Mitarbeiter

Dr. Thilo Liebig

• Deutsche Bundesbank
• Central Office, Banking and Financial Supervision Department, Research Center
• Wilhelm Epstein Str. 14
• 60431 Frankfurt am Main
•  
• +49 69 9566-2819

Research Interests

• Financial stability, especially issues related to Banking Regulation, International Lending, Stress Testing.
• Risk modeling, especially issues related to Basel II, Credit Risk, Asset Correlations, Validation
• Previous Research: Bayesian Search Problems, Arbitrage and Pricing in markets with transactions costs

Selected Publications and Working Papers

• Herrmann, H., Liebig, T. and Weber, A. (2007): Finanzmärkte, Banken und Finanzstabilität: Ausbau der Forschungsschwerpunkte der Deutschen Bundesbank. (50 Jahre Deutsche Bundesbank), Zeitschrift für das gesamte Kreditwesen, 60 (2007), 19, pages 1016-1019
• Hamerle, A., Jobst, R., Liebig, T. and Rösch, D. (2007): Multiyear risk of credit losses in SME portfolios, Journal of Financial Forecasting, Volume 1, No. 2, pages 1-29
• Kamp, A., Pfingsten, A. and Liebig, T. (2007): Diversifikation oder Spezialisierung - Eine Branchenanalyse der Kreditportfolios der Banken in Deutschland, zfbf, Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung, Sonderheft 57/07, pages 1-38
• Liebig, T., Porath, D., Weber, B. and Wedow, M. (2007): Basel II and bank lending to emerging markets: Evidence from the German banking sector, Journal of Banking and Finance 31, pages 401-418
• Liebig,T. , Porath, D., Weder, B. and Wedow, M. (2006): Basel II and Bank Lending to Emerging Markets: Micro Evidence from German Banks, Forthcoming in Journal of Banking and Finance
• Hamerle, A., Liebig,T. and Scheule,H. (2006): Forecasting Credit Event Frequencies - Empirical Evidence for West German Firms. Forthcoming in Journal of Risk
• Liebig,T., Porath, D., Weder, B. and Wedow, M. (2005): Basel II and Bank Lending to Emerging Markets: Micro Evidence from German Banks
• Centre for Economic Policy Research, Discussion Paper 5163, August 2005
• Hamerle,A., Knapp,M., Liebig,T. and Wildenauer,N. (2005): Incorporating Prediction and Estimation Risk in Point-in-Time Credit Portfolio Models
• Deutsche Bundesbank, Discussion Paper Series 2, No 05/2005
• Liebig, T., Porath, D., Weder, B. and Wedow, M. (2004): How will Basel II affect bank lending to emerging markets? An analysis based on German bank level data,
• Deutsche Bundesbank Discussion Paper Series 2, No 05/2004
• Hamerle, A., Liebig, T. and Scheule,H. (2004): Forecasting Credit Portfolio Risk,
• Deutsche Bundesbank Discussion Paper Series 2, No 01/2004
• Hamerle, A., Liebig, T. and Rösch, D. (2003): Credit Risk Factor Modeling and the Basel II IRB Approach,
• Deutsche Bundesbank Discussion Paper Series 2, No 02/2003
• Hamerle, A., Liebig, T. and Rösch, D. (2003): Benchmarking asset correlations, Risk 16 November 2003, pages 77-81
• Hamerle, A., Liebig, T. and Scheule, H. (2002): Dynamic Modeling of Credit Portfolio Risk with Time-Discrete Hazard Rates,
• Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft, Nr. 369, May 2002
• Hamerle, A., Liebig, T. and Rösch,D. (2002): Assetkorrelationen der Schlüsselbranchen in Deutschland, Die Bank 07/2002
• Blochwitz, S., Liebig, T. and Nyberg, M. (2000): Benchmarking Deutsche Bundesbank’s Default Risk Model, the KMV Private Firm Model and Common Financial Ratios for German Corporations,
• Working paper, Deutsche Bundesbank, KMV Corporation
• Hohl, S. und Liebig, T. (1999): Kreditderivate - ein Überblick,
• Handbuch Kreditrisikomodelle und Kreditderivate, Herausgeber Eller/Gruber/Reif
• Liebig, T. (1998): Arbitrage and Martingales in Markets with Large Investors,
• Working paper, Universität Ulm
• Liebig, T. (1997): Pricing of American contingent claims in finite securities markets with Transaction Costs in discrete time,
• Working paper, Universität Ulm
• Liebig, T. (1997): The Fundamental Theorem of Asset Pricing in finite securities markets with Transaction Costs in discrete time,
• Working paper, Universität Ulm
• Liebig, T. (1996): Discounted Bayesian Search Problems with Unknown Detection Probabilities,
• Mathematical Methods of Operations Research 44: 233-254
• Liebig, T. und Rieder, U. (1996): Optimal Greedy Policies for Stochastic Control Models,
• Mathematical Methods of Operations Research 44: 115-133