Peter Raupach

Deutsche Bundesbank - Research Department

Research Economist

Wilhelm-Epstein-Str. 14

Frankfurt, 60431

Germany

  • Deutsche Bundesbank - Research Department

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    • Tel: +49 69 9566 8536
SCHOLARLY PAPERS

12

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2,647

TOTAL CITATIONS
Rank 12,349

SSRN RANKINGS

Top 12,349

in Total Papers Citations

46

Scholarly Papers (12)

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1.

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

Number of pages: 29 Posted: 11 Apr 2003
Peter Raupach
Deutsche Bundesbank - Research Department
Downloads 651 (85,586)
Citation 4

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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 465 (129,986)
Citation 7

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Systemic Risk; CoVaR; Marginal Expected Shortfall; Tail Risk

3.

Centrality-Based Capital Allocations

Downloads 346 (182,108)
Citation 20

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 132 (452,935)
Citation 12

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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 101 (557,249)
Citation 5

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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 77 (661,067)
Citation 1

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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 36 (948,414)
Citation 2

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Capital Requirements, Centrality Measures, Contagion, Financial Stability

4.

Robustness and Informativeness of Systemic Risk Measures

Downloads 332 (190,425)
Citation 14

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 212 (298,504)
Citation 14

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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 120 (488,945)

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Systemic Risk, CoVaR, Marginal Expected Shortfall, Tail Risk

5.

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
Ulm University - Department of Mathematics and Economics and Deutsche Bundesbank - Research Department
Downloads 320 (198,030)

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

6.

Calculating Trading Book Capital: Is Risk Separation Appropriate?

Downloads 181 (347,000)

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 103 (549,348)

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

Calculating Trading Book Capital: Is Risk Separation Appropriate?

Number of pages: 44 Posted: 08 Jul 2015
Peter Raupach
Deutsche Bundesbank - Research Department
Downloads 78 (656,242)

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

7.

The Common Drivers of Default Risk

Downloads 113 (508,906)

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 113 (512,197)

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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

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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
Ulm University - Department of Mathematics and Economics and Deutsche Bundesbank - Research Department
Downloads 97 (567,454)

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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 82 (628,910)
Citation 1

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

10.

Banks' Credit Losses and Lending Dynamics

Deutsche Bundesbank Discussion Paper No. 36/2021
Number of pages: 48 Posted: 22 Nov 2021
Peter Raupach and Christoph Memmel
Deutsche Bundesbank - Research Department and Deutsche Bundesbank
Downloads 36 (923,749)

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Credit losses, Bank lending

11.

Banks’ Credit Losses and Lending Dynamics

Number of pages: 50 Posted: 11 Apr 2023
Peter Raupach and Christoph Memmel
Deutsche Bundesbank - Research Department and Deutsche Bundesbank
Downloads 24 (1,050,768)

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Credit losses, Bank lending

12.

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

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Regulatory bank capital, Target capital ratio, Partial adjustment

Other Papers (1)

Total Downloads: 562
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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 562

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Banking, Securitization, Loan Sales