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Publications

by members of

Rheinische Friedrich-Wilhelms-Universität Bonn → Wirtschaftswissenschaftlicher Fachbereich → Institute für Finanzmarktökonomik und Statistik (IFS)

University of Bonn → Economics Department → Institute of Finance and Statistics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books |

Working papers

2025

  1. Konrad Adler & Oliver Rehbein & Matthias Reiner & Jing Zeng, 2025, "Market-Based Green Firms," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-104, Feb.
  2. Lóránth, Gyöngyi & Morrison, Alan & Zeng, Jing, 2025, "Subsidiary Financing: Risk-Shifting as a Commitment Device," CEPR Discussion Papers, Centre for Economic Policy Research, number 20963, Dec.

2023

  1. Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2023, "Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach," Working Paper Series, European Central Bank, number 2833, Jul.
  2. Chavleishvili, Sulkhan & Kremer, Manfred, 2023, "Measuring systemic financial stress and its risks for growth," Working Paper Series, European Central Bank, number 2842, Aug.
  3. Wolf Wagner & Jing Zeng, 2023, "Too-many-to-fail and the Design of Bailout Regimes," ECONtribute Discussion Papers Series, University of Bonn and University of Cologne, Germany, number 230, May.

2022

  1. Gyoengyi Loranth & Anatoli Segura & Jing Zeng, 2022, "Voluntary support and ring-fencing in cross-border banks," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1373, Jun.
  2. Lóránth, Gyöngyi & Segura, Anatoli & Zeng, Jing, 2022, "Common Deposit Insurance, Cross-Border Banks and Welfare," CEPR Discussion Papers, Centre for Economic Policy Research, number 16893, Jan.

2021

  1. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021, "A risk management perspective on macroprudential policy," Working Paper Series, European Central Bank, number 2556, May.
  2. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021, "The risk management approach to macro-prudential policy," Working Paper Series, European Central Bank, number 2565, Jun.
  3. Kremer, Manfred & Chavleishvili, Sulkhan, 2021, "Measuring Systemic Financial Stress and its Impact on the Macroeconomy," VfS Annual Conference 2021 (Virtual Conference): Climate Economics, Verein für Socialpolitik / German Economic Association, number 242346.

2020

  1. Lóránth, Gyöngyi & Morrison, Alan & Zeng, Jing, 2020, "Organizational Structure and Investment Strategy," CEPR Discussion Papers, Centre for Economic Policy Research, number 15602, Dec.

2019

  1. Hoffmann, Peter & Kremer, Manfred & Zaharia, Sonia, 2019, "Financial integration in Europe through the lens of composite indicators," Working Paper Series, European Central Bank, number 2319, Sep.
  2. Shapiro, Joel & Zeng, Jing, 2019, "Stress Testing and Bank Lending," CEPR Discussion Papers, Centre for Economic Policy Research, number 13907, Aug.

2018

  1. Garcia-de-Andoain, Carlos & Kremer, Manfred, 2018, "Beyond spreads: measuring sovereign market stress in the euro area," Working Paper Series, European Central Bank, number 2185, Oct.

2013

  1. Hartmann, Philipp & Hubrich, Kirstin & Kremer, Manfred & Tetlow, Robert J., 2013, "Melting down: Systemic financial instability and the macroeconomy," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 80487.

2012

  1. Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012, "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series, European Central Bank, number 1426, Mar.

2010

  1. J. Aase Nielsen & Klaus Sandmann & Erik Schlogl, 2010, "Equity-Linked Pension Schemes with Guarantees," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 270, Jan.

2006

  1. Strauch, Rolf & Paesani, Paolo & Kremer, Manfred, 2006, "Public debt and long-term interest rates: the case of Germany, Italy and the USA," Working Paper Series, European Central Bank, number 656, Jul.

1999

  1. Kremer, Manfred, 1999, "Die Kapitalmarktzinsen in Deutschland und den USA: Wie eng ist der Zinsverbund? Eine Anwendung der multivariaten Kointegrationsanalyse," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 1999,02.

Journal articles

2025

  1. Sulkhan Chavleishvili & Manfred Kremer, 2025, "CISS of death: measuring financial crises in real time," Review of Finance, European Finance Association, volume 29, issue 3, pages 685-710.

2024

  1. Joel Shapiro & Jing Zeng, 2024, "Stress Testing and Bank Lending," The Review of Financial Studies, Society for Financial Studies, volume 37, issue 4, pages 1265-1314.

2021

  1. Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2021, "Quantifying financial stability risks for monetary policy," Research Bulletin, European Central Bank, volume 115.
  2. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021, "A novel risk management perspective for macroprudential policy," Research Bulletin, European Central Bank, volume 87.
  3. Kuong, John Chi-Fong & Zeng, Jing, 2021, "Securitization and optimal foreclosure," Journal of Financial Intermediation, Elsevier, volume 48, issue C, DOI: 10.1016/j.jfi.2020.100885.

2020

  1. Hoffmann, Peter & Kremer, Manfred & Zaharia, Sonia, 2020, "Financial integration in Europe through the lens of composite indicators," Economics Letters, Elsevier, volume 194, issue C, DOI: 10.1016/j.econlet.2020.109344.
  2. Segura, Anatoli & Zeng, Jing, 2020, "Off-balance sheet funding, voluntary support and investment efficiency," Journal of Financial Economics, Elsevier, volume 137, issue 1, pages 90-107, DOI: 10.1016/j.jfineco.2020.02.001.

2017

  1. Garcia-de-Andoain, Carlos & Kremer, Manfred, 2017, "Beyond spreads: Measuring sovereign market stress in the euro area," Economics Letters, Elsevier, volume 159, issue C, pages 153-156, DOI: 10.1016/j.econlet.2017.06.042.

2016

  1. Manfred Kremer, 2016, "Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area," International Economics and Economic Policy, Springer, volume 13, issue 1, pages 105-138, January, DOI: 10.1007/s10368-015-0325-z.

2013

  1. Philipp Hartmann & Kirstin Hubrich & Manfred Kremer, 2013, "Introducing Systemic Financial instability into macroeconomics: how to meet the challenge?," Research Bulletin, European Central Bank, volume 19, pages 2-9.
  2. An Chen & Markus Pelger & Klaus Sandmann, 2013, "New performance-vested stock option schemes," Applied Financial Economics, Taylor & Francis Journals, volume 23, issue 8, pages 709-727, April, DOI: 10.1080/09603107.2012.750448.

2012

  1. An Chen & Klaus Sandmann, 2012, "In-Arrears Term Structure Products: No Arbitrage Pricing Bounds And The Convexity Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 08, pages 1-24, DOI: 10.1142/S0219024912500549.

2011

  1. Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011, "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 547-564, DOI: 10.1016/j.insmatheco.2011.08.012.

2010

  1. Köndgen Johannes & Sandmann Klaus, 2010, "Strukturierte Zinsswaps vor den Berufungsgerichten: eine Zwischenbilanz," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, volume 22, issue 2, pages 77-95, April, DOI: 10.15375/zbb-2010-0201.
  2. Klaus Sandmann & Manuel Wittke, 2010, "It'S Your Choice: A Unified Approach To Chooser Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 13, issue 01, pages 139-161, DOI: 10.1142/S0219024910005711.

2008

  1. Antje B. Mahayni & Klaus Sandmann, 2008, "Return Guarantees with Delayed Payment," German Economic Review, Verein für Socialpolitik, volume 9, issue 2, pages 207-231, May, DOI: 10.1111/j.1468-0475.2008.00431.x.

2006

  1. Kristian Miltersen & J. Nielsen & Klaus Sandmann, 2006, "New No-arbitrage Conditions and the Term Structure of Interest Rate Futures," Annals of Finance, Springer, volume 2, issue 3, pages 303-325, July, DOI: 10.1007/s10436-006-0040-4.

2003

  1. Nielsen, J. Aase & Sandmann, Klaus, 2003, "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 2, pages 449-473, June.

2002

  1. Klaus Sandmann & J. Aase Nielsen, 2002, "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, volume 6, issue 3, pages 355-370.

1997

  1. Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997, "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, volume 52, issue 1, pages 409-430, March.
  2. Klaus Sandmann & Dieter Sondermann, 1997, "A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures," Mathematical Finance, Wiley Blackwell, volume 7, issue 2, pages 119-125, April, DOI: 10.1111/1467-9965.00027.

1996

  1. J. Aase Nielsen & Klaus Sandmann, 1996, "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 21, issue 1, pages 65-102, June.
  2. J. A. Nielsen & K. Sandmann, 1996, "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, volume 3, issue 3, pages 209-236, DOI: 10.1080/13504869600000011.

1995

  1. Aase Nielsen, J. & Sandmann, Klaus, 1995, "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, volume 16, issue 3, pages 225-253, July.

1993

  1. Klaus Sandmann, 1993, "The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach1," Mathematical Finance, Wiley Blackwell, volume 3, issue 2, pages 201-216, April, DOI: 10.1111/j.1467-9965.1993.tb00088.x.

1992

  1. C. Seidl & G. Nöldeke & H. Zink & K. Sandmann & Y. Ishii & H. Welsch & F. Winden & K. Laski, 1992, "Book reviews," Journal of Economics, Springer, volume 55, issue 2, pages 221-244, June, DOI: 10.1007/BF01227422.

Books

2013

  1. Douglas D Evanoff & Cornelia Holthausen & George G Kaufman & Manfred Kremer (ed.), 2013, "The Role of Central Banks in Financial Stability:How Has It Changed?," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8720, ISBN: ARRAY(0x77feee48).

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