Central Office, Department of Banking and Financial Supervision
Wilhelm Epstein Str. 14
60431 Frankfurt am Main
+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.