EconPapers    
Economics at your fingertips  
 

Details about Steffen Sorensen

E-mail:
Workplace:Moody's Investor Service

Access statistics for papers by Steffen Sorensen.

Last updated 2013-04-05. Update your information in the RePEc Author Service.

Short-id: pso117


Jump to Journal Articles

Working Papers

2009

  1. Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves
    Bank of England working papers, Bank of England Downloads View citations (8)
    See also Journal Article in Journal of Banking & Finance (2010)
  2. The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in International Journal of Finance & Economics (2010)

2008

  1. Measuring monetary policy expectations from financial market instruments
    Bank of England working papers, Bank of England Downloads View citations (13)
  2. The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective
    Bank of England working papers, Bank of England Downloads View citations (29)

2007

  1. Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group Downloads View citations (6)
  2. The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)
    Discussion Papers, Department of Economics, University of York Downloads

2006

  1. THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Discussion Papers, Department of Economics, University of York (2006) Downloads
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) Downloads View citations (1)

2005

  1. Stress tests of UK banks using a VAR approach
    Bank of England working papers, Bank of England Downloads View citations (63)

2004

  1. Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group Downloads

Undated

  1. An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors
    Discussion Papers, Department of Economics, University of York Downloads View citations (4)
  2. Macroeconomic Sources of Equity Risk
    Discussion Papers, Department of Economics, University of York Downloads View citations (8)

Journal Articles

2010

  1. Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves
    Journal of Banking & Finance, 2010, 34, (2), 281-294 Downloads View citations (70)
    See also Working Paper (2009)
  2. The equity premium and the business cycle: the role of demand and supply shocks
    International Journal of Finance & Economics, 2010, 15, (2), 134-152 Downloads View citations (5)
    See also Working Paper (2009)
  3. The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application
    Journal of Banking & Finance, 2010, 34, (4), 713-729 Downloads View citations (60)

2009

  1. El impacto integrado del riesgo de crédito y de tasa de interés bancarios: una perspectiva del valor económico y suficiencia de capital
    Monetaria, 2009, XXXII, (1), 63-115 Downloads
 
Page updated 2020-10-19