Mitarbeiter

Dr. Peter Raupach

• Deutsche Bundesbank
• Central Office, Department of Banking and Financial Supervision
• Wilhelm Epstein Str. 14
• D-60431 Frankfurt am Main
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• +49 69 9566-8536

Research Interests

• Single-name and portfolio credit risk
• Banking and credit risk transfer
• Risk modelling
• Stock based compensation
• Stochastics

Refereed Articles

• How do banks adjust their capital ratios?, with Christoph Memmel, Journal of Financial Intermediation, Nov 2009, doi: 10.1016/j.jfi.2009.10.002.
• The Impact of Downward Rating Momentum, with André Güttler, Journal of Financial Services Research, Oct 2009, doi: 10.1007/s10693-009-0075-6.
• On Driftless One-Dimensional SDEs With Time-Dependent Diffusion Coefficients. Stochastics and Stochastics Reports 67, 1999, 207-230.

Working Papers

• The impact of downward rating momentum on credit portfolio risk, with André Güttler, June 2006, Bundesbank Discussion Papers Series 2, No 16/2008.
• How do banks adjust their capital ratios? Evidence from Germany, with Christoph Memmel, April 2007, Bundesbank Discussion Papers Series 2, No 06/2007.
• The Valuation of Employee Stock Options - How Good Is the Standard? December 2003, Working Paper Series: Finance and Accounting, Goethe-University Frankfurt/Main No 122.
• The Cost of Employee Stock Options, November 2003, Working Paper Series: Finance and Accounting, Goethe-University Frankfurt/Main No 123.
• Das Verhalten der Aktienbetreuer und ihr Einfluß auf die Marktliquidität, with Mark Wahrenburg, Duong Nguyen. 2000, Working Paper (in German).
• On Driftless One-Dimensional SDE — The “Hottest” and “Coldest” Solution, 1999, Working Paper.

Contributions to Books and Monographs

• What do Market Makers achieve? Evidence from a large scale experimental stock market, with Mark Wahrenburg, Jörg Bochow, Duong Nguyen. in: F. Bolle, M. Lehmann-Waffenschmidt (2002): Surveys in Experimental Economics. Bargaining, Cooperation and Election Stock Markets, Physika, 229-250.