Advanced Search
MyIDEAS: Login to follow this author

Steffen Sorensen

Contents:

This is information that was supplied by Steffen Sorensen in registering through RePEc. If you are Steffen Sorensen , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Steffen
Middle Name:
Last Name: Sorensen
Suffix:

RePEc Short-ID: pso117

Email:
Homepage:
Postal Address:
Phone:

Affiliation

Moody's Investor Service
Homepage: http://www.moodys.com/cust/default.asp
Location: USA, New York

Works

as in new window

Working papers

  1. Joyce, Michael & Lildholdt, Peter & Sorensen, Steffen, 2009. "Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves," Bank of England working papers 360, Bank of England.
  2. Smith, Peter N & Sorensen, Steffen & Wickens, Michael R., 2009. "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers 7227, C.E.P.R. Discussion Papers.
  3. Joyce, Michael & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Bank of England working papers 356, Bank of England.
  4. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
  5. Peter N Smith & Steffen Sorensen & Mike Wickens, 2007. "The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)," Discussion Papers 07/11, Department of Economics, University of York.
  6. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
  7. P N Smith & S Sorensen & M R Wickens, 2006. "The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility," Discussion Papers 06/04, Department of Economics, University of York.
  8. Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
  9. Peter Smith & Steffen Sorensen & Michael R. Wickens, 2004. "Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium," Money Macro and Finance (MMF) Research Group Conference 2004 76, Money Macro and Finance Research Group.
  10. P N Smith & S Sorensen & M R Wickens, . "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers 03/14, Department of Economics, University of York.
  11. P N Smith & S Sorensen & M R Wickens, . "Macroeconomic Sources of Equity Risk," Discussion Papers 03/13, Department of Economics, University of York.

Articles

  1. Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010. "Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
  2. Peter N. Smith & Steffen Sorensen & Michael Wickens, 2010. "The equity premium and the business cycle: the role of demand and supply shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 134-152.
  3. Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
  4. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2009. "El impacto integrado del riesgo de crédito y de tasa de interés bancarios: una perspectiva del valor económico y suficiencia de capital," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 63-115, enero-mar.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ACC: Accounting & Auditing (1) 2007-04-09
  2. NEP-BAN: Banking (2) 2006-09-30 2007-04-09
  3. NEP-CBA: Central Banking (4) 2009-01-03 2009-01-03 2009-02-28 2009-03-28. Author is listed
  4. NEP-CFN: Corporate Finance (1) 2003-10-28
  5. NEP-CMP: Computational Economics (1) 2004-09-30
  6. NEP-FIN: Finance (3) 2003-10-28 2004-09-30 2006-01-29. Author is listed
  7. NEP-FMK: Financial Markets (3) 2006-01-29 2006-03-05 2006-09-30. Author is listed
  8. NEP-FOR: Forecasting (2) 2009-01-03 2009-01-03
  9. NEP-MAC: Macroeconomics (10) 2003-10-28 2003-10-28 2006-01-29 2006-03-05 2006-09-30 2007-04-09 2009-01-03 2009-01-03 2009-02-28 2009-03-28. Author is listed
  10. NEP-MON: Monetary Economics (3) 2009-01-03 2009-01-03 2009-02-28. Author is listed
  11. NEP-RMG: Risk Management (4) 2003-10-28 2006-01-29 2006-09-30 2007-04-09. Author is listed

Statistics

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Steffen Sorensen 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.