References of "Wolff, Christian 50003342"
     in
Bookmark and Share    
See detailWhich Factors Play a Role in Coco Issuance? Evidence from European Banks.
Wolff, Christian UL

E-print/Working paper (2021)

This paper explores empirically the reasons why some banks issue Contingent Convertible Bonds while others do not. For this purpose we use a binary logistic model and control for the determinants ... [more ▼]

This paper explores empirically the reasons why some banks issue Contingent Convertible Bonds while others do not. For this purpose we use a binary logistic model and control for the determinants suggested by the literature on optimal capital structure which considers four drivers of capital structure: corporate taxes, costs of financial distress, agency costs and asymmetric information.. Our findings suggest that the banks with bigger size and those with higher Tier 1 capital, higher net loans, higher wholesale funding, lower level of leverage and lower risk weighted assets have a higher tendency to issue CoCos. Our results also suggest that banks in countries with higher annual growth rate of GDP per capita and those listed as G-SIBs are more likely to issue CoCos. [less ▲]

Detailed reference viewed: 50 (0 UL)
See detailAssociate Editor, Journal of Risk and Financial Management
Wolff, Christian UL

Diverse speeches and writings (2021)

Detailed reference viewed: 13 (1 UL)
See detailMember, Managing Board, European Banking Center Network
Wolff, Christian UL

Diverse speeches and writings (2021)

Detailed reference viewed: 17 (1 UL)
See detailAssociate Editor, Pacific-Basin Finance Journal
Wolff, Christian UL

Diverse speeches and writings (2021)

Detailed reference viewed: 13 (1 UL)
See detailGuest Editor, Journal of Risk and Financial Management
Wolff, Christian UL

in Wolff, Christiaan (Ed.) The Financial System in a Post COVID-19 World (2021)

Detailed reference viewed: 17 (4 UL)
See detailLocal Organiser, European Shadow Financial Regulatory Committee Meeting
Wolff, Christian UL

Scientific Conference (2020, February)

Detailed reference viewed: 23 (2 UL)
Full Text
Peer Reviewed
See detailSpillovers to small business credit risk
Wolff, Christian UL

in Small Business Economics (2020)

Do large credit risk shocks spill over to small businesses and affect their real economic activity? Using information on small business credit risk, we find that small businesses show increased default ... [more ▼]

Do large credit risk shocks spill over to small businesses and affect their real economic activity? Using information on small business credit risk, we find that small businesses show increased default and bankruptcy rates following a shock to a customer industry. On an industry level, the shock to a customer industry is followed by a decrease in industry markups, disproportionate closure of firms, and cutbacks in inventories. Our analysis quantifies the elevated credit risk among small businesses and suggests a non-negligible 0.83% increase in expected losses on a diversified loan portfolio following a credit risk shock. This study provides banks and supervisors with greater clarity on timing and on the extent of elevated small business credit risk. It also allows them to assess the exposure of a bank portfolio to fluctuations in small business default rate. Such improved default prediction reduces credit rationing to the small business economy. [less ▲]

Detailed reference viewed: 95 (4 UL)
See detailAssociate Editor, Journal of Risk and Financial Management
Wolff, Christian UL

Diverse speeches and writings (2020)

Detailed reference viewed: 23 (1 UL)
See detailAssociate Editor, Pacific Basin Finance Journal
Wolff, Christian UL

Diverse speeches and writings (2020)

Detailed reference viewed: 11 (0 UL)
Full Text
Peer Reviewed
See detailExecuting trades in style: Retail investors vs. institutions
Wolff, Christian UL

in Asia-Pacific Journal of Accounting and Economics (2020)

Detailed reference viewed: 89 (10 UL)
See detailAssociate Editor, Journal of International Financial Markets, Institutions and Money
Wolff, Christian UL

Diverse speeches and writings (2020)

Detailed reference viewed: 12 (0 UL)
See detailMember, Management Board, European Banking Center Network
Wolff, Christian UL

Diverse speeches and writings (2020)

Detailed reference viewed: 17 (0 UL)
Full Text
Peer Reviewed
See detailAre Capital Requirements on Small Business Loans Flawed?
Wolff, Christian UL

in Journal of Empirical Finance (2019), 52

Detailed reference viewed: 121 (10 UL)
Full Text
Peer Reviewed
See detailSkewness Risk Premium: Theory and Empirical Evidence
Lin, Yuehao; Lehnert, Thorsten UL; Wolff, Christian UL

in International Review of Financial Analysis (2019), 63

Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium ... [more ▼]

Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for holding stocks when the market skewness risk premium is high. However, when we characterize periods of high and low risk aversion, we show that in line with theory, the relationship only holds when risk aversion is high. In periods of low risk aversion, investors demand lower risk compensation, thus substantially weakening the skewness-risk-premium-return trade off. [less ▲]

Detailed reference viewed: 109 (3 UL)
See detailResearch visit, Chulalongkorn University, Bangkok, Thailand
Wolff, Christian UL

Scientific Conference (2019, April)

Detailed reference viewed: 33 (1 UL)
Peer Reviewed
See detailOrganiser, European Banking Center (EBC) Network Conference
Wolff, Christian UL

Scientific Conference (2019, March)

Detailed reference viewed: 62 (0 UL)
Full Text
See detailAre retail investors noise traders?
Wolff, Christian UL

Article for general public (2019)

Detailed reference viewed: 96 (22 UL)
Full Text
See detailAssociate Editor, Banks and Bank Systems
Wolff, Christian UL

Diverse speeches and writings (2019)

Detailed reference viewed: 60 (1 UL)
Full Text
See detailSpillovers to small business credit risk
Wolff, Christian UL

Report (2019)

Detailed reference viewed: 62 (6 UL)
See detailAssociate Editor, Pacific Basin Finance Journal
Wolff, Christian UL

in Wolff, Christian (Ed.) pacific basin (2019)

Detailed reference viewed: 43 (1 UL)