Ulrich Krüger
Research Interests
- Mathematical applications in finance and macroeconomics
- Credit risk modeling
- Capital regulation, Basel II and III
- Systemic risk, contagion and network models
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Refereed Publications
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Structural Aspects of ordered polymatroids Krüger U.
2000 | Discrete Applied Mathematics 99, Elsevier Science Publishers.
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Other Working Papers and Publications
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The Impact of the New Regulatory Framework Cannata F., Krüger U.
2011 | Chapter 13 in: Basel III and Beyond: A Guide to Banking Regulation after the Crisis. Risk Books. Editors: Francesco Cannata and Mario Quagliariello.
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Procyclicality: discussion related to potential extensions of Basel II framework Festic M., Krüger U.
2009 | The Journal of Money and Banking – Bančni vestnik, Journal of the Banking Association of Slovenia, Vol. 58, No. 11, Ljubljana.
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Data need for stress-testing Cannata F., Krüger U.
2009 | Chapter 6 in: Stress-testing the Banking System: Methodologies and Applications. Cambridge University Press, Editor: Mario Quagliariello.
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Determinants of capital adequacy and procyclicality Krüger U., Festic M.
2008 | The Journal of Money and Banking – Bančni vestnik, Journal of the Banking Association of Slovenia, Vol. 57, No. 11, Ljubljana.
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An extreme point theorem for ordered polymatroids on chain orders Krüger U.
1996 | Séminaire Lotharingien de Combinatoire 36, 1996.
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Presentations
- 2024: Long-Term Implications of a Digital Euro on Liquidity and Funding Costs in the German Banking System, Workshop der Research Group des Baseler Ausschusses für Bankenaufsicht, Oslo, 13 November
- 2022: Measuring systemic liquidity risk in the banking system, World Banking & Finance Symposium, Miami, 16‑17 December
- 2019: Systemic Liquidity Shortfall: a macroprudential monitoring indicator of liquidity risk, Joint CNB/ECB/ESRB Workshop “Sources of structural systemic risk in the financial system: identification and measurement”, Prague, 3 July
- 2016: Stress testing: a noval approach to model contagion in the interbank market, BoE Workshop for heads of financial stability, London, 22‑23 February
- 2009: Is Basel 2 procyclical? Results from a simulation study, CEBS Open Seminar “Assessing the Impact of Financial Regulation: Experiences and Challenges”, Rome
- 2008: Cyclicality of Minimum Required Capital: A simulation study with dynamic adjustment strategies of banks, Eurobanking Maribor; Workshop on the Potential Pro-Cyclicality of the New Regulatory Framework, ECB Frankfurt
- 2007: Some aspects related to procyclicality of the Basel II minimum required capital, Eurobanking Montreux
- 2005: Time Series Properties of a Rating System based on Financial Ratios, Eurobanking Copenhagen
Discussion Papers