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 Research Report for 2012

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


Scientific Employees

Entries in "Who is Who"

Main Research

  • Market, Credit, and Liquidity Risk
  • Pricing of Risk in Incomplete Markets
  • Regulation of Financial Markets

Financing

  • DFG (Exzellenzinitiative): Pricing of Risk in Incomplete Markets (Nachwuchsforschergruppe)
  • NSF - Collaborative Research on "Early Markets: NYSE before the SEC" with Caroline Fohlin (Johns Hopkins University, Baltimore)
  • BMBF - Sofortrettung bei Grossunfall (SOGRO)

Scientific and Research Projects


  • A. Research Group "Pricing of Risk in Incomplete Markets" funded by the German Excellence Initiative (Bertha-Ottenstein Professur)
    • Project Manager: JProf. Dr. Eva Lütkebohmert-Holtz
    • Start/End of project: 01.10.2008 until 30.09.2013
    • Project Details
  • C. Sofortrettung bei Grossrettung mit Massenanfall von Verletzten (SOGRO)
    • Project Manager: Prof. Thomas P. Gehrig
    • Start/End of project: 01.03.2009 until 28.02.2012
    • Project Details

Scientific publications

Journal Articles:
  • Ebert, Sebastian, Lütkebohmert, Eva: An Asset Drop Model as an Alternative to the Treatment of Double Defaults within the Basel Framework Journal of Credit Risk, 2012; 8 (3): 41-63.
  • Lütkebohmert, Eva: Failure of the Saddle Point Method in the Presence of Double Defaults Journal of Risk, 2012; 15 (1): 71-89.
Oral Presentations:
  • Lütkebohmert-Holtz E: A Multi-Period Bank Run Model for Liquidity Risk. 2012 (DAA Workshop fur junge Mathematiker, Schloss Reisensburg).
  • von Hammerstein E: Cost-efficient strategies for Lévy markets 2012 (7th World Congress of the Bachelier Society, Sydney (Australien)).
Festschriften:
  • Chrisitan-Oliver. Ewald, Yang Zou, Yajun Xiao, Tak Kuen Siu: Malliavin differentiability of a class of Feller-diffusions with relevance in Finance Advances in Statistics, Probability and Actuarial Science, Festschrift for Robert Elliott, World Scientific, 2012.

Special Scientific Activities

Veranstaltung:
  • JProf Dr. Eva Lütkebohmert-Holtz, Prof. Dr. Ernst Eberlein: Conference on Liquidity and Credit Risk, 15.03.2012 bis 16.03.2012.
  • Professor Thomas P. Gehrig und Professor Ernst Eberlein: Forschergruppe "Pricing of Risk in Incomplete Markets" , Zukunftskonzept der Albert Ludwigs Universität im Rahmen der Deutschen Exzellenzinitiative, 01.10.2008 bis 30.09.2013.

Scientific Dissertations

Dissertations
  • Joachim Schneegans: Capital Structure Management Liquidity Risk and LBO Valuation (Supervisor JProf Dr. Eva Lütkebohmert-Holtz, Secondary Supervisor Prof. Dr. Ernst Eberlein), 2012.
Degree Dissertations
  • Andreas Beck: Valuation of Exotic Options with Generalized Hyperbolic Processes (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Andreas Gampp: Dynamic Portfolio Selection in a Cross Asset Perspective (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Florian Schreiber: Schätzung von Parametern der Varianz-Gamma-Verteilung mit Hilfe der Kumulantenmethode (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Jakob de Lazzer: Specification Testing for Regression Discontinuity Designs (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Jan Sebastian Nimczik: Weighted Bootstrap and Clustered Standard Errors (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Romana Hohenberger: Basel III und das systemische Risiko - Wie effektiv lassen sich Risiken durch die neuen Liquiditätskennzahlen vermindern (Supervisor JProf Dr. Eva Lütkebohmert-Holtz, Secondary Supervisor Prof. Dr. Landmann), 2012.
  • Thomas Bonczek: Financial Intermediation and Business Cycle Dynamics: Policy Implications of Current Theory (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Wolfgang Eversz: Währungsübergreifende Levy-Markt-Modelle (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
Master
  • Albina Zabirova: Hedging in the Black-Scholes framework: examination of hedging errors (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Almira Gabdullina: Correlation modeling in credit portfolios and application to pricing of zero-cost protection (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Alva Sena: Valuation of CDO-s in the Vasicek Single Factor Model (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Andres Mauricio Capriles Taendler: Behavioral explanations for the excess volatility in stock prices (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Chongzheng Bao: Capital structure and rollover risk in a regime switching model (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Elena-Cristiana Zabet: The effects of trade finance facilitation programs on financial crisis – A case study of Commerzbank AG and its relationships with various CIS countries within the EBRD’s TFP (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Maria Alexandrova: Comparison of Credit Risk Models of Banks and Insurance Companies (Based on Basel III and Solvency II Directives) (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Olga Nikishaeva: Valuation of Contingent Convertible Capital (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Tarlan Nazarov: Modelling and measuring credit value adjustment in a corporate treasury: the case of the Volkswagen group (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Xiang Gao: Prevention of Financial Crisis: A Contingent Public Insurance (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Ye Luo: Risks for financial stability in emerging economies (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.
  • Zemfira Idrisova: Combined Quantile Risk Measures in Portfolio Selection (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2012.