Publications

I. Monographs

  • Risk Assessment and Risk Transfer in Financial Institutions, unpublished Habilitation Thesis, TU Braunschweig 2014.
  • Risk Management in Credit Portfolios – Concentration Risk and Basel II, Contributions to Economics, Springer, Heidelberg 2010.

 

II. Peer-Reviewed Publications in Journals

  • Informational Synergies in Consumer Credit (with L. Norden, P. Usselmann and M. Gürtler). Journal of Financial Intermediation, forthcoming (VHB: A).
  • Exposure at Default Modeling - A Theoretical and Empirical Assessment of Estimation Approaches and Parameter Choice (with M. Gürtler and P. Usselmann), Journal of Banking & Finance, Vol. 91, S. 176–188 (VHB: A).
  • Insured Loss Inflation - How Natural Catastrophes Affect Reconstruction Costs (with D. Döhrmann and M. Gürtler), Journal of Risk and Insurance, Vol. 84, 2017, S. 851-879 (VHB: A).
  • How is your user feeling? Inferring Emotion through Human-Computer Interaction Devices (with J. Jenkins, C. Schneider, J. Valacich and M. Weinmann), MIS Quarterly, Vol. 41, 2017, S. 1-21 (VHB: A+).
  • The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds (with M. Gürtler and C. Winkelvos), Journal of Risk and Insurance, Vol. 83, 2016, S. 579-612 (VHB: A).
  • Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered (with F. Becker and M. Gürtler), European Journal of Finance, Vol. 21, 2015, S. 269-291 (VHB: B).
  • Improvements in Loss Given Default Forecasts for Bank Loans (with M. Gürtler), Journal of Banking & Finance, Vol. 37, 2013, S. 2354-2366 (VHB: A).
  • Measuring Concentration Risk for Regulatory Purposes (with M. Gürtler and C. Vöhringer), Journal of Risk, Vol. 12, 2010, S. 69-104 (VHB: B).
  • Unternehmensplanung in Venture Capital-Gesellschaften: Stochastische Modellierung und Simulation (with K. Viemann), Business Administration Review - Die Betriebswirtschaft, 69. Jg., 2009, S. 7-30 (VHB: C).
  • Concentration Risk under Pillar 2: When are Credit Portfolios Infinitely Fine Grained? (with M. Gürtler and D. Heithecker), Credit and Capital Markets - Kredit und Kapital, 41. Jg., 2008, S. 79-124 (VHB: C).
  • Inflationsindexierte Anleihen (with F. Feilke and M. Gürtler), Business Administration Review - Die Betriebswirtschaft, 67. Jg., 2007, S. 609-613 (VHB: C).
  • Anreizsysteme als Instrument des Beteiligungscontrolling in Venture-Capital-Gesellschaften (with K. Viemann), Journal of Management Control - Zeitschrift für Planung & Unternehmenssteuerung, 17. Jg., 2006, S. 301-322 (VHB: C).

 

III. Peer-Reviewed Publications in Proceedings

  • Investigating the Effect of Insurance Fraud on Mouse Usage in Human-Computer Interactions (with J. Jenkins, C. Schneider, J. Valacich and M. Weinmann), Proceedings of the International Conference on Information Systems (ICIS 2014), Auckland, Neuseeland (VHB: A).
  • An Econometric Analysis of the Demand Surge Effect (with D. Döhrmann and M. Gürtler), German Journal of Risk and Insurance - Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 102, 2013, S. 537-553 (VHB: C).
  • Customer-oriented Configuration Systems: One Type Fits All? (with M. Weinmann and S. Robra-Bissantz), Proceedings of the European Conference on Information Systems (ECIS 2011), Helsinki, Finnland, 2011 (VHB: B).
  • Optimizing Credit Risk Mitigation Effects of Collaterals under Basel II (with M. Gürtler and D. Heithecker), Operations Research Proceedings 2006: Selected Papers of the Annual International Conference of the German Operations Research Society (GOR), Springer, Berlin usw. 2007, S. 293-298 (VHB: D).

 

IV. Working Papers

  • Arising from the Ruins: The Impact of Natural Disasters on Reconstruction Labor Wages (with D. Döhrmann aund M. Gürtler). Presented at SOLE 2015, EEA 2014, EALE 2014, VHB 2014.
  • The Impact of Skin in the Game on Bank Behavior in the Securitization Market (with W. Osterkamp).
  • The Price Effect of Supply and Demand Shocks on Secondary Markets - Evidence from ‘Cash-for-Clunkers’ in Germany (with M. Gürtler and S. Gutknecht). Presented at SFA 2015.
  • Seasonality in Catastrophe Bonds (with M. Herrmann). Presented at WRIA 2019, DVfVW 2019, EGRIE 2019.
  • Identifying Online Fraud through Mouse Movement Behavior (with J. Jenkins, C. Schneider, J. Valacich und M. Weinmann).

 

V. Contributions to Books

  • Design of Collateralized Debt Obligations: The Impact of Target Ratings on the First Loss Piece (with M. Gürtler and S. Olboeter), in: G. N. Gregoriou, P. Ali (Hrsg.), The Credit Derivatives Handbook, McGraw-Hill, New York 2008, S. 203-228.
  • Beiträge "Archangel", "Event Driven", "Long Short Equity" und "Market Neutral", in: G. N. Gregoriou (Hrsg.), Encyclopedia of Alternative Investments, CRC, Routledge Francis 2008.

 

VI. Other Publications in Journals

  • Finanzierungsentscheidungen nach der Unternehmensteuerreform 2008 (with M. Gürtler and C. Vöhringer), WiSt - Wirtschaftswissenschaftliches Studium, 38. Jg., 2009, S. 232-238 (VHB: D).
  • Optimierung unter Basel II: Allokation von Kreditsicherheiten im Standardansatz (with M. Gürtler and D. Heithecker), OR News, o. Jg., November, 2006, S. 10-14.
  • Einsatz inflationsindexierter Anleihen im Asset-Liability-Management (with F. Feilke and M. Gürtler), Corporate Finance - Finanz Betrieb, 8. Jg., 2006, S. 653-659 (VHB: D).