Details about Thomas Heidorn

Access statistics for papers by Thomas Heidorn.

Last updated 2020-10-16. Update your information in the RePEc Author Service.

Short-id: phe427

Working Papers

2020

1. Euro-Benchmarkreform - Neue Referenzzinssätze in der Eurozone
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

2019

2. Investigating the cross currency basis in EURUSD and EURGBP
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

2017

3. An integrated shortfall measure for Basel III
   Discussion Papers, Deutsche Bundesbank
4. The effectiveness of seasonal investments in European Share Portfolios
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
5. The long- and short-run impact of oil price changes on major global economies
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

2014

6. The impact of fundamental and financial traders on the term structure of oil
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
   See also Journal Article in Energy Economics (2015)
7. The liquidity reserve funding and management strategies
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (1)

2013

8. Functions and characteristics of corporate and sovereign CDS
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

2010

9. Determinanten von Banken-Spreads während der Finanzmarktkrise
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (3)
10. Funktionsweise und Replikationstil europäischer Exchange Traded Funds auf Aktienindices
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (4)
11. Implied correlations of iTraxx tranches during the financial crisis
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (5)
12. The value-added of investable hedge fund indices
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (4)

2009

13. Einführung in das Kapitalstrukturmanagement
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (4)
14. Empirische Analyse der Drawdowns von Dach-Hedgefonds
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (9)
15. Interne Transferpreise für Liquidität
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (6)

2008

16. Determinanten europäischer CMBS spreads: ein empirisches Modell zur Bestimmung der Risikoaufschläge von commercial mortgage-backed securities (CMBS)
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (8)
17. Liquiditätsmodellierung von Kreditzusagen (term facilities and revolver)
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (8)
18. Loss Given Default - Modelle zur Schätzung von Recovery Rates
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (10)
19. The dynamics of short- and long-term CDS-spreads of banks
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (6)

2007

20. Commodities in asset management
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
21. Gold in the investment portfolio
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (15)
22. Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (11)

2006

23. Heterogenität von Hedgefondsindizes
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (10)

2005

24. Möglichkeiten der Strukturierung von Hedgefondsportfolios
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (14)
25. Niederschlagsderivate
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (1)

2004

26. Die Anwendbarkeit der Behavioral Finance im Devisenmarkt
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (12)
27. Investitionen und Emissionen von Convertible Bonds (Wandelanleihen)
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (11)
28. Performance-Effekte nach Directors' Dealings in Deutschland, Italien und den Niederlanden
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (16)

2003

29. Investitionen in Collateralized Debt Obligations
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
30. Temperaturderivate zur strategischen Absicherung von Beschaffungs- und Absatzrisiken
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (11)

2002

31. Eine empirische Analyse der Spreadunterschiede von Festsatzanleihen zu Floatern im Euroraum und deren Zusammenhang zum Preis eines Credit Default Swaps
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (1)

2001

32. Bewertung von Kreditprodukten und Credit Default Swaps
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (4)
33. Einführung in die fundamentale Aktienanalyse
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
34. Event risk covenants
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

2000

35. Economic value added zur Prognose der Performance europäischer Aktien
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (2)
36. Entscheidungsorientierte Mindestmargenkalkulation
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
37. Hybrides Kernkapital für Kreditinstitute
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (1)
38. Neue Möglichkeiten durch die Namensaktie
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

1999

39. CatBonds: Möglichkeiten der Verbriefung von Katastrophenrisiken
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
40. Gründung einer deutschen Strombörse für Elektrizitätsderivate
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
41. Kreditderivate
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
42. Kreditrisiko (CreditMetrics)
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

1998

43. Die Umstellung auf die Stückaktie für deutsche Aktiengesellschaften
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
44. LIBOR in Arrears (Nachträgliche LIBOR-Feststellung)
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

Journal Articles

2018

1. Distance to compliance portfolios: An integrated shortfall measure for basel III
   Journal of Banking & Finance, 2018, 87, (C), 87-101

2017

2. Diskussion um Basel IV: Übermäßige Belastung für europäische Banken oder noch zu lax?
   ifo Schnelldienst, 2017, 70, (03), 03-22

2015

3. The impact of fundamental and financial traders on the term structure of oil
   Energy Economics, 2015, 48, (C), 276-287 View citations (6)
   See also Working Paper (2014)

2014

4. Characteristics and development of corporate and sovereign CDS
   Journal of Risk Finance, 2014, 15, (5), 482-509
5. How to make regulators and shareholders happy under Basel III
   Journal of Banking & Finance, 2014, 46, (C), 311-325 View citations (12)

2013

6. The value added of hedge fund styles in multi-asset portfolios: A new approach based on bull and bear market betas
   Review of Accounting and Finance, 2013, 12, (1), 44-59

2002

7. Basel II: Führen die neuen Anforderungen an die Kreditinstitute zu einer Benachteiligung des Mittelstands?
   ifo Schnelldienst, 2002, 55, (03), 03-19

1987

8. Book reviews
   Review of World Economics (Weltwirtschaftliches Archiv), 1987, 123, (4), 739-789

Books

2017

1. Finanzmathematik in der Bankpraxis
   Springer Books, Springer