Publications
Scholarly journal articles
- The Liquidity Mechanics of Dealer Banks in the Market-based Credit System, Economic Modelling, Volume 105, 2021.
- How Past Market Movements Affect Correlation and Volatility, joint with Wolfgang M. Schmidt, Journal of International Money and Finance, Volume 50, 2015.
- Stressing Correlations and Volatilities – A Consistent Modeling Approach, joint with Wolfgang M. Schmidt, Journal of Empirical Finance, Volume 21, 2013.
- On the Cost of Delayed Currency Fixing Announcements, joint with Uwe Wystup, Annals of Finance, Volume 5, Issue 2, 2009.
Contributions to edited volumes
- Stressing Correlations and Volatilities: A Consistent Modeling Approach, joint with Wolfgang M. Schmidt in: FIRM (Ed.): Yearbook 2012, Frankfurt am Main: Frankfurt Institute for Risk Management and Regulation, pp. 63-65
- Stressen von Korrelationen: ein Konsistentes, Modellbasiertes Verfahren, mit Wolfgang M. Schmidt in: FIRM (Hrsg.): Jahrbuch 2012, Frankfurt am Main: Frankfurter Institut für Risikomanagement und Regulierung, S. 133-135.
Working Papers
- A Dealer Illiquidity Risk Premium in the Money Markets, June 2019. Available at SSRN, abstract 3399176
- Value, Size, Momentum and the Average Correlation of Stock Returns, joint with Wolfgang M. Schmidt, Nov 2015. Available at SSRN, abstract 2693190
- Stressing Correlations and Volatilities: a Consistent Modeling Approach, joint with Wolfgang M. Schmidt, 2011. Available at SSRN, abstract 1928975
- State-Dependent Dependencies: a Continuous-Time Dynamics for Correlations, joint with Wolfgang M. Schmidt, 2010. Available at SSRN, abstract 1553115
- Was kostet die Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen, joint with Uwe Wystup, Januar 2008, Research Report No 8, Center for Practical Quantitative Finance, Frankfurt School of Finance and Management. Berichterstattung in Zeit Online.
External Presentations
2019
- Meeting of the Young Scholars Initiative (Institute for New Economic Thinking) at the Federal Reserve Bank of Chicago
2016
- MathFinance Conference, Frankfurt am Main
2012
- Campus for Finance Research Conference, WHU Vallendar
2011
- 9th International Paris Finance Meeting, Paris
- 12th Symposium on Finance, Banking, and Insurance, Karlsruhe Institute of Technology
- 60th Congress of the French Economic Association, Paris
- ICBI Risk Capital, Frankfurt am Main
- Fifth Annual Risk Management Conference, Singapore
- Systemic Risk, Basel III, Financial Stability and Regulation Conference, The Reserve Bank of Australia, The Australian Prudential Regulation Authority, and the Journal of Banking and Finance; in Sydney
- SGF Conference 2011: 14th Conference of the Swiss Society for Financial Market Research, Zürich
- Workshop on Regulations, Capital Markets, Financial Institutions: The Post Crisis Era, Chania (Greece)
2010
- World Finance Conference, Rhodes, Greece
- European Finance Association - Annual Meeting, Frankfurt am Main
- ICBI Risk Capital 2010, Frankfurt am Main
- Mathematical and Statistical Methods for Actuarial Sciences and Finance, University of Salerno & University of Venice, in Ravello
- Financial Risks International Forum - Risk Dependencies, Institut Louis Bachelier, Paris
- MathFinance Conference, Frankfurt am Main
2009
- Conference on Numerical and Analytical Solution of Stochastic Delay Differential Equations, Leverhulme International Network, University of Chester
2008
- Doktorandentreffen Stochastik, TU Berlin
Dissertation
State-Dependent Dependencies – A Continuous-Time Dynamics for Correlations, Frankfurt School of Finance and Management, 2010.