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 Forschungsbericht für das Jahr 2017

Abteilung für Quantitative Finanzmarktforschung

Platz der Alten Synagoge
79085 Freiburg i. Br.
Tel: 0761 - 203 9362 Fax: 0761 - 203 9367
Email eva.luetkebohmert@finance.uni-freiburg.de
http://www.finance.uni-freiburg.de


Wissenschaftliche Mitarbeiterinnen und Mitarbeiter

Einträge in der Rubrik "Who is Who"

Forschungsschwerpunkte

  • Market, Credit, and Liquidity Risk
  • Regulation of Financial Markets
  • Risk Management
  • Derivative Pricing

Wissenschaftliche Publikationen

Vorträge:
  • Lütkebohmert-Holtz E, Foos D, Pliszka K, Markovych M: Euro area banks’ interest rate risk exposure to level, slope and curvature swings in the yield curve 2017 (Southern Finance Association Meeting).
  • Lütkebohmert-Holtz E, Pliszka K, Foos D, Markovych M: Euro area banks’ interest rate risk exposure to level, slope and curvature swings in the yield curve 2017 (International Risk Management Conference, Florence).
  • Lütkebohmert-Holtz E, Pliszka K, Foos D, Markovych M: Euro area banks’ interest rate risk exposure to level, slope and curvature swings in the yield curve 2017 (16. Annual Conference of the European Economics and Finance Society, Ljubljana).
  • Lütkebohmert-Holtz E, Pliszka K, Foos D, Markovych M: Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve 2017 (IFABS 2017 conference, Oxford).
  • Lütkebohmert-Holtz E, Sester J, Kurtz C: Calculating capital charges for sector concentration risk 2017 (Innovations in Insurance, Risk- and Asset Management, TU München).
  • Lütkebohmert-Holtz E, Sester J, Kurtz C: Calculating capital charges for sector concentration risk 2017 (International Risk Management Conference, Florence).
  • Lütkebohmert-Holtz E, Sester J, Kurtz C: Calculating capital charges for sector concentration risk 2017 (16. Annual Conference of the European Economics and Finance Society, Ljubljana).
  • Lütkebohmert-Holtz E, Sester J, Kurtz C: Capital charges for sector concentration risk 2017.

Besondere wissenschaftliche Aktivitäten

Abschlussarbeiten

Diplomarbeiten
  • Sarah Eufinger: CDO Pricing in the Vasicek Model (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
Master
  • Albina Kadasyan: A cost-benefit analysis of Basel III on the example of European banks (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Altynay Ussembekova: Empirical test on the influence of oil prices on the economy of Kazakhstan: The relationship between Tenge and Oil (Zweitgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Bertrand Florack: Option valuation using the Fast Fourier Transform (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Bo Yu: Empirical analysis on the influence of internet finance in the Chinese banking sector (Zweitgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Cynthia Stapornwongkul: Different Techniques for Portfolio Selection (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Daria Saulenko: New Regulatory Challenges for the OTC Derivatives Market: Initial Margin and Maring Valuation Adjustment (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Emil Stoll: Exploiting certain intraday anomalies in the US stock market (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Gabriel del Rio Hecklau: Portfoliooptimierung im Hinblick auf den Extremrisikoindex (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Johannes Lange: Changing Correlations Within and Across Asset Classes (Zweitgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Manqing Liang: Incorporating Liquidity Effects in Optimal Portfolio Based on Mean-ETL-Model (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Norah Albawardi: Time dependence of trading costs: spread analysis for high-frequency data (Zweitgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Pepa Kutaleva: Analyzing high frequency order flow structures (Zweitgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Rui Huang: Testing uncovered interst rates parity on EUR, CHF and USD for different time horizons (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Ruslan Savin: Default contagion in primary-secondary framework (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Sebastian Vasquez Osorio: Modelling and Forecasting the Option Implied Volatility Cycles – How to identify temporary increases in the IV to monetise them (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Selina Elisabeth Großmann: Gründungskultur in der Hochschullehre – State of the Art und Entwicklungsperspektiven im nationalen und internationalen Vergleich (Zweitgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Tianjiao Zhu: Analysing multiple yield curves (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
Bachelor
  • Harald Besdziek: Game-Theoretic CAPM (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.
  • Jan Schiller-Nino: Trends in Cross Currency Basis Swaps (Erstgutachter/in Prof. Dr. Eva Lütkebohmert-Holtz), 2017.