Prof. Dr. Eva Lütkebohmert-Holtz

Leiterin der Forschungsgruppe für Finanzmathematik
Pricing of Risks in Incomplete Markets
Prof. Dr. Eva Lütkebohmert-Holtz Forschungsgruppe für Finanzmathematik 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(at)vwl.uni-freiburg.de Raum  2314, KG II Sprechstunde nach Vereinbarung   Lebenslauf

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

• Granularity Adjustment for Regulatory Capital Assessment, International Journal of Central Banking 9 (3), pp. 33-71, 2013 (with Michael Gordy).
• A multi-period bank run model for liquidity risk.
  Review of Finance, forthcoming (with G. Liang and Y. Xiao).
• 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.

Referierte Tagungsbeiträge

• Quantifcation of liquidity risk in a two-period model.
  Proceedings of Actuarial and Financial Mathematics Conference, pp. 51-60, Brussels (Belgium), 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

• A continuous time structural model for insolvency, recovery and rollover risk.
  Submitted, 2013 (with G. Liang and W. Wei).
• Value-at-risk computations in stochastic volatility models using cubature on Wiener space method.
  Submitted, 2013 (with L. Matchie).
• Optimal capital structure and default policy in an integrated structural model for market, credit and liquidity risk.
  Working paper, 2013 (with D. Oeltz and Y. Xiao)
• Optimality of payoffs in Levy models. (pdf)
  Submitted, 2013 (with E. A. von Hammerstein, L. Rüschendorf and V. Wolf)