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Dr Ulrich Krüger

Research Interests

  • Mathematical applications in finance and macroeconomics
  • Credit risk modeling
  • Capital regulation, Basel II and III

Refereed Publications

  • Fink K., U. Krüger, B. Meller and L. Wong (2016), The credit quality channel: Modeling contagion in the interbank market, Journal of Financial Stability, Vol. 25, 83-97.
  • Krüger, U. (2000), Structural Aspects of ordered polymatroids, Discrete Applied Mathematics 99, Elsevier Science Publishers.

Other Working Papers and Publications

  • Cannata, F. and Krüger, U. (2011), The Impact of the New Regulatory Framework, Chapter 13 in: Basel III and Beyond: A Guide to Banking Regulation after the Crisis. Risk Books. Editors: Francesco Cannata and Mario Quagliariello.
  • Cannata, F. and U. Krüger (2009), Data need for stress-testing, Chapter 6 in: Stress-testing the Banking System: Methodologies and Applications. Cambridge University Press, Editor: Mario Quagliariello.
  • Festic, M. and U. Krüger (2009), Procyclicality: discussion related to potential extensions of Basel II framework, The Journal of Money and Banking - Bančni vestnik, Journal of the Banking Association of Slovenia, Vol. 58, No. 11, Ljubljana.
  • Krüger, U. and M. Festic (2008), Determinants of capital adequacy and procyclicality, The Journal of Money and Banking - Bančni vestnik, Journal of the Banking Association of Slovenia, Vol. 57, No. 11, Ljubljana.
  • Krüger, U. (1996), An extreme point theorem for ordered polymatroids on chain orders. Séminaire Lotharingien de Combinatoire 36, 1996.

Presentations

  • 2016: "Stress testing: a noval approach to model contagion in the interbank market", BoE Workshop for heads of financial stability, London, 22-23 February.
  • 2009: "Is Basel 2 procyclical? Results from a simulation study", CEBS Open Seminar "Assessing the Impact of Financial Regulation: Experiences and Challenges", Rome
  • 2008: "Cyclicality of Minimum Required Capital: A simulation study with dynamic adjustment strategies of banks", Eurobanking Maribor; Workshop on the Potential Pro-Cyclicality of the New Regulatory Framework, ECB Frankfurt
  • 2007: "Some aspects related to procyclicality of the Basel II minimum required capital", Eurobanking Montreux
  • 2005: "Time Series Properties of a Rating System based on Financial Ratios", Eurobanking Copenhagen

Additional information

Contact

Ulrich Krüger

Dr Ulrich Krüger

+49 69 9566-8613

Address

Deutsche Bundesbank

Central Office, Directorate General Financial Stability

Wilhelm-Epstein-Straße 14
60431 Frankfurt am Main