Peter Raupach
Research Interests
- Single-name and portfolio credit risk
- Banking and credit risk transfer
- Risk measures, risk aggregation
- Systemic risk measures, network effects
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Refereed Publications
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On Driftless One-Dimensional SDEs With Time-Dependent Diffusion Coefficients Raupach P.
1999 | Stochastics and Stochastics Reports, Vol. 67, 207-230.
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Other Working Papers and Publications
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Centrality-based capital allocations Alter A., Craig B., Raupach P.
2015 | Federal Reserve Bank of Cleveland Working Papers. No. .
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The Valuation of Employee Stock Options - How Good Is the Standard? Raupach P.
2003 | Working Paper Series: Finance and Accounting, Goethe-University Frankfurt/Main No 122.
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The Cost of Employee Stock Options Raupach P.
2003 | Working Paper Series: Finance and Accounting, Goethe-University Frankfurt/Main No 123.
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What do Market Makers achieve? Evidence from a large scale experimental stock market Bochow J., Nguyen D., Raupach P., Wahrenburg M.
2002 | Bargaining, Cooperation and Election Stock Markets, Physika, 229-250.
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Das Verhalten der Aktienbetreuer und ihr Einfluß auf die Marktliquidität Nguyen D., Raupach P., Wahrenburg M.
2000 | Universitätsbibliothek Johann Christian Senckenberg, Frankfurt am Main
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On Driftless One-Dimensional SDE – The “Hottest” and “Coldest” Solution Raupach P.
1999 | Working Paper.
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Presentations
- 2017: Workshop "Measurement and Control of Systemic Risk", Montréal; Workshop of ESCB Research Cluster "Financial stability, macroprudential regulation and microprudential supervision", Athen.
- 2015: RiskLab/Bank of Finland/ESRB Conference "Systemic Risk Analytics".
- 2014: Midwest Finance Association, Annual Meeting; Eastern Finance Association, Annual Meeting; FMA Annual European Conference; EUI conference "Macroeconomic Stability, Banking Supervision and Financial Regulation".
- 2013: Conference on "Risk Management and Reform of Bank Regulation" (Fordham and Peking University); annual meeting of the French Finance Association, German Finance Association, and the U.S. Southern Finance Association; EBA workshop "How to regulate and resolve systemically important banks"
- 2012: Credit risk workshop (University of Ulm); research seminar at School of Mathematical Sciences (City University Dublin)
- 2011: Symposium on Finance, Banking, and Insurance, Karlsruhe; Workshop of the Basel Committee’s Research Task Force, Istanbul; German Finance Association, Regensburg; International Risk Management Conference, Amsterdam
- 2010: Workshop "Liquidity and Trust in Incomplete Markets", Eltville
- 2008: Financial Intermediation Research Society, Anchorage; Swiss Finance Association, Zurich; European Financial Management Association, Athens
- 2007: European Finance Association, Ljubljana; German Finance Association, Dresden; Workshop of the Basel Committee’s Research Task Force, Washington DC
Discussion Papers