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Prof. Dr. Eva Lütkebohmert-Holtz

Leiterin der Abteilung für Quantitative Finanzmarktforschung
   
Prof. Dr. Eva Lütkebohmert-Holtz
Abteilung für Quantitative Finanzmarktforschung
Wirtschafts- und Verhaltenswissenschaftliche Fakultät
Albert-Ludwigs-Universität Freiburg
Platz der Alten Synagoge 1, KG II
79098 Freiburg i. Br.
(Germany)
 
Telefon  +49 761 203 9362
Fax  +49 761 203 9367
E-Mail  eva.luetkebohmert@finance.uni-freiburg.de
Raum  2314, KG II

Sprechstunde: Donnerstags, 11:00-12:00 Uhr

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 Lebenslauf
Prof. Dr. E. Lütkebohmert-Holtz

 

Forschungsinteressen

  • Credit Risk Modelling
  • Liquidity Risk
  • Valuation and Hedging of Derivatives

 

Publikationen

Monographien

  • Concentration Risk in Credit Portfolios.
    Springer Verlag, European Actuarial Academy (EAA) Lecture Notes, 2009.

 

Artikel

  • Endogenous credit spreads and optimal debt fi nancing structure in the presence of liquidity risk. European Financial Management 23(1), pp. 55-86, 2017 (with D. Oeltz and Y. Xiao).
  • Rollover risk and credit risk under time-varying margin. Quantitative Finance 17(3), pp. 455-469, 2017 (with X.-Z. He and Y. Xiao)
  • Collateralized Borrowing and Default Risk. In: Kallsen, J., Papapantoleon, A. (Eds.): Advanced Modelling in Mathematical Finance - In honour of Ernst Eberlein, Springer Proceedings in Mathematics & Statistics, Springer, pp. 167-187, 2016 (with Y. Xiao).
  • Funding liquidity, debt tenor structure, and creditor's belief: An exogenous dynamic debt run model. Mathematics and Financial Economics 9, pp. 271-302, 2015. DOI: 10.1007/s11579-015-0144-6 (with G. Liang and W. Wei).
  • Optimality of payoffs in Lévy models
    International Journal of Theoretical and Applied Finance 17 (6), 1450041, 2014. DOI: 10.1142/S0219024914500411 (with E. A. von Hammerstein, L. Rüschendorf, V. Wolf).
  • A multi-period bank run model for liquidity risk. 
    Review of Finance 18, pp. 803-842, 2014 (with G. Liang and Y. Xiao).
  • Value-at-Risk computations in stochastic volatility models using second order weak approximation schemes.
    International Journal of Theoretical and Applied Finance 17(1), 1450004, 2014 (with L. Matchie).
  • Granularity Adjustment for Regulatory Capital Assessment. 
    International Journal of Central Banking 9 (3), pp. 33-71, 2013 (with M.B. Gordy).
  • Failure of the saddle-point method in the presence of double defaults.
    Journal of Risk 15 (1), pp. 71-89, 2012.
  • An asset drop model as an alternative to the treatment of double defaults within the Basel framework.
    Journal of Credit Risk 8 (3), pp. 41-63, 2012 (with S. Ebert).
  • Treatment of double default effects within the granularity adjustment for Basel II.
    Journal of Credit Risk 7 (1), pp. 1-31, 2011 (with S. Ebert).
  • Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance.
    SIAM Journal of Mathematical Analysis 40 (5), pp. 2132-2153, 2009 (with B. Forster and J. Teichmann).
  • Granularity adjustment for Basel II.
    Discussion paper, Series "Banking and Financial Studies" 01/2007, Deutsche Bundesbank 2007, (with M.B. Gordy).
  • Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project.
    BCBS Publications No. 15 available at http://www.bis.org/publ/bcbs_wp15.htm) November 2006 (with P. Asberg Sommar, M. Birn, J. Demuynck, K. Düllmann, A. Foglia, M. B. Gordy, T. Isogai, C. Lotz, C. Martin, N. Masschelein, C. Pearce, J. Saurina, M. Scheicher. C. Schmieder, Y. Shiina, K. Tsatsaronis, H. Walker).
  • An asymptotic expansion for the Black-Scholes model with generalized volatility.
    Bulletin des Sciences Mathématiques 128 (8), pp. 661-685, 2004.

 

Tagungsbeiträge

  • Construction of cost-efficient self-quanto calls and puts in exponential Lévy models
    In: Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Schoutens, W., Vanduffel, S., Vyncke, D. (Eds.): Handelingen Contactforum Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, February 6-7, 2014, Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten, Brussel, pp. 49-61, 2014 (with E.A. v. Hammerstein, L. Rüschendorf, V. Wolf) (pdf)
  • Quantifcation of liquidity risk in a two-period model.
    In: Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Schoutens, W., Vanduf- fel, S., Vyncke, D. (Eds.): Handelingen Contactforum Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, February 10-11, 2011, Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten, Brussel, pp. 51-60, 2011 (with G. Liang and Y. Xiao).
  • Quantifcation of idiosyncratic risk in the ASRF model.
    Proceedings of the Third Brazilian Conference on Statistical Modelling in Insurance and Finance, pp. 160-165, Maresias (Brazil) 2007 (with M.B. Gordy).

 

Dissertation

  • Finite dimensional realizations of interest rate models with jumps and an asymptotic expansion for the Black-Scholes model with generalized volatility.
    Dissertation, Universität Bonn 2004.

 

Arbeitspapiere

  • Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve (with D. Foos, M. Markovych, K. Pliszka).
  • Optimal cross-border mortgage decisions (with E.A. von Hammerstein and T. Schmidt).
  • Calculating concentration risk charges (with C. Kurtz and J. Sester).

 

Benutzerspezifische Werkzeuge