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Dr Philipp Koziol

European Central Bank (on leave)

Research Interests

  • Risk Management especially Credit Risk Modelling
  • Banking Regulation
  • Stress Testing
  • Dependence Modelling

Refereed Publications

  • Arnold, E. A., I. Größl and P. Koziol (2016), Market Discipline Across Bank Governance Models: Empirical Evidence from German Depositors, Quarterly Review of Economics and Finance, Vol. 61, pp. 126-138.
  • Koziol, C., P. Koziol and T. Schön (2015), Do correlated defaults matter for CDS premia? An empirical analysis, Review of Derivatives Research, Vol. 18(3), 191-224.
  • Duellmann, K. and P. Koziol (2014), Are SME Loans Less Risky than Regulatory Capital Requirements Suggest?, Journal of Fixed Income, Vol. 23(4), 89-103.
  • Koziol, P. (2014), Inflation and Interest Rate Derivatives for FX Risk Management: Implications for Exporting Firms under Real Wealth, Quarterly Review of Economics and Finance, Vol. 54(4), 459-472.
  • Wagner, S.M., C. Bode and P. Koziol (2011), Negative Default Dependencies: Do Automotive Suppliers Benefit from their Competitors’ Default?, International Journal of Production Economics, Vol. 134, 398-406.
  • Korn, O. and P. Koziol (2011), The Term Structure of Currency Hedge Ratios, International Journal of Theoretical and Applied Finance, Vol. 14(4), 525-557.
  • Wagner, S.M., C. Bode and P. Koziol (2009), Supplier Default Dependencies: Empirical Evidence from the Automotive Industry, European Journal of Operational Research, Vol. 199(1), 150-161.
  • Koziol, P. (2006), Auswahl von Copulas zur Bewertung von Basketkreditderivaten, Blätter der DGVFM, XXVII, 665-680.

Refereeing

  • Emerging Markets Review
  • International Journal of Production Economics
  • Journal of Banking and Finance
  • Journal of Credit Risk
  • Small Business Economics

Additional information

Contact

Dr Philipp Koziol

Dr Philipp Koziol

+49 69 9566-3343

Address

Deutsche Bundesbank

Central Office, Directorate General Banking and Financial Supervision

Wilhelm-Epstein-Straße 14
60431 Frankfurt am Main