Steffen Sorensen

Moody's Investor Services

Vice President

New York, NY 10007

United States

SCHOLARLY PAPERS

8

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Top 9,557

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4,826

SSRN CITATIONS
Rank 14,829

SSRN RANKINGS

Top 14,829

in Total Papers Citations

10

CROSSREF CITATIONS

46

Scholarly Papers (8)

1.

The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective

Bank of England Working Paper No. 339
Number of pages: 40 Posted: 02 Mar 2007
Mathias Drehmann, Steffen Sorensen and Marco Stringa
Bank for International Settlements (BIS), Moody's Investor Services and Bank of England
Downloads 2,510 (4,915)
Citation 12

Abstract:

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Integration of credit risk and interest rate risk, asset and liability management of banks, economic value, stress testing

2.

Stress Tests of UK Banks Using a VAR Approach

Bank of England Working Paper Series No. 282
Number of pages: 43 Posted: 29 Dec 2005
Glenn Hoggarth, Steffen Sorensen and Lea Zicchino
Bank of England, Moody's Investor Services and Prometeia SpA
Downloads 1,734 (9,179)
Citation 35

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Macro stress testing, bank fragility, loan write-offs, VAR analysis

3.

Extracting Inflation Expectations and Inflation Risk Premia from the Term Structure: A Joint Model of the UK Nominal and Real Yield Curves

Bank of England Working Paper No. 360
Number of pages: 48 Posted: 17 Feb 2009
Michael Joyce, Peter M. Lildholdt and Steffen Sorensen
Bank of England - Monetary Analysis, Bank of England - Monetary Analysis and Moody's Investor Services
Downloads 225 (135,705)
Citation 15

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Inflation expectations, inflation risk premia, affine term structure model

4.

The Asymmetric Effect of the Business Cycle on the Relation between Stock Market Returns and Their Volatility

University of York, Discussion Paper No. 2006/03
Number of pages: 37 Posted: 03 Mar 2005
Peter N. Smith, Steffen Sorensen and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 205 (148,213)

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Stock returns, asymmetry

5.

Measuring Monetary Policy Expectations from Financial Market Instruments

Bank of England Working Paper No. 356, ECB Working Paper No. 978
Number of pages: 51 Posted: 23 Dec 2008
Michael Joyce, Jonathan Relleen and Steffen Sorensen
Bank of England - Monetary Analysis, Bank of England and Moody's Investor Services
Downloads 91 (281,652)

Abstract:

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Interest rates, forecasting, term premia

6.

Recent Advances in Extracting Policy-Relevant Information from Market Interest Rates

Bank of England Quarterly Bulletin, 2008 Q2
Number of pages: 10 Posted: 18 Jun 2008
Michael Joyce, Steffen Sorensen and Olaf Weeken
Bank of England - Monetary Analysis, Moody's Investor Services and Bank of England - Monetary Analysis
Downloads 57 (365,589)
Citation 1

Abstract:

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7.

The Equity Premium and the Business Cycle: The Role of Demand and Supply Shocks

CEPR Discussion Paper No. DP7227
Number of pages: 34 Posted: 07 Apr 2009
Peter N. Smith, Steffen Sorensen and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of Cardiff; Centre for Economic Policy Research (CEPR)
Downloads 4 (621,928)
Citation 1
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business cycles, demand and supply shocks, equity premium, stock returns

8.

Recent Advances in Extracting Policy-Relevant Information from Market Interest Rates

Posted: 09 Jul 2008
Steffen Sorensen
Moody's Investor Services

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term structure, monetary policy