Christian C. P. Wolff

University of Luxembourg - Luxembourg School of Finance

Director, Professor of Finance

4, rue Albert Borschette

Luxembourg, 1246

Luxembourg

http://www.lsf.lu

Centre for Economic Policy Research (CEPR)

Research Fellow

London

United Kingdom

SCHOLARLY PAPERS

37

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80

Scholarly Papers (37)

1.
Downloads 1,094 ( 18,787)
Citation 6

Contingent Capital: The Case for COERCs

INSEAD Working Paper No. 2011/133/FIN
Number of pages: 54 Posted: 04 May 2011 Last Revised: 23 Dec 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 828 (27,727)
Citation 4

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Contingent Capital: The Case for COERCs

Number of pages: 49 Posted: 16 Mar 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 261 (115,575)
Citation 6

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Convertible bonds, bank capital, death spiral, debt overhang

Contingent Capital: The Case for COERCs

CEPR Discussion Paper No. DP8028
Number of pages: 46 Posted: 22 Nov 2010
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg - Luxembourg School of Finance
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Banks, Financial crisis, Financial stability, Security design

2.
Downloads 963 ( 22,677)
Citation 5

An Evaluation Framework for Alternative VAR Models

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 25 Posted: 21 Jan 2002
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 681 (36,262)
Citation 1

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

EFA 2003 Annual Conference Paper No. 111
Number of pages: 21 Posted: 31 Jul 2003
Christian C. P. Wolff, Dennis Bams and Thorsten Lehnert
University of Luxembourg - Luxembourg School of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 248 (121,881)

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

CEPR Discussion Paper No. 3403
Number of pages: 28 Posted: 16 Jul 2002
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 34 (457,183)
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Value-at-risk, financial time series, exchange rate positions, GARCH, estimation risk, fat tail distributions

3.

A Cumulative Prospect Theory Approach to Option Pricing

Number of pages: 36 Posted: 30 Nov 2010
Cokki Versluis, Thorsten Lehnert and Christian C. P. Wolff
Independent, University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 545 (49,302)
Citation 4

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Prospect Theory, Framing, Mental Accounting, Risk Attitude, Loss Aversion, Probability Perception, Weighting Function, Stochastic Volatility, Option Pricing

4.

Extreme Us Stock Market Fluctuations in the Wake of 9/11

AFA 2004 San Diego Meetings
Number of pages: 27 Posted: 08 Dec 2003
Stefan Straetmans, Willem F. C. Verschoor and Christian C. P. Wolff
Maastricht University, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg - Luxembourg School of Finance
Downloads 418 (68,539)
Citation 6

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Market Crashes, Bivariate Extreme Value Analysis, Extreme Co-movements, heavy tails, Value-at-Risk, tail beta, extreme dependence

Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration

Number of pages: 24 Posted: 07 Mar 2005
Michel R. van Tol and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg - Luxembourg School of Finance
Downloads 380 (76,023)
Citation 1

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Multivariate threshold cointegration,TAR models, Foreign exchange

Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration

CEPR Discussion Paper No. 4958
Number of pages: 27 Posted: 27 Jul 2005
Michel R. van Tol and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg - Luxembourg School of Finance
Downloads 18 (549,697)
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Multivariate threshold cointegration, TAR models, foreign exchange

Are Capital Requirements on Small Business Loans Flawed?

Best AFFI 2016 paper in banking & insurance
Number of pages: 53 Posted: 09 Aug 2012 Last Revised: 06 Nov 2018
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 231 (130,978)
Citation 1

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Small business credit risk, capital charges, default correlation, factor models

Are Capital Requirements on Small Business Loans Flawed?

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 53 Posted: 13 Dec 2015 Last Revised: 06 Nov 2018
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 61 (356,551)
Citation 1

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Small business credit risk; IRB capital requirements; asset correlations; lending regulation.

Leverage and Risk in US Commercial Banking in the Light of the Current Financial Crisis

Luxembourg School of Finance (LSF) Research Working Paper Series, No 10-12
Number of pages: 26 Posted: 15 Mar 2010 Last Revised: 15 Nov 2013
Christian C. P. Wolff and Nikolaos I. Papanikolaou
University of Luxembourg - Luxembourg School of Finance and Bournemouth University - Business School
Downloads 283 (106,080)

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financial crisis, risk, leverage, commercial banking

Leverage and Risk in US Commercial Banking in the Light of the Current Financial Crisis

CEPR Discussion Paper No. DP10890
Number of pages: 27 Posted: 20 Oct 2015
Nikolaos I. Papanikolaou and Christian C. P. Wolff
Bournemouth University - Business School and University of Luxembourg - Luxembourg School of Finance
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commercial banking, financial crisis, leverage, risk

8.
Downloads 213 (142,225)
Citation 1

Contingent Capital: The Case of COERCs

AFA 2013 San Diego Meetings Paper
Number of pages: 54 Posted: 16 Mar 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg - Luxembourg School of Finance, University of Illinois and INSEAD - Finance
Downloads 157 (187,300)
Citation 1

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crisis, banks, recapitalization, reverse convertible

Contingent Capital: The Case of COERCs

Number of pages: 53 Posted: 26 Jan 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg - Luxembourg School of Finance, University of Illinois and INSEAD - Finance
Downloads 56 (372,299)

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Loss Functions in Option Valuation: A Framework for Model Selection

EFA 2004 Maastricht Meetings Paper No. 3676
Number of pages: 22 Posted: 22 Jul 2004
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 153 (191,498)
Citation 1

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Option pricing, loss functions, estimation risk, GARCH, implied volatility

Loss Functions in Option Valuation: A Framework for Model Selection

CEPR Discussion Paper No. 4960
Number of pages: 24 Posted: 27 Jul 2005
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 8 (616,939)
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Option pricing, loss functions, estimation risk, GARCH, implied volatility

10.

Dispersion of Beliefs and Market Volatility in the Foreign Exchange Market

EFA 2006 Zurich Meetings
Number of pages: 33 Posted: 08 Mar 2006
Vrije Universiteit Amsterdam, Dutch Central Bank (DNB), University of Luxembourg - Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 138 (207,848)

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Exchange rate expectations, heterogeneity, dispersion of beliefs, bounded rationality, tail behaviour, survey data

11.

Chartists, Fundamentalists, and Dispersion in the Foreign Exchange Market

Number of pages: 34 Posted: 16 Mar 2009
Dutch Central Bank (DNB), University of Luxembourg - Luxembourg School of Finance, Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 136 (210,379)

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Chartists, exchange rate expectations, fundamentalists, heterogeneity, dispersion of beliefs, bounded rationality, survey data

12.

The Role of On- and Off-Balance-Sheet Leverage of Banks in the Late 2000s Crisis

Journal of Financial Stability 14, 2014, pp.3-22
Number of pages: 62 Posted: 17 Jan 2013 Last Revised: 04 Dec 2014
Nikolaos I. Papanikolaou and Christian C. P. Wolff
Bournemouth University - Business School and University of Luxembourg - Luxembourg School of Finance
Downloads 119 (233,105)

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bank leverage; deleveraging process; individual bank risk; systemic risk; financial crisis

13.

Spillovers to Small Business Credit Risk

Number of pages: 49 Posted: 28 Oct 2013 Last Revised: 06 Nov 2018
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 110 (246,695)
Citation 1

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Spillover effects, supply chain, small businesses, credit risk

Are Capital Controls in the Foreign Exchange Market Effective?

Number of pages: 38 Posted: 24 Feb 2008
Stefan Straetmans, Roald J. Versteeg and Christian C. P. Wolff
Maastricht University, University of London - Economics, Mathematics and Statistics and University of Luxembourg - Luxembourg School of Finance
Downloads 90 (284,323)
Citation 1

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Capital controls; Exchange Rates; Interest differentials; Forward Premia

Are Capital Controls in the Foreign Exchange Market Effective?

CEPR Discussion Paper No. DP6727
Number of pages: 39 Posted: 11 Jun 2008
Stefan Straetmans, Roald J. Versteeg and Christian C. P. Wolff
Maastricht University, University of London - Economics, Mathematics and Statistics and University of Luxembourg - Luxembourg School of Finance
Downloads 5 (638,453)
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Capital controls, Exchange Rates, Forward premia, Interest differentials, Monetary freedom

15.

Are Capital Controls in the Foreign Exchange Market Effective?

Number of pages: 34 Posted: 22 Jan 2009
Stefan Straetmans, Christian C. P. Wolff and Roald J. Versteeg
Maastricht University, University of Luxembourg - Luxembourg School of Finance and University of London - Economics, Mathematics and Statistics
Downloads 53 (376,208)
Citation 1

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Capital controls, Exchange Rates, Interest differentials, Forward premia, Monetary Freedom

16.

Modelling Scale-Consistent VAR with the Truncated Levy Flight

CEPR Discussion Paper No. 2711
Number of pages: 42 Posted: 26 Mar 2001
Thorsten Lehnert and Christian C. P. Wolff
University of Luxembourg and University of Luxembourg - Luxembourg School of Finance
Downloads 31 (459,948)
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Augmented GARCH process, in- and out-of-sample analysis, scale consistency, truncated Levy Flight, value-at-risk

17.

Foreign Exchange Rate Expectations: Survey and Synthesis

Journal of Economic Surveys, Vol. 22, No. 1, pp. 140-165, February 2008
Number of pages: 26 Posted: 31 Jan 2008
Ron Jongen, Willem F. C. Verschoor and Christian C. P. Wolff
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg - Luxembourg School of Finance
Downloads 25 (490,394)
Citation 1
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18.

Risk Premia in the Term Structure of Interest Rates: A Panel Data Approach

CEPR Discussion Paper No. 2392
Number of pages: 35 Posted: 05 Apr 2002
Dennis Bams and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg - Luxembourg School of Finance
Downloads 25 (490,394)
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Expectations hypothesis, risk premium

19.

More Evidence on the Dollar Risk Premium in the Foreign Exchange Market

CEPR Discussion Paper No. 3726
Number of pages: 31 Posted: 27 Feb 2003
Dennis Bams, Kim Walkowiak and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg - Luxembourg School of Finance
Downloads 24 (495,962)
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Forward exchange, risk

20.

Time Variation in Term Premia: International Evidence

CEPR Discussion Paper No. 4959
Number of pages: 34 Posted: 27 Jul 2005
Ron Jongen, Willem F. C. Verschoor and Christian C. P. Wolff
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg - Luxembourg School of Finance
Downloads 16 (542,110)
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Interest rate expectations, EMS, expectations hypothesis, rationality, survey data, term structure, time-varying term premia

21.

Skewness Risk Premium: Theory and Empirical Evidence

CEPR Discussion Paper No. DP9349
Number of pages: 35 Posted: 21 Feb 2013
Thorsten Lehnert, Yuehao Lin and Christian C. P. Wolff
University of Luxembourg, Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 4 (617,855)
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asset pricing, central moments, investor sentiment, option markets, risk aversion, skewness risk premium

22.

Dispersion of Beliefs in the Foreign Exchange Market

CEPR Discussion Paper No. DP6738
Number of pages: 46 Posted: 11 Jun 2008
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics, University of Luxembourg - Luxembourg School of Finance and Vrije Universiteit Amsterdam
Downloads 3 (625,847)
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exchange rates, expectations, heterogeneity, survey data

23.

Euro at Risk: The Impact of Member CountriesÂ’' Credit Risk on the Stability of the Common Currency

CEPR Discussion Paper No. DP9229
Number of pages: 35 Posted: 01 Feb 2013
Luxembourg School of Finance, Central Bank of Luxembourg, University of Luxembourg, Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 2 (635,688)
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credit default swaps, currency options, currency stability, European sovereign debt crisis, risk-neutral distribution

24.

Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies

CEPR Discussion Paper No. DP13854
Number of pages: 53 Posted: 30 Jul 2019
J. Thomas Connelly and Christian C. P. Wolff
Chulalongkorn University - Faculty of Commerce and Accountancy and University of Luxembourg - Luxembourg School of Finance
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agency conflicts, control, Family ownership, Payout policy

The Determinants of CoCo Bond Prices

INSEAD Working Paper No. 2018/50/FIN
Posted: 15 Oct 2018 Last Revised: 08 Jan 2019
Sara Abed Masror Khah, Theo Vermaelen and Christian C. P. Wolff
Universite du Luxembourg, INSEAD - Finance and University of Luxembourg - Luxembourg School of Finance

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The Determinants of CoCo Bond Prices

INSEAD Working Paper No. 2018/50/FIN
Posted: 15 Oct 2018
Sara Abed Masror Khah, Theo Vermaelen and Christian C. P. Wolff
Universite du Luxembourg, INSEAD - Finance and University of Luxembourg - Luxembourg School of Finance

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26.

Trading in Style: Retail Investors vs. Institutions

CEPR Discussion Paper No. DP12462
Number of pages: 35 Posted: 01 Dec 2017
Christian C. P. Wolff
University of Luxembourg - Luxembourg School of Finance
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27.

Cross-Border Mergers and Acquisitions: Evidence from the Indochina Region

CEPR Discussion Paper No. DP12078
Number of pages: 14 Posted: 05 Jun 2017
Manapol Ekkayokkaya, Pimnipa Foojinphan and Christian C. P. Wolff
Chulalongkorn University - Department of Banking & Finance, Chulalongkorn University and University of Luxembourg - Luxembourg School of Finance
Downloads 0 (666,172)
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colonial history, Foreign direct investment, South-East Asia

28.

Does the CAMEL Bank Ratings System Follow a Procyclical Pattern?

CEPR Discussion Paper No. DP10965
Number of pages: 20 Posted: 01 Dec 2015
Nikolaos I. Papanikolaou and Christian C. P. Wolff
Bournemouth University - Business School and University of Luxembourg - Luxembourg School of Finance
Downloads 0 (666,172)
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CAMELS ratings, financial crisis, financial stability, procyclicality

29.

Credit Risk Characteristics of US Small Business Portfolios

CEPR Discussion Paper No. DP10889
Number of pages: 39 Posted: 20 Oct 2015
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
Maastricht University - Department of Finance, WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 0 (666,172)
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capital requirements

30.

Ripple Effects from Industry Defaults

CEPR Discussion Paper No. DP10891
Number of pages: 43 Posted: 20 Oct 2015
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
Maastricht University - Department of Finance, WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
Downloads 0 (666,172)
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default clustering, default risk transmission, market structure, supply chain

31.

Time-Varion in Term Premia

Posted: 07 Mar 2008
Willem F. C. Verschoor, Ron Jongen and Christian C. P. Wolff
Vrije Universiteit Amsterdam, School of Business and Economics, Dutch Central Bank (DNB) and University of Luxembourg - Luxembourg School of Finance

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Interest rate expectations, expectations hypothesis, rationality, survey data, term structure, time-varying term premia

32.

Survey Data and the Interest Rate Sensitivity of Us Bank Stock Returns

Economic Notes, Vol. 29, Issue 2, July 2000
Posted: 10 Jul 2000
Christian C. P. Wolff and H.A. Benink
University of Luxembourg - Luxembourg School of Finance and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

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33.

The Dynamics of Short-Term Interest Rate Volatility Reconsidered

Posted: 15 Sep 1999
Tilburg University - Department of Finance, MeesPierson Investment Bank, Maastricht University - Department of Finance and University of Luxembourg - Luxembourg School of Finance

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34.

Stochastic Trends and Jumps in EMS Exchange Rates

Posted: 14 Sep 1999
Fred Nieuwland, Willem F. C. Verschoor and Christian C. P. Wolff
Maastricht University - Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg - Luxembourg School of Finance

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35.

Interest Expectations and Exchange Rates News

Empirical Economics, Vol. 23, Issue 4, 1998
Posted: 18 May 1999
Brinson Partners, Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg - Luxembourg School of Finance

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36.

On the Biasedness of Forward Foreign Exchange Rates: Irrationality of Risk Premia?

Posted: 11 Jan 1995
Stefano Cavaglia, Willem F. C. Verschoor and Christian C. P. Wolff
Brinson Partners, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg - Luxembourg School of Finance

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37.

On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?

Journal of Business, Vol 67, No 3, July 1994
Posted: 29 Jun 1994
Stefano Cavaglia, Willem F. C. Verschoor and Christian C. P. Wolff
Brinson Partners, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg - Luxembourg School of Finance

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Other Papers (1)

Total Downloads: 250
1.

A Prospect Approach to Option Pricing

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 11 Mar 2008
Christian C. P. Wolff, Thorsten Lehnert and Cokki Versluis
University of Luxembourg - Luxembourg School of Finance, University of Luxembourg and Independent
Downloads 250

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Prospect Theory, Framing, Mental Accounting, Risk attitude, Loss aversion, Probability