Details about Eva Lütkebohmert
Access statistics for papers by Eva Lütkebohmert.
Last updated 2024-02-07. Update your information in the RePEc Author Service.
Short-id: plt6
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Working Papers
2017
- Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Discussion Papers, Deutsche Bundesbank View citations (5)
2009
- Failure of saddle-point method in the presence of double defaults
Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) 
See also Journal Article Failure of the saddlepoint method in the presence of double defaults, Journal of Risk, Journal of Risk
- Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation
Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE)
- Treatment of Double Default Effects within the Granularity Adjustment for Basel II
Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) View citations (2)
2008
- Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance
Papers, arXiv.org View citations (1)
2007
- Granularity adjustment for Basel II
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (21)
Journal Articles
2024
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
Finance and Stochastics, 2024, 28, (4), 911-964
2023
- A hybrid convolutional neural network with long short-term memory for statistical arbitrage
Quantitative Finance, 2023, 23, (4), 595-613 View citations (1)
- Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
Journal of Banking & Finance, 2023, 148, (C) View citations (2)
- Investor sentiment and global economic conditions
Journal of Empirical Finance, 2023, 73, (C), 134-152 View citations (1)
2022
- OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS
International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (03), 1-31
- Robust deep hedging
Quantitative Finance, 2022, 22, (8), 1465-1480 View citations (1)
- Wealth management products, banking competition, and stability: Evidence from China
Journal of Economic Dynamics and Control, 2022, 137, (C) View citations (5)
2021
- Robust statistical arbitrage strategies
Quantitative Finance, 2021, 21, (3), 379-402 View citations (2)
2020
- A Multiple Curve Lévy Swap Market Model
Applied Mathematical Finance, 2020, 27, (5), 396-421
- Empirical analysis and forecasting of multiple yield curves
Insurance: Mathematics and Economics, 2020, 95, (C), 59-78 View citations (2)
2019
- Tightening robust price bounds for exotic derivatives
Quantitative Finance, 2019, 19, (11), 1797-1815 View citations (8)
2017
- Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk
European Financial Management, 2017, 23, (1), 55-86 View citations (1)
- Rollover risk and credit risk under time-varying margin
Quantitative Finance, 2017, 17, (3), 455-469 View citations (5)
2014
- A Multiperiod Bank Run Model for Liquidity Risk
Review of Finance, 2014, 18, (2), 803-842 View citations (7)
- OPTIMALITY OF PAYOFFS IN LÉVY MODELS
International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (06), 1-46 View citations (2)
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (01), 1-26
2013
- Granularity Adjustment for Regulatory Capital Assessment
International Journal of Central Banking, 2013, 9, (3), 38-77 View citations (15)
Undated
- Calculating capital charges for sector concentration risk
Journal of Credit Risk
- Failure of the saddlepoint method in the presence of double defaults
Journal of Risk 
See also Working Paper Failure of saddle-point method in the presence of double defaults, Bonn Econ Discussion Papers (2009) (2009)
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