Mitarbeiter

Dr. Klaus Duellmann

• Deutsche Bundesbank
• Central Office, Department of Banking and Financial Supervision
• Wilhelm Epstein Str. 14
• D-60431 Frankfurt am Main
•  
• +49 69 9566-8404
• Klaus Duellmann

Research Interests

• Risk modelling (in particular market risk, credit risk and liquidity risk) and model validation, economic capital models, derivative markets and products, market indicators and market discipline

Selected Publications and Working Papers

a) Refereed journals

• Duellmann, K., J. Küll and M. Kunisch (2010), Estimating Asset Correlations From Stock Prices or Default Rates – Which Method is Superior?, Journal of Economic Dynamics and Control, forthcoming.
• Duellmann, K. and M. Erdelmeier (2009), Crash Testing German Banks, International Journal of Central Banking, 5(3), 139-174.
• Duellmann, K., M. Scheicher and C. Schmieder (2008), Asset correlations and credit portfolio risk – an empirical analysis, Journal of Credit Risk, 4(2), 37-62.
• Duellmann, K. and A. Sosinska (2007), Credit Default Swap Prices as Risk Indicators of Listed German Banks, Financial Markets and Portfolio Management, Vol 21(3), 269-292.
• Duellmann, K. and N. Masschelein (2007), A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios, Journal of Financial Services Research, 32(1-2), 55-79.
• Duellmann, K., M. Uhrig-Homburg and M. Windfuhr (2000), Risk Structure of Interest Rates: An Empirical Analysis for Deutschemark-denominated Bonds, In: European Financial Management, 6(3), 367-388.
• Duellmann, K. and M. Windfuhr (2000), Credit Spreads Between German and Italian Sovereign Bonds - Do One-Factor Affine Models Work?, In: Canadian Journal of Administrative Sciences, 17(2), 166-181.

b) Other publications

• Duellmann, K. (2009), Regulatory Capital and Basel II, In: R. Cont (ed.), Encyclopedia of Quantitative Finance, Wiley, forthcoming.
• Duellmann, K. (2007), Measuring Concentration Risk in Credit Portfolios, In: G. Christodoulakis and S. Satchell (ed.) The Analytics of Risk Model Validation, Academic Press, 59-78.
• Duellmann, K. (2006), Basel II - Achievements and Challenges, In: K.-H. Waldmann and U. M. Stocker, Operations Research Proceedings, Springer, 2007.
• Duellmann, K. and M. Trapp (2005), Systematic Risk in Recovery Rates of US Corporate Credit Exposures, In: E. I. Altman, A. Resti and A. Sironi (ed.), Recovery Risk The Next Challenge in Credit Risk Management, Riskbooks, 235-252.
• Duellmann, K. and N. Masschelein (2006), The Impact of Sector Concentration in Loan Portfolios on Economic Capital, In: Financial Stability Review (ed.), National Bank of Belgium, 175-187.
• Duellmann, K. (2002), Konversionsfaktoren für Future-Kontrakte auf ausfallrisikobehaftete Anleihen, DUV Gabler Edition Wissenschaft, (German only).
• Duellmann, K. and W. Bühler (1998), Produktmanagement: Zu den Erfolgschancen eines Pfandbrief-Futures an der Deutschen Terminbörse, In: H. Glaser, E. F. Schröder und A. v. Werder (eds.), Organisation im Wandel der Märkte, Gabler Verlag, (German only).

c) Recent working papers

• Duellmann, K. and M. Erdelmeier, Stress testing German banks in a downturn of the automobile industry, Deutsche Bundesbank Discussion Paper (Series 2) 02/2009.
• Duellmann, K., M. Scheicher and C. Schmieder, Asset correlations and credit portfolio risk - an empirical analysis, Deutsche Bundesbank Discussion Paper (Series 2) 13/2007.
• Duellmann, K. and N. Masschelein, Sector concentration in loan portfolios and economic capital, Deutsche Bundesbank Discussion Paper (Series 2) 09/2006.
• Duellmann, K., Measuring business sector concentration by an infection model, Deutsche Bundesbank Discussion Paper (Series 2) 03/2006.