Eva Lütkebohmert
(Eva Luetkebohmert)

Personal Details

First Name:	Eva
Middle Name:
Last Name:	Luetkebohmert
Suffix:
RePEc Short-ID:	plt6
	[This author has chosen not to make the email address public]
	http://www.prim.uni-freiburg.de

Affiliation

Wirtschaftswissenschaftliche Fakultät
Albert-Ludwigs-Universität Freiburg

Freiburg, Germany
http://portal.uni-freiburg.de/vwl/
RePEc:edi:wffrede (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Foos, Daniel & Lütkebohmert, Eva & Markovych, Mariia & Pliszka, Kamil, 2017. "Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve," Discussion Papers 24/2017, Deutsche Bundesbank.

   Cited by:

   1. Molyneux, Philip & Pancotto, Livia & Reghezza, Alessio & Rodriguez d'Acri, Costanza, 2022. "Interest rate risk and monetary policy normalisation in the euro area," Journal of International Money and Finance, Elsevier, vol. 124(C).
      • Reghezza, Alessio & Rodriguez d’Acri, Costanza & Pancotto, Livia & Molyneux, Philip, 2020. "Interest rate risk and monetary policy normalisation in the euro area," Working Paper Series 2496, European Central Bank.
   2. Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
   3. Teixeira, João C.A. & Matos, Tiago F.A. & da Costa, Gui L.P. & Fortuna, Mário J.A., 2020. "Investor protection, regulation and bank risk-taking behavior," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
   4. Dutra, Tiago M. & Teixeira, João C.A. & Dias, José Carlos, 2023. "Banking regulation and banks’ risk-taking behavior: The role of investors’ protection," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 124-148.
   5. Carmelo Algeri & Luc Anselin & Antonio Fabio Forgione & Carlo Migliardo, 2022. "Spatial dependence in the technical efficiency of local banks," Papers in Regional Science, Wiley Blackwell, vol. 101(3), pages 685-716, June.

2. Ebert, Sebastian & Lütkebohmert, Eva, 2009. "Treatment of Double Default Effects within the Granularity Adjustment for Basel II," Bonn Econ Discussion Papers 10/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).

   Cited by:

   1. Lütkebohmert, Eva, 2009. "Failure of saddle-point method in the presence of double defaults," Bonn Econ Discussion Papers 19/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
   2. Ebert, Sebastian & Lütkebohmert, Eva, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers 24/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).

3. Lütkebohmert, Eva & Gordy, Michael B., 2007. "Granularity adjustment for Basel II," Discussion Paper Series 2: Banking and Financial Studies 2007,01, Deutsche Bundesbank.

   Cited by:

   1. Matteo Bissiri & Riccardo Cogo, 2017. "Behavioral Value Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-37, December.
   2. Klaus Duellmann & Martin Erdelmeier, 2009. "Crash Testing German Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 139-175, September.
   3. Ebert, Sebastian & Lütkebohmert, Eva, 2009. "Treatment of Double Default Effects within the Granularity Adjustment for Basel II," Bonn Econ Discussion Papers 10/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
   4. Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
   5. Sanjiv Das, 2007. "Basel II: Correlation Related Issues," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 17-38, October.
   6. Lütkebohmert, Eva, 2009. "Failure of saddle-point method in the presence of double defaults," Bonn Econ Discussion Papers 19/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
   7. Tarashev, Nikola, 2010. "Measuring portfolio credit risk correctly: Why parameter uncertainty matters," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2065-2076, September.
      • Nikola Tarashev, 2009. "Measuring portfolio credit risk correctly: why parameter uncertainty matters," BIS Working Papers 280, Bank for International Settlements.
   8. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
   9. Silvio Tarca & Marek Rutkowski, 2014. "Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia," Papers 1412.0064, arXiv.org, revised Jul 2016.
   10. Ebert, Sebastian & Lütkebohmert, Eva, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers 24/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
   11. Chris Humphrey, 2017. "He who pays the piper calls the tune: Credit rating agencies and multilateral development banks," The Review of International Organizations, Springer, vol. 12(2), pages 281-306, June.
   12. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.
   13. Christian Gourieroux & Wei Liu, 2009. "Control and Out‐of‐Sample Validation of Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 683-707, September.
   14. Baviera, Roberto, 2022. "The measure of model risk in credit capital requirements," Finance Research Letters, Elsevier, vol. 44(C).
   15. Yong Kim, 2013. "Modeling of commercial real estate credit risks," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1977-1989, December.
   16. Roberto Baviera, 2020. "The measure of model risk in credit capital requirements," Papers 2010.08028, arXiv.org.
   17. Gourieroux, C. & Jasiak, J., 2012. "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1464-1477.
   18. Petr Jakubik & Christian Schmieder, 2008. "Stress Testing Credit Risk: Is the Czech Republic Different from Germany?," Working Papers 2008/9, Czech National Bank.
   19. C. Gourieroux & A. Monfort, 2013. "Granularity Adjustment for Efficient Portfolios," Econometric Reviews, Taylor & Francis Journals, vol. 32(4), pages 449-468, December.
   20. Nikola Tarashev & Haibin Zhu, 2008. "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 129-173, June.
   21. Nikola A. Tarashev & Haibin Zhu, 2007. "Modelling and calibration errors in measures of portfolio credit risk," BIS Working Papers 230, Bank for International Settlements.

4. Barbara Forster & Eva Luetkebohmert & Josef Teichmann, 2005. "Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance," Papers math/0509016, arXiv.org, revised Oct 2008.

   Cited by:

   1. Albeverio, Sergio & Mastrogiacomo, Elisa & Smii, Boubaker, 2013. "Small noise asymptotic expansions for stochastic PDE’s driven by dissipative nonlinearity and Lévy noise," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2084-2109.

Articles

1. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).

   Cited by:

   1. Cássio Roberto de Andrade Alves & Márcio Laurini, 2023. "Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach," Mathematics, MDPI, vol. 11(17), pages 1-20, September.

2. Feng, Xu & Lütkebohmert, Eva & Xiao, Yajun, 2022. "Wealth management products, banking competition, and stability: Evidence from China," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).

   Cited by:

   1. Huang, Jin & Jin, Yong & Duan, Yang & She, Yanling, 2023. "Do Chinese firms speculate during high economic policy uncertainty? Evidence from wealth management products," International Review of Financial Analysis, Elsevier, vol. 87(C).

3. Eva Lütkebohmert & Thorsten Schmidt & Julian Sester, 2022. "Robust deep hedging," Quantitative Finance, Taylor & Francis Journals, vol. 22(8), pages 1465-1480, August.

   Cited by:

   1. Ariel Neufeld & Julian Sester & Mario Šikić, 2023. "Markov decision processes under model uncertainty," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 618-665, July.

4. Eva Lütkebohmert & Julian Sester, 2021. "Robust statistical arbitrage strategies," Quantitative Finance, Taylor & Francis Journals, vol. 21(3), pages 379-402, March.

   Cited by:

   1. Derek Singh & Shuzhong Zhang, 2021. "Robust Arbitrage Conditions for Financial Markets," SN Operations Research Forum, Springer, vol. 2(3), pages 1-52, September.
   2. Ariel Neufeld & Julian Sester & Daiying Yin, 2022. "Detecting data-driven robust statistical arbitrage strategies with deep neural networks," Papers 2203.03179, arXiv.org, revised Feb 2024.

5. Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.

   Cited by:

   1. Claudio Fontana & Giacomo Lanaro & Agatha Murgoci, 2024. "The geometry of multi-curve interest rate models," Papers 2401.11619, arXiv.org.
   2. Atkins, Philip J. & Cummins, Mark, 2023. "Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1331-1348.

6. Eva Lütkebohmert & Julian Sester, 2019. "Tightening robust price bounds for exotic derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 19(11), pages 1797-1815, November.

   Cited by:

   1. Eva Lutkebohmert & Thorsten Schmidt & Julian Sester, 2021. "Robust deep hedging," Papers 2106.10024, arXiv.org, revised Nov 2021.
   2. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
   3. Jonathan Ansari & Eva Lutkebohmert & Ariel Neufeld & Julian Sester, 2022. "Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information," Papers 2204.01071, arXiv.org, revised Sep 2023.
   4. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
   5. Ariel Neufeld & Julian Sester, 2021. "Model-free price bounds under dynamic option trading," Papers 2101.01024, arXiv.org, revised Jul 2021.
   6. Ariel Neufeld & Julian Sester, 2021. "A deep learning approach to data-driven model-free pricing and to martingale optimal transport," Papers 2103.11435, arXiv.org, revised Dec 2022.
   7. Stephan Eckstein & Michael Kupper, 2019. "Martingale transport with homogeneous stock movements," Papers 1908.10242, arXiv.org, revised May 2021.

7. Eva Lütkebohmert & Daniel Oeltz & Yajun Xiao, 2017. "Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk," European Financial Management, European Financial Management Association, vol. 23(1), pages 55-86, January.

   Cited by:

   1. Faiza Sajjad & Muhammad Zakaria, 2018. "Credit Ratings and Liquidity Risk for the Optimization of Debt Maturity Structure," JRFM, MDPI, vol. 11(2), pages 1-16, May.

8. Xue-Zhong He & Eva Lütkebohmert & Yajun Xiao, 2017. "Rollover risk and credit risk under time-varying margin," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 455-469, March.

   Cited by:

   1. Galya Taseva, 2020. "Determinants of Short-term Liabilities of Financially Distressed SME-s," Business Management, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 5-24.
   2. Dávid Zoltán Szabó & Kata Váradi, 2022. "Margin requirements based on a stochastic correlation model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1797-1820, October.
   3. Faiza Sajjad & Muhammad Zakaria, 2018. "Credit Ratings and Liquidity Risk for the Optimization of Debt Maturity Structure," JRFM, MDPI, vol. 11(2), pages 1-16, May.
   4. Andreea Minca & Johannes Wissel, 2020. "Dynamic Leveraging–Deleveraging Games," Operations Research, INFORMS, vol. 68(1), pages 93-114, January.
   5. Jiang, Shanshan & Fan, Hong, 2018. "Credit risk contagion coupling with sentiment contagion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 186-202.

9. Gechun Liang & Eva Lütkebohmert & Yajun Xiao, 2014. "A Multiperiod Bank Run Model for Liquidity Risk," Review of Finance, European Finance Association, vol. 18(2), pages 803-842.

   Cited by:

   1. Andrey Krishenik & Andreea Minca & Johannes Wissel, 2015. "When do creditors with heterogeneous beliefs agree to run?," Finance and Stochastics, Springer, vol. 19(2), pages 233-259, April.
   2. Xue-Zhong He & Eva Lütkebohmert & Yajun Xiao, 2017. "Rollover risk and credit risk under time-varying margin," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 455-469, March.
   3. Ion Lapteacru, 2019. "Do bank activities and funding strategies of foreign and state‐owned banks have a differential effect on risk‐taking in Central and Eastern Europe?," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 27(2), pages 541-576, February.
   4. Rama Cont & Artur Kotlicki & Laura Valderrama, 2019. "Liquidity at risk: Joint stress testing of solvency and liquidity," Working Paper 2019/11, Norges Bank.
      • Rama Cont & Artur Kotlicki & Ms. Laura Valderrama, 2020. "Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity," IMF Working Papers 2020/082, International Monetary Fund.
      • Cont, Rama & Kotlicki, Artur & Valderrama, Laura, 2020. "Liquidity at risk: Joint stress testing of solvency and liquidity," Journal of Banking & Finance, Elsevier, vol. 118(C).
   5. Gechun Liang & Eva Lutkebohmert & Wei Wei, 2012. "Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model," Papers 1209.3513, arXiv.org, revised Mar 2015.
   6. Eva Lütkebohmert & Daniel Oeltz & Yajun Xiao, 2017. "Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk," European Financial Management, European Financial Management Association, vol. 23(1), pages 55-86, January.
   7. Klimenko, Nataliya & Moreno-Bromberg, Santiago, 2016. "The shadow costs of repos and bank liability structure," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 1-29.

10. Ernst August Von Hammerstein & Eva Lütkebohmert & Ludger Rüschendorf & Viktor Wolf, 2014. "Optimality Of Payoffs In Lévy Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(06), pages 1-46.

    Cited by:

    1. Carole Bernard & Junsen Tang, 2016. "Simplified Hedge For Path-Dependent Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-32, November.
    2. Jonathan Ansari & Ludger Rüschendorf, 2018. "Ordering Results for Risk Bounds and Cost-efficient Payoffs in Partially Specified Risk Factor Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 817-838, September.

11. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.

    Cited by:

    1. Caccioli, Fabio & Shrestha, Munik & Moore, Cristopher & Farmer, J. Doyne, 2014. "Stability analysis of financial contagion due to overlapping portfolios," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 233-245.
       • Fabio Caccioli & Munik Shrestha & Cristopher Moore & J. Doyne Farmer, 2012. "Stability analysis of financial contagion due to overlapping portfolios," Papers 1210.5987, arXiv.org.
    2. Rainer Masera, 2014. "CRR/CRD IV: the trees and the forest," PSL Quarterly Review, Economia civile, vol. 67(271), pages 381-422.
    3. Jan Nokkala, 2022. "Are large credit exposures a source of concentration risk?," Bank i Kredyt, Narodowy Bank Polski, vol. 53(4), pages 375-398.
    4. Pierpaolo Grippa & Lucyna Gornicka, 2016. "Measuring Concentration Risk - A Partial Portfolio Approach," IMF Working Papers 2016/158, International Monetary Fund.
    5. Jens Fittje, 2023. "Risk-shifting, concentration risk, and heterogeneous borrowers," International Economics and Economic Policy, Springer, vol. 20(4), pages 509-536, October.
    6. Chris Humphrey, 2017. "He who pays the piper calls the tune: Credit rating agencies and multilateral development banks," The Review of International Organizations, Springer, vol. 12(2), pages 281-306, June.
    7. Annalisa Di Clemente, 2020. "Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio," JRFM, MDPI, vol. 13(6), pages 1-24, June.
    8. Álvaro Chamizo & Alexandre Fonollosa & Alfonso Novales, 2019. "Forward-looking asset correlations in the estimation of economic capital," Documentos de Trabajo del ICAE 2019-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    9. Chamizo, Álvaro & Fonollosa, Alexandre & Novales, Alfonso, 2019. "Forward-looking asset correlations in the estimation of economic capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 264-288.
    10. Regele, Fabian & Gründl, Helmut, 2021. "Asset concentration risk and insurance solvency regulation," ICIR Working Paper Series 40/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    11. Henry Penikas, 2023. "Default correlation impact on the loan portfolio credit risk measurement for the "green" finance as an example," Bank of Russia Working Paper Series wps121, Bank of Russia.
    12. Neumann, Tobias, 2018. "Mortgages: estimating default correlation and forecasting default risk," Bank of England working papers 708, Bank of England.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-BAN: Banking (2) 2007-03-03 2017-09-17
2. NEP-EEC: European Economics (1) 2017-09-17
3. NEP-RMG: Risk Management (1) 2007-03-03

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Eva Luetkebohmert
(Eva Luetkebohmert) should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.