Christian C. P. Wolff

University of Luxembourg

Research Professor of Finance

6, rue Richard Coudenhove-Kalergi

Kirchberg Campus

Luxembourg, South 1359

Luxembourg

Centre for Economic Policy Research (CEPR)

Research Fellow

London

United Kingdom

SCHOLARLY PAPERS

41

DOWNLOADS

8,388

SSRN CITATIONS

58

CROSSREF CITATIONS

114

Scholarly Papers (41)

1.

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Management School, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Stockholm School of Economics, University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Aalto University
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non-standard errors, multi-analyst approach, liquidity

2.
Downloads 1,119 ( 24,575)
Citation 16

Contingent Capital: The Case for COERCs

INSEAD Working Paper No. 2011/133/FIN
Number of pages: 54 Posted: 04 May 2011 Last Revised: 23 Dec 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg
Downloads 834 (36,734)
Citation 10

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Contingent Capital: The Case for COERCs

Number of pages: 49 Posted: 16 Mar 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg
Downloads 280 (139,037)
Citation 12

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Convertible bonds, bank capital, death spiral, debt overhang

Contingent Capital: The Case for COERCs

Number of pages: 46 Posted: 22 Nov 2010
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg
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Banks, Financial crisis, Financial stability, Security design

3.
Downloads 988 ( 29,402)
Citation 5

An Evaluation Framework for Alternative VAR Models

Number of pages: 25 Posted: 21 Jan 2002
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg
Downloads 694 (47,198)
Citation 2

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

Number of pages: 21 Posted: 31 Jul 2003
Christian C. P. Wolff, Dennis Bams and Thorsten Lehnert
University of Luxembourg, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 260 (150,132)

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Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions

An Evaluation Framework for Alternative VAR Models

Number of pages: 28 Posted: 16 Jul 2002
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg
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Value-at-risk, financial time series, exchange rate positions, GARCH, estimation risk, fat tail distributions

4.

A Cumulative Prospect Theory Approach to Option Pricing

Number of pages: 36 Posted: 30 Nov 2010
Cokki Versluis, Thorsten Lehnert and Christian C. P. Wolff
Independent, University of Luxembourg and University of Luxembourg
Downloads 650 (52,145)
Citation 1

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Prospect Theory, Framing, Mental Accounting, Risk Attitude, Loss Aversion, Probability Perception, Weighting Function, Stochastic Volatility, Option Pricing

5.

Extreme Us Stock Market Fluctuations in the Wake of 9/11

Number of pages: 27 Posted: 08 Dec 2003
Stefan Straetmans, Willem F. C. Verschoor and Christian C. P. Wolff
Maastricht University, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg
Downloads 452 (81,983)
Citation 20

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Market Crashes, Bivariate Extreme Value Analysis, Extreme Co-movements, heavy tails, Value-at-Risk, tail beta, extreme dependence

Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration

Number of pages: 24 Posted: 07 Mar 2005
Michel R. van Tol and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 385 (97,974)
Citation 1

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Multivariate threshold cointegration,TAR models, Foreign exchange

Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration

Number of pages: 27 Posted: 27 Jul 2005
Michel R. van Tol and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 18 (686,923)
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Multivariate threshold cointegration, TAR models, foreign exchange

Are Capital Requirements on Small Business Loans Flawed?

Best AFFI 2016 paper in banking & insurance
Number of pages: 53 Posted: 09 Aug 2012 Last Revised: 06 Nov 2018
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg
Downloads 242 (161,206)
Citation 2

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Small business credit risk, capital charges, default correlation, factor models

Are Capital Requirements on Small Business Loans Flawed?

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 53 Posted: 13 Dec 2015 Last Revised: 06 Nov 2018
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg
Downloads 88 (364,941)
Citation 6

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Small business credit risk; IRB capital requirements; asset correlations; lending regulation.

Leverage and Risk in US Commercial Banking in the Light of the Current Financial Crisis

Luxembourg School of Finance (LSF) Research Working Paper Series, No 10-12
Number of pages: 26 Posted: 15 Mar 2010 Last Revised: 15 Nov 2013
Christian C. P. Wolff and Nikolaos I. Papanikolaou
University of Luxembourg and Newcastle University
Downloads 293 (132,631)

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financial crisis, risk, leverage, commercial banking

Leverage and Risk in US Commercial Banking in the Light of the Current Financial Crisis

Number of pages: 27 Posted: 20 Oct 2015
Nikolaos I. Papanikolaou and Christian C. P. Wolff
Newcastle University and University of Luxembourg
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commercial banking, financial crisis, leverage, risk

9.

A Prospect Approach to Option Pricing

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 01 Dec 2021
Christian C. P. Wolff, Thorsten Lehnert and Cokki Versluis
University of Luxembourg, University of Luxembourg and Independent
Downloads 263 (148,942)

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Prospect Theory, Framing, Mental Accounting, Risk attitude, Loss aversion, Probability

10.
Downloads 230 (171,990)
Citation 11

Contingent Capital: The Case of COERCs

AFA 2013 San Diego Meetings Paper
Number of pages: 54 Posted: 16 Mar 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg, University of Illinois and INSEAD - Finance
Downloads 167 (227,018)
Citation 5

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crisis, banks, recapitalization, reverse convertible

Contingent Capital: The Case of COERCs

Number of pages: 53 Posted: 26 Jan 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg, University of Illinois and INSEAD - Finance
Downloads 60 (453,220)

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Contingent Capital: The Case of COERCs

Number of pages: 52 Posted: 12 Mar 2013
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg
Downloads 3 (814,114)

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convertible bonds

Loss Functions in Option Valuation: A Framework for Model Selection

Number of pages: 22 Posted: 22 Jul 2004
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg
Downloads 157 (239,379)
Citation 1

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Option pricing, loss functions, estimation risk, GARCH, implied volatility

Loss Functions in Option Valuation: A Framework for Model Selection

Number of pages: 24 Posted: 27 Jul 2005
Dennis Bams, Thorsten Lehnert and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg
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Option pricing, loss functions, estimation risk, GARCH, implied volatility

12.

Dispersion of Beliefs and Market Volatility in the Foreign Exchange Market

EFA 2006 Zurich Meetings
Number of pages: 33 Posted: 08 Mar 2006
VU University Amsterdam - Department of Finance and Financial Sector Management, Dutch Central Bank (DNB), University of Luxembourg and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 146 (253,473)

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Exchange rate expectations, heterogeneity, dispersion of beliefs, bounded rationality, tail behaviour, survey data

13.

Chartists, Fundamentalists, and Dispersion in the Foreign Exchange Market

Number of pages: 34 Posted: 16 Mar 2009
Dutch Central Bank (DNB), University of Luxembourg, VU University Amsterdam - Department of Finance and Financial Sector Management and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 143 (257,728)

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Chartists, exchange rate expectations, fundamentalists, heterogeneity, dispersion of beliefs, bounded rationality, survey data

14.

The Role of On- and Off-Balance-Sheet Leverage of Banks in the Late 2000s Crisis

Journal of Financial Stability 14, 2014, pp.3-22
Number of pages: 62 Posted: 17 Jan 2013 Last Revised: 04 Dec 2014
Nikolaos I. Papanikolaou and Christian C. P. Wolff
Newcastle University and University of Luxembourg
Downloads 133 (272,845)
Citation 1

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bank leverage; deleveraging process; individual bank risk; systemic risk; financial crisis

15.

Spillovers to Small Business Credit Risk

Number of pages: 49 Posted: 28 Oct 2013 Last Revised: 06 Nov 2018
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), WHU - Otto Beisheim School of Management and University of Luxembourg
Downloads 124 (287,460)
Citation 1

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Spillover effects, supply chain, small businesses, credit risk

Are Capital Controls in the Foreign Exchange Market Effective?

Number of pages: 38 Posted: 24 Feb 2008
Stefan Straetmans, Roald J. Versteeg and Christian C. P. Wolff
Maastricht University, University of London - Economics, Mathematics and Statistics and University of Luxembourg
Downloads 94 (349,820)

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Capital controls; Exchange Rates; Interest differentials; Forward Premia

Are Capital Controls in the Foreign Exchange Market Effective?

Number of pages: 39 Posted: 11 Jun 2008
Stefan Straetmans, Roald J. Versteeg and Christian C. P. Wolff
Maastricht University, University of London - Economics, Mathematics and Statistics and University of Luxembourg
Downloads 5 (796,740)
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Capital controls, Exchange Rates, Forward premia, Interest differentials, Monetary freedom

17.

Are Capital Controls in the Foreign Exchange Market Effective?

Number of pages: 34 Posted: 22 Jan 2009
Stefan Straetmans, Christian C. P. Wolff and Roald J. Versteeg
Maastricht University, University of Luxembourg and University of London - Economics, Mathematics and Statistics
Downloads 60 (446,786)
Citation 2

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Capital controls, Exchange Rates, Interest differentials, Forward premia, Monetary Freedom

18.

Modelling Scale-Consistent VAR with the Truncated Levy Flight

Number of pages: 42 Posted: 26 Mar 2001
Thorsten Lehnert and Christian C. P. Wolff
University of Luxembourg and University of Luxembourg
Downloads 31 (577,511)
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Augmented GARCH process, in- and out-of-sample analysis, scale consistency, truncated Levy Flight, value-at-risk

19.

Foreign Exchange Rate Expectations: Survey and Synthesis

Journal of Economic Surveys, Vol. 22, No. 1, pp. 140-165, February 2008
Number of pages: 26 Posted: 31 Jan 2008
Ron Jongen, Willem F. C. Verschoor and Christian C. P. Wolff
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg
Downloads 25 (614,780)
Citation 5
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20.

Risk Premia in the Term Structure of Interest Rates: A Panel Data Approach

Number of pages: 35 Posted: 05 Apr 2002
Dennis Bams and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
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Expectations hypothesis, risk premium

21.

More Evidence on the Dollar Risk Premium in the Foreign Exchange Market

Number of pages: 31 Posted: 27 Feb 2003
Dennis Bams, Kim Walkowiak and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Maastricht University - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg
Downloads 24 (621,695)
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Forward exchange, risk

22.

Time Variation in Term Premia: International Evidence

Number of pages: 34 Posted: 27 Jul 2005
Ron Jongen, Willem F. C. Verschoor and Christian C. P. Wolff
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg
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Interest rate expectations, EMS, expectations hypothesis, rationality, survey data, term structure, time-varying term premia

23.

Skewness Risk Premium: Theory and Empirical Evidence

Number of pages: 35 Posted: 21 Feb 2013
Thorsten Lehnert, Yuehao Lin and Christian C. P. Wolff
University of Luxembourg, Luxembourg School of Finance and University of Luxembourg
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Citation 1
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asset pricing, central moments, investor sentiment, option markets, risk aversion, skewness risk premium

24.

Dispersion of Beliefs in the Foreign Exchange Market

Number of pages: 46 Posted: 11 Jun 2008
Dutch Central Bank (DNB), Vrije Universiteit Amsterdam, School of Business and Economics, University of Luxembourg and VU University Amsterdam - Department of Finance and Financial Sector Management
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exchange rates, expectations, heterogeneity, survey data

25.

Euro at Risk: The Impact of Member Countries’' Credit Risk on the Stability of the Common Currency

Number of pages: 35 Posted: 01 Feb 2013
Luxembourg School of Finance, Universite du Luxembourg - Luxembourg School of Finance, University of Luxembourg, Luxembourg School of Finance and University of Luxembourg
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credit default swaps, currency options, currency stability, European sovereign debt crisis, risk-neutral distribution

26.

Which Factors Play a Role in Coco Issuance? Evidence from European Banks

Number of pages: 35 Posted: 11 Feb 2021
Theo Vermaelen, Sara Wagner and Christian C. P. Wolff
INSEAD - Finance, Banque Internationale a Luxembourg and University of Luxembourg
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27.

Euro at Risk: The Impact of Member Countries’ Credit Risk on the Stability of the Common Currency

26th Australasian Finance and Banking Conference 2013
Number of pages: 36 Posted: 24 Aug 2013
Luxembourg School of Finance, Universite du Luxembourg - Luxembourg School of Finance, University of Luxembourg, Luxembourg School of Finance and University of Luxembourg
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European sovereign debt crisis, currency options, credit default swaps, currency stability, risk-neutral distribution, crash risk, tail risk

28.

Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies

Number of pages: 53 Posted: 30 Jul 2019
J. Thomas Connelly and Christian C. P. Wolff
Chulalongkorn University - Faculty of Commerce and Accountancy and University of Luxembourg
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agency conflicts, control, Family ownership, Payout policy

The Determinants of CoCo Bond Prices

INSEAD Working Paper No. 2018/50/FIN
Posted: 15 Oct 2018 Last Revised: 08 Jan 2019
Sara Abed Masror Khah, Theo Vermaelen and Christian C. P. Wolff
Universite du Luxembourg, INSEAD - Finance and University of Luxembourg

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The Determinants of CoCo Bond Prices

INSEAD Working Paper No. 2018/50/FIN
Posted: 15 Oct 2018
Sara Abed Masror Khah, Theo Vermaelen and Christian C. P. Wolff
Universite du Luxembourg, INSEAD - Finance and University of Luxembourg

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30.

Trading in Style: Retail Investors vs. Institutions

Number of pages: 35 Posted: 01 Dec 2017
Christian C. P. Wolff
University of Luxembourg
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31.

Cross-Border Mergers and Acquisitions: Evidence from the Indochina Region

Number of pages: 14 Posted: 05 Jun 2017
Manapol Ekkayokkaya, Pimnipa Foojinphan and Christian C. P. Wolff
Chulalongkorn University - Department of Banking & Finance, Chulalongkorn University and University of Luxembourg
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colonial history, Foreign direct investment, South-East Asia

32.

Does the CAMEL Bank Ratings System Follow a Procyclical Pattern?

Number of pages: 20 Posted: 01 Dec 2015
Nikolaos I. Papanikolaou and Christian C. P. Wolff
Newcastle University and University of Luxembourg
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CAMELS ratings, financial crisis, financial stability, procyclicality

33.

Credit Risk Characteristics of US Small Business Portfolios

Number of pages: 39 Posted: 20 Oct 2015
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
Maastricht University - Department of Finance, WHU - Otto Beisheim School of Management and University of Luxembourg
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capital requirements

34.

Ripple Effects from Industry Defaults

Number of pages: 43 Posted: 20 Oct 2015
Dennis Bams, Magdalena Pisa and Christian C. P. Wolff
Maastricht University - Department of Finance, WHU - Otto Beisheim School of Management and University of Luxembourg
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default clustering, default risk transmission, market structure, supply chain

35.

Time-Varion in Term Premia

Posted: 07 Mar 2008
Willem F. C. Verschoor, Ron Jongen and Christian C. P. Wolff
Vrije Universiteit Amsterdam, School of Business and Economics, Dutch Central Bank (DNB) and University of Luxembourg

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Interest rate expectations, expectations hypothesis, rationality, survey data, term structure, time-varying term premia

36.

Survey Data and the Interest Rate Sensitivity of Us Bank Stock Returns

Posted: 10 Jul 2000
Christian C. P. Wolff and H.A. Benink
University of Luxembourg and Tilburg University

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37.

The Dynamics of Short-Term Interest Rate Volatility Reconsidered

Posted: 15 Sep 1999
Tilburg University - Department of Finance, MeesPierson Investment Bank, Maastricht University - Department of Finance and University of Luxembourg

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38.

Stochastic Trends and Jumps in EMS Exchange Rates

Posted: 14 Sep 1999
Fred Nieuwland, Willem F. C. Verschoor and Christian C. P. Wolff
Maastricht University - Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg

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39.

Interest Expectations and Exchange Rates News

Posted: 18 May 1999
Brinson Partners, Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg

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40.

On the Biasedness of Forward Foreign Exchange Rates: Irrationality of Risk Premia?

Posted: 11 Jan 1995
Stefano Cavaglia, Willem F. C. Verschoor and Christian C. P. Wolff
Brinson Partners, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg

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41.

On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?

Journal of Business, Vol 67, No 3, July 1994
Posted: 29 Jun 1994
Stefano Cavaglia, Willem F. C. Verschoor and Christian C. P. Wolff
Brinson Partners, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg

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