Peter Raupach

Research Interests

  • Single-name and portfolio credit risk
  • Banking and credit risk transfer
  • Risk measures, risk aggregation
  • Systemic risk measures, network effects

Refereed Publications

  • Löffler, G. and P. Raupach (2018), Pitfalls in the Use of Systemic Risk Measures. Journal of Financial and Quantitative Analysis, Vol. 53(3), 269-298.
  • Alter, A., B. Craig and P. Raupach (2015), Centrality-based capital allocations, International Journal of Central Banking, Vol. 11(3), 329-377.
  • Memmel, C., Y. Gündüz and P. Raupach (2015), The Common Drivers of Default Risk, Journal of Financial Stability, Vol. 16, 232-247.
  • Memmel, C. and P. Raupach (2010), How do banks adjust their capital ratios?, Journal of Financial Intermediation, Vol. 19(4), 509–528.
  • Güttler, A. and P. Raupach (2010), The Impact of Downward Rating Momentum, Journal of Financial Services Research, Vol. 37(1), 1-23.
  • Raupach, P. (1999), On Driftless One-Dimensional SDEs With Time-Dependent Diffusion Coefficients. Stochastics and Stochastics Reports, Vol. 67, 207-230.

Other Working Papers and Publications

  • 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.
  • 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.


  • 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