Details about Dennis F.M. Bams

Access statistics for papers by Dennis F.M. Bams.

Last updated 2025-07-08. Update your information in the RePEc Author Service.

Short-id: pba780

Working Papers

2016

1. Trade credit: Elusive insurance of firm growth
   Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE)

2015

2. Credit risk characteristics of US small business portfolios
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
3. Ripple effects from industry defaults
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

2014

4. Evaluating Option Pricing Model Performance Using Model Uncertainty
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg

2012

5. Modeling default correlation in a US retail loan portfolio
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (7)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (5)

2008

6. Loss Functions in Option Valuation: A Framework for Selection
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (5)
   See also Journal Article Loss Functions in Option Valuation: A Framework for Selection, Management Science, INFORMS (2009) View citations (10) (2009)

2005

7. Loss Functions in Option Valuation: A Framework for Model Selection
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

2003

8. More Evidence on the Dollar Risk Premium in the Foreign Exchange Market
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   See also Journal Article More evidence on the dollar risk premium in the foreign exchange market, Journal of International Money and Finance, Elsevier (2004) View citations (14) (2004)

2002

9. An Evaluation Framework for Alternative VaR Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
   See also Journal Article An evaluation framework for alternative VaR-models, Journal of International Money and Finance, Elsevier (2005) View citations (26) (2005)

2000

10. Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Working Papers, Southern California - School of Business Administration (1998)
    See also Journal Article Risk premia in the term structure of interest rates: a panel data approach, Journal of International Financial Markets, Institutions and Money, Elsevier (2003) View citations (6) (2003)

1998

11. Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

Journal Articles

2021

1. Spillovers to small business credit risk
   Small Business Economics, 2021, 57, (1), 323-352 View citations (1)
2. VIX and liquidity premium
   International Review of Financial Analysis, 2021, 74, (C) View citations (5)

2019

3. Are capital requirements on small business loans flawed?
   Journal of Empirical Finance, 2019, 52, (C), 255-274 View citations (5)

2017

4. Does oil and gold price uncertainty matter for the stock market?
   Journal of Empirical Finance, 2017, 44, (C), 270-285 View citations (52)
5. Volatility measures and Value-at-Risk
   International Journal of Forecasting, 2017, 33, (4), 848-863 View citations (13)

2009

6. Loss Functions in Option Valuation: A Framework for Selection
   Management Science, 2009, 55, (5), 853-862 View citations (10)
   See also Working Paper Loss Functions in Option Valuation: A Framework for Selection, LSF Research Working Paper Series (2008) View citations (5) (2008)

2007

7. The Performance of Local versus Foreign Mutual Fund Managers
   European Financial Management, 2007, 13, (4), 702-720 View citations (20)

2005

8. An evaluation framework for alternative VaR-models
   Journal of International Money and Finance, 2005, 24, (6), 944-958 View citations (26)
   See also Working Paper An Evaluation Framework for Alternative VaR Models, CEPR Discussion Papers (2002) View citations (7) (2002)

2004

9. How to measure mutual fund performance: economic versus statistical relevance
   Accounting and Finance, 2004, 44, (2), 203-222 View citations (25)
10. More evidence on the dollar risk premium in the foreign exchange market
    Journal of International Money and Finance, 2004, 23, (2), 271-282 View citations (14)
    See also Working Paper More Evidence on the Dollar Risk Premium in the Foreign Exchange Market, CEPR Discussion Papers (2003) View citations (2) (2003)

2003

11. Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
    Journal of Econometrics, 2003, 117, (1), 179-206 View citations (7)
12. Risk premia in the term structure of interest rates: a panel data approach
    Journal of International Financial Markets, Institutions and Money, 2003, 13, (3), 211-236 View citations (6)
    See also Working Paper Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach, CEPR Discussion Papers (2000) View citations (1) (2000)

2002

13. European Mutual Fund Performance
    European Financial Management, 2002, 8, (1), 75-101 View citations (151)

2001

14. Empirical Issues in Value-at-Risk*
    ASTIN Bulletin, 2001, 31, (2), 299-315