Details about Philipp Koziol

Access statistics for papers by Philipp Koziol.

Last updated 2019-03-11. Update your information in the RePEc Author Service.

Short-id: pko460

Working Papers

2016

1. Support for the SME Supporting Factor - Multi-country empirical evidence on systematic risk factor for SME loans
   Debats Economiques et financiers, Banque de France View citations (12)
   Also in Discussion Papers, Deutsche Bundesbank (2016) View citations (13)

2015

2. Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?
   Discussion Papers, Deutsche Bundesbank View citations (5)
3. Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks
   Discussion Papers, Deutsche Bundesbank
4. Market Discipline Across Bank Governance Models. Empirical Evidence from German Depositors
   Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics View citations (1)
   Also in Discussion Papers, Deutsche Bundesbank (2015) View citations (1)
   See also Journal Article Market discipline across bank governance models: Empirical evidence from German depositors, The Quarterly Review of Economics and Finance, Elsevier (2016) View citations (14) (2016)

2014

5. Do correlated defaults matter for CDS premia? An empirical analysis
   Discussion Papers, Deutsche Bundesbank View citations (1)
   See also Journal Article Do correlated defaults matter for CDS premia? An empirical analysis, Review of Derivatives Research, Springer (2015) View citations (3) (2015)

2013

6. Evaluation of minimum capital requirements for bank loans to SMEs
   Discussion Papers, Deutsche Bundesbank View citations (6)

2009

7. The term structure of currency hedge ratios
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR)
   See also Journal Article THE TERM STRUCTURE OF CURRENCY HEDGE RATIOS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2011) View citations (2) (2011)

Journal Articles

2018

1. Many a little makes a mickle: Stress testing small and medium-sized German banks
   The Quarterly Review of Economics and Finance, 2018, 68, (C), 237-253 View citations (5)

2017

2. An analysis of the consistency of banks’ internal ratings
   Journal of Banking & Finance, 2017, 78, (C), 27-41 View citations (22)

2016

3. Market discipline across bank governance models: Empirical evidence from German depositors
   The Quarterly Review of Economics and Finance, 2016, 61, (C), 126-138 View citations (14)
   See also Working Paper Market Discipline Across Bank Governance Models. Empirical Evidence from German Depositors, Macroeconomics and Finance Series (2015) View citations (1) (2015)

2015

4. Do correlated defaults matter for CDS premia? An empirical analysis
   Review of Derivatives Research, 2015, 18, (3), 191-224 View citations (3)
   See also Working Paper Do correlated defaults matter for CDS premia? An empirical analysis, Discussion Papers (2014) View citations (1) (2014)

2014

5. Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth
   The Quarterly Review of Economics and Finance, 2014, 54, (4), 459-472

2011

6. Negative default dependence in supplier networks
   International Journal of Production Economics, 2011, 134, (2), 398-406 View citations (2)
7. THE TERM STRUCTURE OF CURRENCY HEDGE RATIOS
   International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (04), 525-557 View citations (2)
   See also Working Paper The term structure of currency hedge ratios, CFR Working Papers (2009) (2009)

2009

8. Supplier default dependencies: Empirical evidence from the automotive industry
   European Journal of Operational Research, 2009, 199, (1), 150-161 View citations (22)