Oliver Entrop

University of Passau

Professor of Finance and Banking

Innstrasse 27

Passau, 94032

Germany

  • University of Passau

    • Email
    • Tel: +49 851 509 2460
    • Fax: +49 851 509 2462
SCHOLARLY PAPERS

30

DOWNLOADS
Rank 14,696

SSRN RANKINGS

Top 14,696

in Total Papers Downloads

5,722

SSRN CITATIONS
Rank 32,978

SSRN RANKINGS

Top 32,978

in Total Papers Citations

14

CROSSREF CITATIONS

14

Scholarly Papers (30)

Actions:
Email selected abstracts
1.

Estimating the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data

Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 17 Jun 2011
Oliver Entrop, Christoph Memmel, Marco Wilkens and Alexander Zeisler
University of Passau, Deutsche Bundesbank, University of Augsburg and affiliation not provided to SSRN
Downloads 1,137 (31,999)
Citation 7

Abstract:

Loading...

Interest rate risk, accounting-based approach, banking supervision, model evaluation

2.

Valuation Differences between Credit Default Swap and Corporate Bond Markets

Journal of Credit Risk, Vol. 9, No. 4, pp. 3-46, 2013
Number of pages: 44 Posted: 14 Aug 2010 Last Revised: 07 Jan 2014
Oliver Entrop, Richard Schiemert and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt and University of Augsburg
Downloads 835 (49,206)
Citation 1

Abstract:

Loading...

credit default swap, credit risk, corporate bond, stochastic intensity model

3.

Non-Maturing Assets and Liabilities of Banks: Valuation and Risk Measurement

22nd Australasian Finance and Banking Conference 2009
Number of pages: 40 Posted: 24 Aug 2009
Oliver Entrop, Arne Krombach, Christoph Memmel and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt, Deutsche Bundesbank and University of Augsburg
Downloads 747 (57,139)

Abstract:

Loading...

Interest rate risk, term structure model, interest rate pass-through, banking supervision, German financial institutions

4.

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Downloads 474 (101,400)
Citation 1

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Bundesbank Discussion Paper No. 56/2013
Number of pages: 47 Posted: 21 Jun 2016
Benedikt Ruprecht, Oliver Entrop, Thomas K. Kick and Marco Wilkens
Deutsche Bundesbank, University of Passau, Deutsche Bundesbank and University of Augsburg
Downloads 264 (191,852)

Abstract:

Loading...

Duration gap, Interest rate swaps, Selective hedging

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Deutsche Bundesbank Discussion Paper 56/2013
Number of pages: 47 Posted: 17 Feb 2014
Benedikt Ruprecht, Oliver Entrop, Thomas K. Kick and Marco Wilkens
Deutsche Bundesbank, University of Passau, Deutsche Bundesbank and University of Augsburg
Downloads 210 (239,726)
Citation 1

Abstract:

Loading...

Duration gap, Interest rate swaps, Selective hedging

5.

The Pricing Policy of Banks for Exchange-Traded Leverage Certificates: Interday and Intraday Effects

Number of pages: 40 Posted: 08 Feb 2011 Last Revised: 20 May 2013
Oliver Entrop, Alexander Schober and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 353 (142,211)
Citation 7

Abstract:

Loading...

Leverage Certificate, Life Cycle Hypothesis, Pricing Behavior, Gap Risk, Order Flow

6.

Performance Measurement for Option Portfolios in a Stochastic Volatility Framework

Number of pages: 40 Posted: 07 Feb 2018 Last Revised: 29 Nov 2019
Rainer Baule, Oliver Entrop and Sebastian Wessels
University of Hagen, University of Passau and University of Hagen
Downloads 320 (157,983)

Abstract:

Loading...

Performance Measurement, Option Portfolios, Stochastic Volatility, Heston, Nonlinearity, Volatility Risk, Option-Based Factors, Discrete Returns, Continuous Returns

7.

'Exchange Rate Risk' within the European Monetary Union? Analyzing the Exchange Rate Exposure of German Firms

Number of pages: 67 Posted: 07 Jan 2017 Last Revised: 14 Oct 2017
Oliver Entrop and Matthias Merkel
University of Passau and University of Passau
Downloads 314 (161,212)

Abstract:

Loading...

Currency risk, inflation differentials, single-currency area

8.

Spread Risk Premia in Corporate Credit Default Swap Markets

Credit and Capital Markets, Vol. 47, No. 4, pp. 571-610, 2014
Number of pages: 44 Posted: 18 Nov 2011 Last Revised: 16 Mar 2016
Oliver Entrop, Richard Schiemert and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt and University of Augsburg
Downloads 309 (163,894)

Abstract:

Loading...

credit default swap, default risk premium, default event risk premium, spread risk premium, mark-to-market risk premium, stochastic intensity model

9.

What drives Performance in the Speculative Market of Short-term Exchange-traded Retail Products?

Number of pages: 55 Posted: 29 Aug 2012 Last Revised: 01 Jul 2016
Stefanie Baller, Oliver Entrop, Alexander Schober and Marco Wilkens
University of Passau, University of Passau, University of Augsburg and University of Augsburg
Downloads 258 (197,255)
Citation 2

Abstract:

Loading...

Leverage Certificate; Warrant; Financial Innovation; Retail Investor

10.

Looking Beyond Banks’ Average Interest Rate Risk: Determinants of High Exposures

Quarterly Review of Economics and Finance, Forthcoming
Number of pages: 41 Posted: 15 Apr 2014 Last Revised: 15 Apr 2016
Oliver Entrop, Ludwig von la Hausse and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 154 (315,366)
Citation 4

Abstract:

Loading...

interest rate risk, banks, tail exposures, financial crisis

11.

Open-End Knock-Outs on Bond Futures: Valuation, Properties and Estimation of Hidden Profit Drivers

Number of pages: 47 Posted: 22 Apr 2014
Oliver Entrop, Christian Peters and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 152 (318,865)

Abstract:

Loading...

structured products, knock-out, price setting, German market, rollover

12.

The Valuation of Deposit Insurance in an Arbitrage-free Basel II Consistent Framework

Number of pages: 50 Posted: 06 Mar 2007
Oliver Entrop and Marco Wilkens
University of Passau and University of Augsburg
Downloads 140 (340,584)

Abstract:

Loading...

deposit insurance, loan portfolio, maturity gap, structural model

13.

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Downloads 121 (380,455)

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Bundesbank Discussion Paper No. 17/2012
Number of pages: 56 Posted: 21 Jun 2016
Oliver Entrop, Christoph Memmel, Benedikt Ruprecht and Marco Wilkens
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg
Downloads 121 (382,061)
Citation 6

Abstract:

Loading...

Interest rate risk, Interest margins, Maturity transformation

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Journal of Banking and Finance, Vol. 54, 2015, pp. 1-19
Posted: 07 Jul 2012 Last Revised: 06 Feb 2015
Oliver Entrop, Christoph Memmel, Benedikt Ruprecht and Marco Wilkens
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg

Abstract:

Loading...

term transformation, interest rate risk, optimal loan, deposit intermediation fees

14.

Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany

Bundesbank Series 2 Discussion Paper No. 2008,01
Number of pages: 48 Posted: 08 Jun 2016
Oliver Entrop, Christoph Memmel, Marco Wilkens and Alexander Zeisler
University of Passau, Deutsche Bundesbank, University of Augsburg and affiliation not provided to SSRN
Downloads 110 (407,626)

Abstract:

Loading...

German financial institutions, interest rate risk, accounting-based approach, maturity transformation, banking supervision, model evaluation

15.

Corporate Social Responsibility, Risk, and Firm Value: An Unconditional Quantile Regression Approach

Number of pages: 72 Posted: 14 Sep 2022 Last Revised: 19 Dec 2022
Oliver Entrop and Carl-Friederich Groesbrink
University of Passau and University of Passau
Downloads 94 (453,997)

Abstract:

Loading...

Unconditional Quantile Regression, Corporate Social Responsibility, ESG, Firm Risk, Volatility, Systematic Risk, Idiosyncratic Risk, Firm Value

16.

Local Religiosity and Stock Liquidity

Number of pages: 86 Posted: 30 Jan 2022 Last Revised: 01 Nov 2022
Oliver Entrop, Martin Rohleder and Marco Seruset
University of Passau, University of Augsburg and University of Passau - Business Administration and Economics
Downloads 88 (473,285)

Abstract:

Loading...

Religiosity, Liquidity, Information Asymmetry, Bid-Ask Spread, Geographic Location, Religious Social Norms

17.

Foreign Exchange Rate Exposure of Companies under Dynamic Regret

Number of pages: 71 Posted: 03 Sep 2019
Oliver Entrop and Fabian U. Fuchs
University of Passau and University of Passau, Chair of Finance and Banking
Downloads 77 (512,491)

Abstract:

Loading...

exchange rate exposure, regret aversion, hedging, risk aversion, derivatives

18.

IT-Exposure and Firm Value

Number of pages: 71 Posted: 14 Sep 2022 Last Revised: 19 Dec 2022
Oliver Entrop and Carl-Friederich Groesbrink
University of Passau and University of Passau
Downloads 39 (702,459)

Abstract:

Loading...

Firm Value, Information Technology, IT-Exposure, CapEx, R&D

19.

The Determinants of Price Discovery on Bitcoin Markets

Journal of Futures Markets, 2020, 40, 816-837
Posted: 02 Feb 2022
Oliver Entrop, Bart Frijns and Marco Seruset
University of Passau, Open University of the Netherlands - School of Management and University of Passau - Business Administration and Economics

Abstract:

Loading...

bitcoin, futures, price discovery

20.

Hedging Costs and Joint Determinants of Premiums and Spreads in Structured Financial Products

Journal of Futures Markets, Forthcoming
Posted: 29 Oct 2018 Last Revised: 26 Feb 2020
Oliver Entrop and Georg Fischer
University of Passau and University of Passau

Abstract:

Loading...

Discount Certificates, Derivatives, Pricing, Market Microstructure, Trading Costs, Hedging

21.

Managers’ Research Education, the Use of FX Derivatives and Corporate Speculation

Review of Managerial Science, Forthcoming
Posted: 09 Sep 2017 Last Revised: 16 Nov 2018
Oliver Entrop and Matthias Merkel
University of Passau and University of Passau

Abstract:

Loading...

FX Derivatives, Risk Management, Speculation, Behavioral Corporate Finance, PhD, Doctorate

22.

Market Makers’ Optimal Price-Setting Policy for Exchange-Traded Certificates

Journal of Banking and Finance, Vol. 71, 2016, 206-226
Posted: 05 Dec 2014 Last Revised: 25 Jul 2016
Stefanie Baller, Oliver Entrop, Michael D. McKenzie and Marco Wilkens
University of Passau, University of Passau, The University of Sydney - Discipline of Finance and University of Augsburg

Abstract:

Loading...

Structured Products, Structured Notes, Leverage Certificates, Pricing Behavior, Monopoly Pricing Model

23.

Individual Investors and Suboptimal Early Exercises in the Fixed-Income Market

Posted: 10 Sep 2014
Mathias Eickholt, Oliver Entrop and Marco Wilkens
University of Passau, University of Passau and University of Augsburg

Abstract:

Loading...

decision strategy, decision costs, transaction costs, putable bond

24.

What Makes Individual Investors Exercise Early? Empirical Evidence from Non-Tradable Fixed-Income Products

Journal of Banking and Finance, 97, 2018, 318-334
Posted: 05 Apr 2014 Last Revised: 05 Nov 2018
Mathias Eickholt, Oliver Entrop and Marco Wilkens
University of Passau, University of Passau and University of Augsburg

Abstract:

Loading...

early exercise, failure to exercise, liquidity demand, putable bond

25.

How Does Pricing Affect Investors’ Product Choice? Evidence from the Market for Discount Certificates

Journal of Banking and Finance, Vol. 68, 195-215
Posted: 31 Mar 2014 Last Revised: 24 Apr 2016
Oliver Entrop, Georg Fischer, Michael D. McKenzie, Marco Wilkens and Christoph Winkler
University of Passau, University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

Abstract:

Loading...

Structured products, Derivatives, Investor behavior, Product pricing

26.

The Performance of Individual Investors in Structured Financial Products

Review of Quantitative Finance and Accounting, Vol. 46, No. 3, 2016, pp. 569-604
Posted: 16 Dec 2012 Last Revised: 16 Mar 2016
Oliver Entrop, Michael D. McKenzie, Marco Wilkens and Christoph Winkler
University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

Abstract:

Loading...

structured products, derivatives, complexity, financial innovation, investor behavior

27.

Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Certificates

Journal of Futures Markets, Vol. 28, No. 4, pp. 376-397, 2008
Posted: 18 Mar 2008 Last Revised: 12 May 2008
Rainer Baule, Oliver Entrop and Marco Wilkens
University of Hagen, University of Passau and University of Augsburg

Abstract:

Loading...

Structured product, discount certificate, vulnerable option, credit risk margin

28.

The Price-Setting Behavior of Banks: An Analysis of Open-End Leverage Certificates on the German Market

Journal of Banking and Finance, Vol. 33, No. 5, pp. 874-882, 2009
Posted: 06 Mar 2008 Last Revised: 12 Aug 2010
Oliver Entrop, Hendrik Scholz and Marco Wilkens
University of Passau, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

Abstract:

Loading...

Structured products, Certificates, Hedging, German market, Pricing

29.

Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

European Financial Management, Forthcoming
Posted: 26 Feb 2008 Last Revised: 22 Apr 2009
Oliver Entrop, Alexander Zeisler and Marco Wilkens
University of Passau, affiliation not provided to SSRN and University of Augsburg

Abstract:

Loading...

interest rate risk, Basel Capital Accord, banking supervision, standardized interest rate shock

30.

The Performance of Investment Grade Corporate Bond Funds: Evidence from the European Market

European Journal of Finance, Vol. 15, No. 2, pp. 191-209, 2009
Posted: 27 Jul 2006 Last Revised: 13 Aug 2010
Leif Holger Dietze, Oliver Entrop and Marco Wilkens
Catholic University of Eichstaett-Ingolstadt, University of Passau and University of Augsburg

Abstract:

Loading...

performance measurement, European corporate bond market, investment grade corporate bond mutual funds, multi-index model, asset-class-factor model, Generalized Treynor Ratio