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 Research Report for 2013

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
  • Risk Management
  • Derivative Pricing

Financing

  • DFG (Exzellenzinitiative): Pricing of Risk in Incomplete Markets (Nachwuchsforschergruppe)

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

Scientific publications

Journal Articles:
  • Gordy, Michael, Lütkebohmert, Eva: Granularity Adjustment for Regulatory Capital Assessment Int J Cent Bank, 2013; 9 (3): 33-71.
Oral Presentations:
  • Lütkebohmert E, Liang G, Wei W: A continuous time structural model for credit, rollover and recovery risk 2013 (30th International French Finance Association Conference, Lyon).
  • Lütkebohmert-Holtz E: Discussion of "A Pricing Measure to Explain the Risk Premium in Power Markets" by Fred Espen Benth and Salvador Ortiz-Latorre 2013 (Swissquote Conference, Lausanne).
  • Lütkebohmert-Holtz E: An integrated structural model for market, credit and liquidity risk 2013 (Conference on Current Topics in Mathematical Finance, Vienna).
  • Lütkebohmert-Holtz E: Optimal Capital Structure and Default Policy in an Integrated Model for Market, Credit and Liquidity Risk 2013 (IMA Conference on Mathematics in Finance, Edinburgh).
  • Lütkebohmert-Holtz E: A Continuous Time Structural Model for Insolvency, Recovery and Rollover Risks 2013 (6th Financial Risks International Forum: Liquidity Risk, Paris).
  • Lütkebohmert-Holtz E: A Multi-Period Bank Run Model for Liquidity Risk 2013 (Hochschule München).
  • von Hammerstein E: Optimality of payoffs in Lévy models 2013 (Dynstoch Conference 2013, University of Copenhagen (Denmark), 17.04.2013 - 19.04.2013).

Special Scientific Activities

Invited Speech:
  • Dr. Ernst August Frhr. von Hammerstein: Laplace and Fourier based valuation methods in exponential Lévy models (invited speech), Graduate School of Mathematical Sciences, University of Tokyo, 28.01.2013.
Veranstaltung:
  • 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

Degree Dissertations
  • Florian Platte: Regression-Discontinuity-Designs to Estimate Treatment Effects (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2013.
  • Niklas Neumann: An Empirical Study on Liquidity Risk in a Multi-Period Bank Run Setting (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2013.
Master
  • Chuxia Xiong: Pricing the Convertible Bonds and its Application in Chinese Market (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2013.
  • Hang Lu: Counter Cyclical Capital Requirements in the Basel III Framework (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2013.
  • Luwen Liu: System Estimation of Risk Spillovers (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2013.
  • Maria Malin: Liquidity as a Risk Factor in Portfolio Management (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2013.
  • Mengqi Zeng: Valuation and Hedging of a Swing Plus Bond (Supervisor Prof. Dr. Eva Lütkebohmert-Holtz), 2013.
  • Ying Tong: Nonparametric Estimation of One-Factor Term Structure of Interest Rate Models (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2013.
  • Yunfei Wang: Endogenous Default and Optimal Capital Structure (Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2013.
  • Zhengyu Xu: Is there a real estate bubble in China? An empirical analysis of eight cities. (Secondary Supervisor JProf Dr. Eva Lütkebohmert-Holtz), 2013.