Details about Eva Lütkebohmert

Access statistics for papers by Eva Lütkebohmert.

Last updated 2025-09-09. Update your information in the RePEc Author Service.

Short-id: plt6

Working Papers

2024

1. Measuring Name Concentrations through Deep Learning
   Papers, arXiv.org View citations (1)
2. On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks
   Papers, arXiv.org
3. Robust Bernoulli mixture models for credit portfolio risk
   Papers, arXiv.org

2023

4. Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information
   Papers, arXiv.org View citations (2)
   See also Journal Article Improved robust price bounds for multi-asset derivatives under market-implied dependence information, Finance and Stochastics, Springer (2024) (2024)

2021

5. Robust deep hedging
   Papers, arXiv.org View citations (4)
   See also Journal Article Robust deep hedging, Quantitative Finance, Taylor & Francis Journals (2022) View citations (2) (2022)

2017

6. Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
   Discussion Papers, Deutsche Bundesbank View citations (5)

2015

7. Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
   Papers, arXiv.org View citations (9)

2009

8. 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
9. 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)
10. 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)
    See also Journal Article Treatment of double default effects within the granularity adjustment for Basel II, Journal of Credit Risk, Journal of Credit Risk

2008

11. Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance
    Papers, arXiv.org View citations (1)

2007

12. Granularity adjustment for Basel II
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (21)

Journal Articles

2024

1. Improved robust price bounds for multi-asset derivatives under market-implied dependence information
   Finance and Stochastics, 2024, 28, (4), 911-964
   See also Working Paper Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information, Papers (2023) View citations (2) (2023)

2023

2. A hybrid convolutional neural network with long short-term memory for statistical arbitrage
   Quantitative Finance, 2023, 23, (4), 595-613 View citations (1)
3. Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
   Journal of Banking & Finance, 2023, 148, (C) View citations (3)
4. Investor sentiment and global economic conditions
   Journal of Empirical Finance, 2023, 73, (C), 134-152 View citations (2)

2022

5. OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS
   International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (03), 1-31
6. Robust deep hedging
   Quantitative Finance, 2022, 22, (8), 1465-1480 View citations (2)
   See also Working Paper Robust deep hedging, Papers (2021) View citations (4) (2021)
7. Wealth management products, banking competition, and stability: Evidence from China
   Journal of Economic Dynamics and Control, 2022, 137, (C) View citations (5)

2021

8. Robust statistical arbitrage strategies
   Quantitative Finance, 2021, 21, (3), 379-402 View citations (2)

2020

9. A Multiple Curve Lévy Swap Market Model
   Applied Mathematical Finance, 2020, 27, (5), 396-421
10. Empirical analysis and forecasting of multiple yield curves
    Insurance: Mathematics and Economics, 2020, 95, (C), 59-78 View citations (2)

2019

11. Tightening robust price bounds for exotic derivatives
    Quantitative Finance, 2019, 19, (11), 1797-1815 View citations (8)

2017

12. 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)
13. Rollover risk and credit risk under time-varying margin
    Quantitative Finance, 2017, 17, (3), 455-469 View citations (5)

2014

14. A Multiperiod Bank Run Model for Liquidity Risk
    Review of Finance, 2014, 18, (2), 803-842 View citations (8)
15. OPTIMALITY OF PAYOFFS IN LÉVY MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (06), 1-46 View citations (2)
16. 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

17. Granularity Adjustment for Regulatory Capital Assessment
    International Journal of Central Banking, 2013, 9, (3), 38-77 View citations (18)

Undated

18. Calculating capital charges for sector concentration risk
    Journal of Credit Risk
19. 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)
20. Treatment of double default effects within the granularity adjustment for Basel II
    Journal of Credit Risk
    See also Working Paper Treatment of Double Default Effects within the Granularity Adjustment for Basel II, Bonn Econ Discussion Papers (2009) View citations (2) (2009)