RANKINGS

Top 8,869

in Total Papers Citations

50

Scholarly Papers (20)

1.

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

EFMA 2001 Lugano Meetings
Number of pages: 36 Posted: 10 May 2001
Hergen Frerichs and Gunter Löffler
affiliation not provided to SSRN and University of Ulm - Department of Mathematics and Economics
Downloads 1,258 (14,090)
Citation 2

Abstract:

Loading...

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

2.

An Anatomy of Rating Through the Cycle

EFA 2001 Barcelona Meetings
Number of pages: 33 Posted: 06 Jul 2001
Gunter Löffler
University of Ulm - Department of Mathematics and Economics
Downloads 749 (30,286)
Citation 25

Abstract:

Loading...

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

3.

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
University of Ulm - Department of Mathematics and Economics
Downloads 523 (48,708)
Citation 1

Abstract:

Loading...

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

4.

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

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 27 Posted: 11 Mar 2002
Gunter Löffler, Patrick Panther and Erik Theissen
University of Ulm - Department of Mathematics and Economics, Johann Wolfgang Goethe Universitat and University of Mannheim - Finance Area
Downloads 519 (49,191)
Citation 10

Abstract:

Loading...

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

5.

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
University of Ulm - Department of Mathematics and Economics
Downloads 499 (51,716)

Abstract:

Loading...

Predictability, Stock Market, Dividend yield, Skyscrapers

6.

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
University of Ulm - Department of Mathematics and Economics and Deutsche Bundesbank - Research Department
Downloads 300 (94,306)

Abstract:

Loading...

Systemic Risk; CoVaR; Marginal Expected Shortfall; Tail Risk

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 University of Ulm - Department of Mathematics and Economics
Downloads 242 (117,783)

Abstract:

Loading...

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

A Long‐Run Performance Perspective on the Technology Bubble

Financial Review, Vol. 53, Issue 2, pp. 379-412, 2018
Number of pages: 34 Posted: 03 Apr 2018
Maximilian Franke and Gunter Löffler
Ulm University and University of Ulm - Department of Mathematics and Economics
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

8.

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

Number of pages: 41 Posted: 01 Jul 2016 Last Revised: 04 Feb 2018
Gunter Löffler, Lars Norden and Alexander Rieber
University of Ulm - Department of Mathematics and Economics, Getulio Vargas Foundation (FGV) - Brazilian School of Public and Business Administration (EBAPE) and University of Ulm
Downloads 233 (122,788)

Abstract:

Loading...

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

9.

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
University of Ulm - Department of Mathematics and Economics
Downloads 220 (129,987)
Citation 1

Abstract:

Loading...

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

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
University of Ulm - Department of Mathematics and Economics and Deutsche Bundesbank - Research Department
Downloads 153 (180,687)

Abstract:

Loading...

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
University of Ulm - Department of Mathematics and Economics and Deutsche Bundesbank - Research Department
Downloads 45 (388,671)

Abstract:

Loading...

Systemic Risk, CoVaR, Marginal Expected Shortfall, Tail Risk

11.

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

EFMA 2004 Basel Meetings Paper
Number of pages: 28 Posted: 14 May 2004
Gunter Löffler
University of Ulm - Department of Mathematics and Economics
Downloads 198 (143,584)
Citation 10

Abstract:

Loading...

credit ratings, rating agencies, investment restrictions

12.

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 University of Ulm - Department of Mathematics and Economics
Downloads 181 (155,930)

Abstract:

Loading...

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

13.

Incorporating the Dynamics of Leverage into Default Prediction

Number of pages: 33 Posted: 24 Mar 2011
Gunter Löffler and Alina Maurer
University of Ulm - Department of Mathematics and Economics and University of Ulm - Department of Mathematics and Economics
Downloads 160 (173,654)

Abstract:

Loading...

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

14.

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
University of Ulm - Department of Mathematics and Economics, TU Dortmund University and Independent
Downloads 156 (177,452)
Citation 1

Abstract:

Loading...

Credit scoring, Bayesian inference, bankruptcy prediction

15.

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
University of Ulm - Department of Mathematics and Economics, University of Ulm - Department of Mathematics and Economics, University of Ulm - Department of Mathematics and Economics and University of Ulm - Department of Mathematics and Economics
Downloads 109 (234,615)

Abstract:

Loading...

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

16.

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
affiliation not provided to SSRN, University of Ulm - Department of Mathematics and Economics, University of Ulm - Department of Mathematics and Economics and University of Ulm
Downloads 67 (316,935)

Abstract:

Loading...

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

17.

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
University of Ulm - Department of Mathematics and Economics and TU Dortmund University
Downloads 25 (464,185)

Abstract:

Loading...

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

18.

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 University of Ulm - Department of Mathematics and Economics

Abstract:

Loading...

contagion; Eurozone crisis; co-exceedanes; persistence

19.

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 University of Ulm - Department of Mathematics and Economics

Abstract:

Loading...

Intensity Estimation, Doubly stochastic, Default Correlation

20.

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
University of Ulm - Department of Mathematics and Economics

Abstract:

Loading...

default prediction, credit ratings, Merton approach