Peter Raupach

Deutsche Bundesbank - Research Department

Research Economist

Wilhelm-Epstein-Str. 14

Frankfurt, 60431

Germany

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 26,012

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Top 26,012

in Total Papers Downloads

1,758

CITATIONS
Rank 16,373

SSRN RANKINGS

Top 16,373

in Total Papers Citations

30

Scholarly Papers (10)

1.

The Valuation of Employee Stock Options - How Good is the Standard?

EFA 2003 Annual Conference Paper
Number of pages: 29 Posted: 11 Apr 2003
Peter Raupach
Deutsche Bundesbank - Research Department
Downloads 602 (43,066)
Citation 2

Abstract:

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Employee stock options, Executive stock options, Barrier options, Exercise Behavior, Fair value accounting

2.

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 335 (88,109)
Citation 7

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Systemic Risk; CoVaR; Marginal Expected Shortfall; Tail Risk

3.

The Impact of Downward Rating Momentum

Journal of Financial Services Research, Vol. 37, pp. 1–23, 2010
Number of pages: 34 Posted: 04 Jan 2007 Last Revised: 06 Apr 2010
Andre Guettler and Peter Raupach
University of Ulm - Department of Mathematics and Economics and Deutsche Bundesbank - Research Department
Downloads 282 (106,322)
Citation 1

Abstract:

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Rating drift, Downward momentum, Credit portfolio risk, Value-at-Risk, Bond portfolio management, Calibration

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 158 (185,007)
Citation 11

Abstract:

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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 52 (382,729)

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Systemic Risk, CoVaR, Marginal Expected Shortfall, Tail Risk

5.
Downloads 189 (157,805)
Citation 9

Centrality-Based Capital Allocations

Number of pages: 41 Posted: 16 Jun 2014 Last Revised: 19 Dec 2014
Adrian Alter, Ben R. Craig and Peter Raupach
International Monetary Fund, Federal Reserve Bank of Cleveland and Deutsche Bundesbank - Research Department
Downloads 95 (272,523)
Citation 6

Abstract:

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interconnectedness, systemic risk, capital requirements, regulation, eigenvector

Centrality-Based Capital Allocations

FRB of Cleveland Working Paper No. 15-01
Number of pages: 41 Posted: 19 Feb 2015
Adrian Alter, Ben R. Craig and Peter Raupach
International Monetary Fund, Federal Reserve Bank of Cleveland and Deutsche Bundesbank - Research Department
Downloads 48 (396,773)
Citation 3

Abstract:

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interbank connectivity, credit exposures, capital requirements, banking system, bank contagion, network centrality measure, bankruptcy costs, systemic risk.

Centrality-Based Capital Allocations

IMF Working Paper No. 14/237
Number of pages: 41 Posted: 06 Feb 2015
Adrian Alter, Ben R. Craig and Peter Raupach
International Monetary Fund, Federal Reserve Bank of Cleveland and Deutsche Bundesbank - Research Department
Downloads 39 (431,611)

Abstract:

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Banking systems, Interconnectedness, Capital requirements, Credit risk, Systemic risk, Financial contagion, Econometric models, SIFIs, network analysis, banks, loans, lending, value, balance sheet, bankruptcy, financial institutions, migration, externalities, equity, property, interest, services, principal, risk management, industry, markets, foreign banks, financial services, pricing, market value, cooperative banks, commercial banks, risk factors, financial stability, debt, probability of default, present value, capitalization, payment systems, saving, bank failures, financial systems, maturities, banking supervision, financial markets, deposits, insurance

Centrality-Based Capital Allocations

Bundesbank Discussion Paper No. 03/2015
Number of pages: 38 Posted: 21 Jun 2016
Adrian Alter, Ben R. Craig and Peter Raupach
International Monetary Fund, Federal Reserve Bank of Cleveland and Deutsche Bundesbank - Research Department
Downloads 7 (618,327)

Abstract:

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Capital Requirements, Centrality Measures, Contagion, Financial Stability

Calculating Trading Book Capital: Is Risk Separation Appropriate?

Number of pages: 44 Posted: 08 Jul 2015
Peter Raupach
Deutsche Bundesbank - Research Department
Downloads 55 (372,740)

Abstract:

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Economic capital, Bank capital requirements, Risk measures, Risk aggregation, Trading book

Calculating Trading Book Capital: Is Risk Separation Appropriate?

Bundesbank Discussion Paper No. 19/2015
Number of pages: 47 Posted: 21 Jun 2016
Peter Raupach
Deutsche Bundesbank - Research Department
Downloads 31 (468,000)

Abstract:

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Economic capital, Bank capital requirements, Risk measures, Risk aggregation, Trading book

7.
Downloads 24 (491,975)
Citation 2

The Common Drivers of Default Risk

Bundesbank Discussion Paper No. 36/2012
Number of pages: 36 Posted: 21 Jun 2016
Christoph Memmel, Yalin Gündüz and Peter Raupach
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Research Department
Downloads 24 (507,098)
Citation 5

Abstract:

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credit risk, systematic risk, maturity, stress tests

The Common Drivers of Default Risk

Journal of Financial Stability, Vol. 16, 232-247
Posted: 02 May 2014 Last Revised: 26 Mar 2015
Christoph Memmel, Yalin Gündüz and Peter Raupach
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Research Department

Abstract:

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Credit risk, Systematic risk, Maturity, Stress tests

8.

The Impact of Downward Rating Momentum on Credit Portfolio Risk

Bundesbank Series 2 Discussion Paper No. 2008,16
Number of pages: 44 Posted: 08 Jun 2016
Andre Guettler and Peter Raupach
University of Ulm - Department of Mathematics and Economics and Deutsche Bundesbank - Research Department
Downloads 17 (531,975)

Abstract:

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Rating drift, Downward momentum, Credit portfolio risk, Value-at-Risk

9.

How Do Banks Adjust Their Capital Ratios? Evidence from Germany

Bundesbank Series 2 Discussion Paper No. 2007,06
Number of pages: 36 Posted: 08 Jun 2016
Christoph Memmel and Peter Raupach
Deutsche Bundesbank and Deutsche Bundesbank - Research Department
Downloads 13 (555,423)
Citation 35

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Regulatory bank capital, target capital ratio, partial adjustment, Ornstein-Uhlenbeck process

10.

How Do Banks Adjust Their Capital Ratios?

Journal of Financial Intermediation, Vol. 19, No. 4, pp. 509-528, 2010
Posted: 16 Aug 2010 Last Revised: 19 Aug 2010
Christoph Memmel and Peter Raupach
Deutsche Bundesbank and Deutsche Bundesbank - Research Department

Abstract:

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Regulatory bank capital, Target capital ratio, Partial adjustment

Other Papers (1)

Total Downloads: 312
1.

Banking and Securitization

EFA 2007 Ljubljana Meetings Paper
Number of pages: 81 Posted: 06 Mar 2007 Last Revised: 21 Mar 2008
Wenying Jiangli, Matt Pritsker and Peter Raupach
U.S. Federal Deposit Insurance Corporation (FDIC), Federal Reserve Bank of Boston and Deutsche Bundesbank - Research Department
Downloads 312

Abstract:

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Banking, Securitization, Loan Sales